The Outside Gap Does Not Matter for SPX 0DTE Trades

An SPX 0DTE trader is in at the open and flat by 4pm, so the only thing that matters to them is what the open to close session does (not the close to close).

When attempting to trade SPX 0DTE options, the first thing you look at is where it opened against yesterday's close.

A gap above yesterday's high is treated as strength worth following. A gap below yesterday's low is treated as weakness worth chasing.

We tested that idea on all 1,082 SPX sessions since the 0DTE era began in May 2022.

How often the Open to Close direction was green

When SPX opens above yesterday's high, it has a 51.9% chance of moving higher from the open.

When SPX opens below yesterday's low, it has a 53.8% chance of moving higher from the open.

As an SPX 0DTE trader, since you are trading the open to close, the gap gives you nothing you can act on even though it feels like it should.

Note:
Keep in mind, a gap is common. A gap outside yesterday's range is not the same thing.
Most sessions open away from the prior close and still open inside yesterday's high-low. Those are ordinary gaps. What we tested is the rarer case: open above yesterday's high, or open below yesterday's low.