Credit spreads & 0DTE — structure and risk

A credit spread sells a near option and buys a far one to collect net premium. 0DTE expires the same day, so both reward and risk come fast.

Start with the workhorse of option selling — the credit spread.

Toggle between the short-put and short-call side to see how the payoff flips.

Put credit spread

Sell a near (higher-strike) put and buy a farther (lower-strike) put. Sold premium − bought premium = net credit received. If the underlying finishes above the short strike, you keep it all; if it drops hard, the long put caps your loss.

• ·Max gain = net credit received (both OTM at expiry).
• ·Max loss = (strike width − net credit) × 100. The long put caps the loss.
• ·Win rate is high (you win unless it goes ITM), but a single big loss can erase many wins.

What is 0DTE

0DTE = options expiring the same day (zero days to expiry). Almost no time value and extreme theta. Time value decays fast for sellers, but gamma is high so P&L swings sharply on small moves.

Why you must validate

0DTE credit spreads often show “90% win rate but occasional −300%.” Do not look at win rate alone — check expectancy and max drawdown (see the next article).

In NOSKA

NOSKA backtests delta, entry time and stop/target combinations for 0DTE put/call credit spreads at once, with expiry settlement and worst-side fills for realistic P&L.