Lead idea
Zero DTE iron butterflies for quick volatility decay
The guest argued that selling zero DTE iron butterflies on SPY is a profitable strategy that capitalizes on rapid implied volatility decay in the first minutes after the market open. Argued on The Options Insider Radio Network’s “Options Boot Camp 407: Rise of the 0DTE Iron Butterfly”, aired 10 September 2026. The trade is structured by selling an at-the-money straddle and buying a $4-wide strangle for protection, creating a double negative vega position.
THE OPTIONS INSIDER RADIO NETWORK · “Options Boot Camp 407: Rise of the 0DTE Iron Butterfly” · YESTERDAY