Strategy Playbooks#

This workflow is designed to be executed between 9:15 AM and 9:45 AM ET, ensuring you match the specific strategy to the day’s volatility regime.

Phase 1: Data Collection (The Inputs)#

Check SpotGamma & Volatility Board

  1. Regime Check: Is SPX Price Above or Below the Vol Trigger (Zero Gamma Level)?
    • Above = Positive Gamma (Pinning / Mean Reversion).
    • Below = Negative Gamma (Expansion / Trending).
  2. Volatility Check: What is the VIX or IV Rank?
    • Cheap = < 13-14.
    • Expensive = > 15-16.
  3. Magnet Check: Where is the Absolute Gamma Strike? (Mark this level).
  4. Barrier Check: Where are the large Call/Put Walls?

Phase 2: The Decision Matrix (Strategy Selection)#

This table covers every scenario from “Hard Pin” to “Hard Trend.”

Environment Specific Dynamic Volatility (VIX) Strategy Selection Primary Goal
Pos Gamma (Pinning) Strong Magnet (Absolute Gamma) High (>15) Iron Butterfly Aggressive Pin. Capture max premium at the magnet.
Pos Gamma IV Elevated, Low Realized Vol High (>15) Double Diagonal (0/30) Vol Crush. Capture vega crush + theta decay when IV is rich.
Pos Gamma (Range) No Clear Magnet / Choppy Any Iron Condor Range Capture. Profit if price stays “between the posts.”
Pos Gamma (Drift) Slow Grind Directional High (>15) Standard Credit Spread Fade the Move. Bet that resistance/support holds.
Pos Gamma (Drift) Slow Grind Directional Low/Med High-Yield BWB Yield Trap. Capture drift but improve risk/reward over standard spread.
Neg Gamma (Explosion) Unknown Direction Any 1x2 Ratio (Backspread) Vol Explosion. Profit if market rips; scratch if it sits.
Neg Gamma (Trend) Clear Breakout Any Risk Twist (Financed) Funded Trend. Debit spread paid for by an OTM credit spread.
Neg Gamma (Trend) Fear of Reversal Any Short BWB (Hedged Credit) Tail Defense. Credit spread with “Crash Protection” (The 3-leg setup).

Phase 3: Mechanical Execution “Cheat Sheet”#

1. The Iron Butterfly (The “Pin” Play)#

  • Setup: Sell ATM Call & Put / Buy Wings (20-25 points wide).
  • Target: Center at the Absolute Gamma Strike (even if Spot is slightly off).
  • Goal: 25% of Max Credit.
  • Stop: Price touches Long Wing OR Premium expands to 1.5x Credit.
  • Management: Set and Forget. Do not touch.

2. The Double Diagonal (The “Vol Crush” Play)#

  • Setup: Sell 0 DTE ATM Straddle / Buy 30 DTE Strangle (at Expected Move).
  • Goal: Capture vega crush + theta decay when IV is elevated but realized vol is low.
  • Management: If Straddle hits 25% of credit, re-center to ATM. Leave 30 DTE strangle alone (insurance).

3. The Iron Condor (The “Range” Play)#

Use when the market is stable but there isn’t a single “Magnet” strike to pin to.

  • Structure: Sell OTM Call Spread / Sell OTM Put Spread.
  • Strike Selection: Place Short strikes at the Call Wall and Put Wall (or ~15-20 Delta).
  • Goal: 50% of Max Credit. (Since you collect less premium than a Fly, you must squeeze more out of it).
  • Stop: 3x Credit (Stop out if one side is tested).
  • Management: If the Call side is tested, roll the Put side up (collect more credit) to defend delta. Do not roll the tested side.

4. Standard Credit Spreads (The “Simple Fade” Play)#

Use when Positive Gamma is present, but you only want to play one side of the market (e.g., “I think the top is in”).

  • Structure: Sell OTM Call / Buy Further OTM Call.
  • Strike Selection: Sell the strike at the Call Wall.
  • Goal: 50% of Credit.
  • Stop: 2x to 3x Credit.
  • Key Difference vs. Short BWB: Use this when you are confident the level will hold (Positive Gamma). Use the Short BWB when you fear the level might shatter (Negative Gamma/Tail Risk).

5. The High-Yield BWB (The “Drift” Play)#

  • Structure: Long Butterfly (Buy 1 / Sell 2 / Buy 1).
  • Skew: 10/20 Split. (e.g., Buy ITM / Sell 2x ATM / Buy OTM 20 pts lower).
  • Entry: Net Credit > $1.50.
  • Logic: If price drifts up or pins, you keep the credit. If it drops slightly, you hit the tent.
  • Stop: If price crashes below the “Broken” (Far) wing.

6. The 1x2 Ratio / Backspread (The “Vol Explosion” Play)#

  • Structure: Sell 1x 30 Delta / Buy 2x 15 Delta.
  • Entry: Scratch ($0.00) or small Credit.
  • Logic: Unlimited profit if market rips through the 15 deltas. No downside risk if market sits still.
  • Risk: The “Valley of Death” (Gap between Short and Long strikes).
  • Stop: If price “parks” inside the Valley for > 30 mins.

7. The Risk Twist (The “Free Trend” Play)#

Use when a level breaks (Negative Gamma) and you want to chase the trend without paying a debit.

  • Structure (Bullish Example):
    • Leg 1 (Debit): Buy ATM Call / Sell OTM Call (The profit engine).
    • Leg 2 (Credit): Sell OTM Put Spread (The financing).
  • Target Cost: $0.00 (Scratch) or slight Net Credit.
  • Logic: You own a Vertical Spread for free.
  • Risk: Standard downside risk on the Put Spread if the breakout fails and reverses hard.
  • Exit: Take profit at 50-75% of the Debit Spread width.

8. The Short BWB (The “Credit Spread” Alternative)#

  • Structure: Short Butterfly (Sell 1 / Buy 2 / Sell 1).
  • Skew: Standard Credit Spread + Debit Spread Hedge.
  • Logic: Used in Negative Gamma to fund a directional view.
  • Benefit: Reduces max loss on a “Tail Event” (Crash/Rip) significantly compared to a standard vertical spread.
  • Warning: Do not use in Positive Gamma. (Pin risk at the Long Strike is max loss).

Phase 4: Intraday Management Rules#

  1. The Time Stop: Close ALL 0 DTE positions by 3:55 PM ET. No exceptions.

  2. The “Gamma Trap” Check:

    • If using Positive Gamma strategies (Iron Fly/BWB), look for HIRO flow that opposes price (Price Up + Call Selling). This confirms the pin.
    • If HIRO flow matches price (Price Up + Call Buying), ABORT. The pin is breaking.

  3. The VIX Audible:

    • If VIX spikes +5% intraday, Close Short Vega trades (Iron Fly/Credit Spreads) immediately. Transition to 1x2 Ratio or hold cash.

Quick Reference#

1. Is it Pinning? (Positive Gamma)#

  • Yes, Hard Pin: Iron Fly (High VIX).
  • Yes, IV Rich but Low Realized Vol: Double Diagonal (Vol Crush).
  • Yes, Wide Range: Iron Condor.
  • Yes, Directional Fade: Credit Spread (Standard) or High Yield BWB.

2. Is it Moving? (Negative Gamma)#

  • Yes, Explosive/Unknown: 1x2 Ratio.
  • Yes, Clear Trend: Risk Twist.
  • Yes, Trend but scared of Reversal: Short BWB (Hedged Credit).

This gives you a complete 360-degree view. You have a distinct tool for every volatility regime: Pinning, Ranging, Drifting, Exploding, and Trending.

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