Event-Driven / Economic Calendar / SPXW 0DTE
Macro Event Study for SPX 0DTE
Research completed
An event-study framework measuring the SPX impact of macro releases (NFP, CPI, FOMC, ISM, Retail Sales, PCE) using surprise computed from FRED vintage prints and TradingEconomics consensus, translated into 0DTE entry/exit parameters.
Research Question
Do scheduled macroeconomic releases move SPX in ways that are systematic enough — in direction probability, magnitude, and timing — to be traded with 0DTE long options around the event window?
Methodology
- Build a clean macro calendar: pull vintage first-print actuals from FRED, fetch market consensus from TradingEconomics, and compute the surprise (actual minus forecast) for each release.
- Cover the high-impact releases: Nonfarm Payrolls, CPI, FOMC, ISM, Retail Sales, and PCE.
- Measure the SPX reaction across event windows (T−5min, T+0–5min, T+5–15min, T+15–30min, T+30–60min).
- Compute direction probability and average/maximum moves, and derive optimal entry and exit times relative to the surprise magnitude.
Output
The framework turns each event type into a set of tradeable parameters — when to enter, when to exit, and how to size a long call/put relative to the surprise. Because it is built on a vintage-aware macro data pipeline, the surprise definitions are reproducible rather than contaminated by later revisions.
Follow-up Work
- Layer realistic 0DTE option execution costs onto the underlying-move statistics.
- Separate persistent post-event drift from the initial reaction.
- Track out-of-sample stability of the per-event parameters over time.