SPXW 0DTE Open Drive Strategy

Research Question

Does open-drive behavior in the SPX session — a strong, sustained move out of the opening range — produce a durable, tradable signal once realistic execution assumptions are applied, and can it be expressed as 0DTE option exposure?

Methodology

The lab is structured in audit-grade phases:

• Phase A — data: a PyArrow 1-second loader, daily and 1-minute VIX, a session calendar, and explicit version pinning.
• Phase B — structure: opening ranges (OR5/10/15/30) and previous-day reference levels.
• Phase C — signals: OR breakout signals on 1-second data with an epsilon filter grid, execution proxies at 1–15 second lags, forward-path MFE/MAE, a failed-breakout taxonomy (FB0/FB1/FB2), baseline matching, and bootstrap resampling under a Pareto-dominance gate.

Signal timestamps are kept separate from execution timestamps throughout, and proxy-based option exposure is treated as a research approximation rather than live-trading evidence.

Current Focus

Later phases (regime filters, formal hypothesis testing, real option PnL) are intentionally out of scope until the underlying-path result clears the execution and robustness gates. The research standard is the same as elsewhere in the archive: a single attractive backtest is not a result.

Follow-up Work

• Promote to real option-layer simulation only if the underlying signal survives lag and cost.
• Compare open-drive with non-directional intraday structure features.
• Document failure modes as part of the broader SPXW 0DTE research archive.