A Butterfly That Paid for the Move: SPX 0DTE Case Study
On Thursday, November 12, SPX opened in negative gamma, just under its put wall, on a morning when Nvidia announced its CEO’s resignation before the open. A same-day SPX butterfly built from the TradeGuidance gamma map closed the session up $3,275.54 net on three lots. The trade still made money after the morning’s short bias didn’t play out, because of how the structure was built.
What the gamma map said
The 8:40 a.m. ET TradeGuidance 0DTE map put SPX in negative gamma, where dealer hedging tends to amplify moves rather than dampen them.
| SPX level | Value | What it means |
|---|---|---|
| Implied spot at 8:40 | about 7,566 | From /ES 7,586.75 before the cash open |
| Put wall / largest gamma strike | 7,565 | Support to watch, and the day’s magnet |
| Gamma flip | 7,593 | Above it, hedging shifts from amplifying to dampening |
| Call wall | 7,600 | Overhead resistance |
| ATM straddle | 47.1 points | The market’s expected move for the day |
| Trend-day odds | 65% | A heuristic, not a forecast |
The map expected a bigger-than-usual move. The morning playbook leaned short, toward the ES target of 7,548.75.
The trade
The fly used the plan’s strikes, 7,655 / 7,590 / 7,525, with 65-point wings: sell one 7,655 put, buy two 7,590 puts, sell one 7,525 put, for a net credit. Selling the wings and buying the body makes this a short butterfly. It earns most when SPX finishes well away from the 7,590 body, in either direction, and loses most if SPX settles right on the body.
| Per fly | Three flies | |
|---|---|---|
| Opened for a net credit of | 30.00 (fills 29.99 to 30.00) | about $9,000 |
| Break-evens at expiration | 7,555 and 7,625 | |
| Most it could lose | 35.00 (65-point wing minus the credit) | $10,500 |
| Closed for a net debit of | 19.00 | $5,700 |
| Result | +11.00 points | +$3,300 gross, +$3,275.54 after $24.46 in commissions and fees |
ES didn’t break lower off the open. It moved back and forth and refused to collapse, and the Nvidia news kept large-cap tech in play. SPX turned higher instead, through the 7,590 body and toward the 7,655 wing, and the position was closed with SPX around 7,630, just past the 7,625 upper breakeven. That is about a 31% return on the $10,500 at risk.
Three lessons
- Know which moves your structure pays for. A short butterfly is a “move away from the body” trade, not a pure directional bet. The plan described the downside path, but the same strikes paid on a rally too.
- Negative gamma favors structures that profit from movement. The map expected expansion. A short fly is built for movement, so the day’s swing worked for the position even though it went the other way from the morning’s short bias.
- Take the money when price is away from the body. SPX closed at 7,592.40, almost exactly on the 7,590 body, where this fly does worst. Held to the close, the same position would have lost about 32 points per fly. Closing when SPX was out past the breakeven locked in the gain.
Disclosure
These were trades in a TradeGuidance managed trading account, traded by the Lead Analyst. Results are shown before and after commissions and fees. Gamma levels are model output from public-style assumptions, not a measurement of actual dealer positioning. SPX options are European-style and cash-settled; a put butterfly and a call butterfly on the same strikes have the same expiration payoff.
All investments involve risk. This material is for educational purposes only and is not investment advice. Options can lose their full value quickly; past results do not predict future results. © Trade Guidance 2026.