November 28, 2023 (NO COMMENTS)

JP Morgan sees better risk/reward profile for 0DTE-based trend strategies

Banks are beginning to incorporate zero-day-to-expiry, or 0DTE, options in their quantitative investment strategies, in a move they say could boost returns and improve downside protection. JP Morgan is one of the first to do so with an intraday momentum strategy that incorporates same-day expiry options on the S&P 500, or SPX. The bank says the latest iteration of the popular strategy offers a better risk/reward profile compared with traditional futures-based versions. “We view the emergence