SMH · Deep ITM 0DTE: a limit order at the formula 09:35–10:00, sell at 16:00 or exercise at 17:25
The same test as the purchase at 09:35, but not at the ask: at 09:35 New York a robot places a buy order for the in-the-money SMH option expiring that day at the formula price itself, the SMH price minus the strike (a Put: the strike minus the SMH price), and moves it every time SMH moves, until 10:00. The order fills only when a seller comes down to it, so the option is bought at about its intrinsic value instead of the ask, which is half a spread higher. How fast the robot learns the SMH price (0.1–1 s) decides the result: a slow order is filled mostly when SMH has just moved against it. The fills are replayed on every quote of the option and of SMH (ticks, to the millisecond). It is closed the same day: sold at the bid at 16:00, when options on SMH close, or exercised at 17:25 at the intrinsic value from the SMH price then. About $10,000 a day. Every setting below is recalculated in the browser from the saved fills.
SMH · 2024: no data yet
The sessions of SMH in 2024 are still being collected, or the page snapshot for this year is not built yet. The tool appears here as soon as it is.
How it is calculated
- The limit order. At 09:35:00 a robot places a buy order for the option picked below at the formula price: the SMH price minus the strike for a Call, the strike minus the SMH price for a Put, rounded up to the cent, plus a margin of 0, 1, 2 or 5 cents a share. The SMH price is the middle of its NBBO. Every time that middle changes the robot moves the order, but it learns of the change 0.1, 0.25, 0.5 or 1 second late. How a fill is counted is a field of the form: when the option’s NBBO ask is at or below the order (at the order’s price when the ask came down to the standing order, at the ask when the order was moved up to a standing ask or placed there); or also when a plain single-leg trade prints at or below the order while it is the best bid (the default: sellers who sell straight to a bid are not seen in the quotes, and that seller would have sold to the order first); or, strictly, only when the ask or such a trade goes below the order’s price (others may stand at the same price ahead of it). Crosses, floor trades and multi-leg trades do not count, and a crossed quote (the ask below the bid) is not a market. It waits until 10:00:00; an order that has not filled is either dropped, and the session is skipped, or, as chosen, replaced by a purchase at the ask of the 10:00 quote. The overpay, the leverage and the same-in-shares comparison use the SMH price at the fill.
- Data. For every session with a same-day expiry: every NBBO update and every trade of the options picked, 09:34–10:00, and every quote of SMH, 09:34–10:01, to the nanosecond (Massive, the /v3/quotes history; of SMH only the moments its middle changes are kept). The pick uses the NBBO at 09:35:00 of every in-the-money strike to 5% deep that the purchase at 09:35 on this page keeps, against the middle of the SMH quote at 09:35:00. The sale quotes and the prices at 16:10 and 17:25 are the purchase-at-09:35 mode’s. Only QQQ in 2026 is collected for now.
- Pick. At 09:35, for each side, the in-the-money option whose strike ± the middle of its quote comes closest to the SMH price (a tie: the one nearer the money); or, as chosen, the one nearest the money, the cheapest and so the most leverage, among those within 0.01% of the price. A quote wider than $0.50 or without a bid is not used.
- Expiry. The same session: 0DTE. A session without a same-day expiry (by the vendor’s list of contracts) is not traded and stays out of the table. Options on SMH expired only on Fridays (and on the Thursday before a Good Friday) until July 2026; on Mondays and Wednesdays since 13 July 2026, every session since 25 August 2026. So 2022–2025 hold about one session a week.
- Leverage = the SMH price at the fill ÷ the price paid: how many dollars of shares one dollar of premium moves like.
- Sale at 16:00. At the bid of the NBBO standing at that minute, when it is no older than 5 minutes and covers the fee. Options on SMH trade until 16:00, together with the shares, so the sale is at the last quote of the session. The bid of a deep in-the-money option is often below its intrinsic value (the price minus the strike for a Call, the strike minus the price for a Put): the field “If the bid is below intrinsic value” either sells at the bid anyway (the default) or exercises the option (they are American) at intrinsic value from the SMH price at that minute. Contracts not sold at the bid are exercised at intrinsic value when it covers the fee; otherwise they count as $0 without a fee. When the vendor has no quote of the option since 15:00 at all, the session has no result and is left out of the totals.
- Exercise at 17:25. Until 17:30 New York the holder of an expiring option decides whether to exercise it, whatever the 16:00 price was. The page exercises at 17:25 when the intrinsic value from the SMH price then (its last trade before 17:25, in the evening session) covers the fee, and counts that value: the shares delivered at the strike are taken as sold (a Put: bought back) at that price, without the shares’ spread or fees. When the option is out of the money at 17:25 it expires at $0 and the premium is lost.
- Budget is split equally between the chosen legs: with Call + Put, half a day’s budget per leg; both legs are needed, a session without either is skipped. Contracts per leg: the whole number whose cost (ask × 100 + fee each) comes nearest to the leg budget, above or below it; with displayed sizes respected, no more than the ask size. A session where even one contract costs more than twice the leg budget is skipped. The page opens with $10,000 a day and also shows the return on capital: the budget plus the largest drawdown.
- Fees are charged for every contract bought and sold (or exercised); $0.65 by default.
- The same in shares. For comparison: as many shares as the options cover (100 per contract; for a Put, sold short), bought at the 09:35 price and sold at the price of the exit minute, without fees or spread. The difference from the options is what the overpay, the spreads, the fees and the capped loss cost or earned.
- Best variant. The page opens on the best variant of the whole year at $10,000 a day, a $0.65 fee, displayed sizes ignored, the strike closest to the formula and sessions without a fitting strike skipped: among the variants (side × exit × formula price × tolerance and, for the sale at the bid, selling or exercising when the bid is below intrinsic value) that trade on at least half of the sessions with a same-day expiry, the one with the largest total without its three best sessions, so that a few jumps cannot make it; ties go to the larger total. The “Best variant” button searches again within the options chosen in the form at the current settings. All of them are picked on the same sessions their results come from, so those results are overstated.
- Limits. Only the quotes are known. A fill is counted when the ask reaches the order, but the queue ahead of the order at that price, the size behind the ask and the order’s own effect on the market (a visible bid at the formula can change how market makers quote) are not; nor are the time to send and change orders beyond the robot’s delay. So real fills can come later or not at all, and a fast robot is a server near the exchange with live SMH quotes, or an order type the broker moves itself (Interactive Brokers: “Pegged to Stock” with a delta of 100%), whose speed has to be checked with one contract. The best variant is chosen in-sample.
- Reproduction. The ticks are collected, after the purchase-at-09:35 sessions, by
python -B scripts/collect_deep_itm_0dte.py --limit --symbols SMH --from 2024-01-01, and the page snapshot replays the order on them (app/deep_itm_0dte/limit.py) without new requests:python -B scripts/build_deep_itm_0dte_page.py --limit --symbols SMH --years 2024. The browser prices every setting with public/static/deep-itm-0dte-model.js; money is counted in hundredths of a cent.