We tested 17,100 option-selling strategies on SPY and QQQ from January 2022 to October 2026: 6 structures, 6 deltas, 4 expiries, 6 exits and 15 filters based on dealer gamma exposure (GEX) and the volatility risk premium (VRP). This post covers the data, the method, the main result and the code to run the rule.

Summary

For same-day strangles, negative-gamma days were 60% to 63% of SPY trades and held 72% to 74% of the dollar losses. On QQQ they were 54% to 60% of trades and 68% to 76% of losses.

Selling only on positive-gamma days, all eight strangle setups made money on both ETFs at midpoint fills.

QQQ 0DTE strangles at 0.25 delta: Sharpe +0.35 every day, +1.38 on positive-GEX days only.

The strongest same-day rule was positive GEX with spot above a certified gamma flip (p = 0.005 on SPY, 0.006 on QQQ, against random calendars).

Gamma exposure

Market makers hedge the delta of the options they hold. When they are net long gamma, hedging means selling rallies and buying dips, which dampens moves.…