0dteclose Arm a rule
SPX0DTEATM straddle vs the close15-min delayed

SPX 0DTE ATM straddle at 9:45 vs the close — n = 1 session

−$614.022026-09-25 latest sessionone long ATM straddle 24.65 at the 7,725 strike (as of 9:46am ET, 15-min delayed mids) → official close 7,743.51; short straddle +$614.02
Call mid plus put mid at the strike nearest spot, from the 15-min delayed snapshot stamped nearest 9:45am ET, against |close − strike| at the official close, × 100 per contract. Mids, not fills; no commissions.

n < 5 sessions: no statistics yet — one dated row per session; averages, hit rates and comparisons appear only once at least five sessions are in.

SPX simulator

your strike · seven closes

SPX: one ATM straddle per session, priced at the snapshot nearest 9:45am ET (15-⁠min delayed mids), valued at the official close. SPX prices in index points, per-contract outcomes in dollars; the multiplier is 100 for SPX, SPY and QQQ.
Session9:45 spotATM strikeStraddle (implied ±)Close (source)|close − strike|Long straddle per contractShort straddle per contractRealized ÷ impliedSource
2026-09-257,724.92
as of 9:46am ET		7,72524.65 (±24.65 pts)7,743.51
cboe_close		18.51 pts−$614.02+$614.020.75session page · methodology

Realized ÷ implied = |close − 9:45 spot| ÷ straddle price, per row. Method and caveats: methodology.

Quick answers

What exactly is measured?

For each finalized SPX session: the mid quotes of the call and the put at the strike nearest spot, from the 15-min delayed CBOE snapshot whose prices are stamped nearest 9:45am ET, added together (the ATM straddle); then the intrinsic value of that same straddle at the official close, |close − strike|. The difference × 100 is the per-contract outcome of one long straddle; the short straddle is its negative. No commissions, no slippage, no fills — a mid is the midpoint of bid and ask, not a price anyone traded at.

Why 9:45 and the official close?

9:45am ET is the target because the opening minutes carry the day's widest quotes; the official close is the settlement reference for SPXW PM contracts (cash-settled). The row uses the snapshot whose prices are stamped nearest 9:45am ET (15-min delayed data, so it is fetched around 10:00am ET); if that stamp falls before the 9:30am open the row is flagged pre-open. Every row prints its as-of time.

Is this a recommendation?

No. It is arithmetic on public, delayed data about sessions that already closed — not a forecast and not advice. The decision is yours.

Where are the statistics?

There are none yet: with fewer than 5 sessions any average or hit count is noise, so the page prints one dated row per session and nothing aggregated. The one statistic already published from the archive is the SPX measured pin rate, with its n disclosed.

Cite this

0dteclose. "SPX 0DTE 2026-09-25: ATM straddle 24.65 at the 7,725 strike (as of 9:46am ET, 15-min delayed mids), official close 7,743.51; one long straddle −$614.02 per contract. n = 1." https://0dteclose.com/outcomes/spx/ (CBOE data, official close).

Embed the card: <img src="https://0dteclose.com/cards/2026-09-25/SPX-postmortem.png" alt="SPX 0DTE post-mortem 2026-09-25"> — CC BY 4.0, link back. How to cite us.

Next

generated 2026-09-27 · 15-min delayed CBOE data