I recently made a post offering to do some basic research for folks for two reasons:
1. to try and get more people interested in doing research for themselves
2. because i spend most of my time researching and now with AI its pretty quick.
u/[Fit\_Equal6932](https://www.reddit.com/user/Fit_Equal6932/) had asked:
>If you have the data. Here is one for fun and also because it is a popular topic. How would PnL change for 0dte iron condors if you were to get filled passively vs crossing the spread? Assume whatever mechanistic entries you want. The OPRA quotes data is huge and it will probably take me many weeks to process this from massive. If you can run this it will be good. It will give some insights into how good the MM pricing is, whether the fair lies within the spread most of the time so that probabilistically the strategy can perform a lot better with passive fills (getting those fills is another matter of course and so this is still mostly academic). Running this over a longer time horizon (just the weekly expiry for when true 0dte was not available) could also tease out affects like whether the popularity of this strategy has distorted pricing with huge volumes of retail trading this every day and selling into bids from MMs.
here is the summary to their Q:
0DTE IC Passive vs Cross Fills SPX, 2022-2026 (i used the date range for 0DTEs)
filling passively at mid instead of crossing is worth \~$18.45 per 1-lot iron condor 3.3% of the \~$587 credit (primary config: 10:00 ET entry, \~16 shorts, 50-pt wings, held to PM settle).
It's real but modest and it has not eroded over the true-0DTE era (flat at 3.0-3.5% every year).
https://preview.redd.it/1dd7prtqby6h1.png?width=2086&format=png&auto=webp&s=2ad12d7ac8cdcae9fa4925db0d1b577f8286bf01
https://preview.redd.it/dkx6r9vrby6h1.png?width=2086&format=png&auto=webp&s=7e81549f4a7b03576aeb1c1ba491b4a2a98f2147