Where to Find the Expected SPX 0-DTE Trading Range

A daily, model-derived strike band for where the S&P 500 is expected to stay through the same-day options close, available from Alphanume.

Zero-days-to-expiration options on the S&P 500 now make up a huge share of index options volume, and the first question every 0-DTE trader asks is the same: what range is the index likely to hold into the close? Most people answer it by hand, backing an expected move out of the at-the-money straddle and adjusting by feel. That works, but it is repetitive and easy to get subtly wrong.

Alphanume publishes the answer directly as the S&P 500 0-DTE Strike Band dataset.

What the dataset is

The 0-DTE Strike Band is a daily, model-derived lower and upper strike range that the SPX is expected to stay within through the same-day (0-DTE) options close. It is derived from implied probability distributions combined with market risk factors, and it is published each trading day at 10:30 AM ET. Like the rest of the Alphanume catalog, it is point-in-time, so the band you see for a date is the band that was published that morning.

What fields you get

• date: the session the band applies to
• lower_strike: the lower bound of the expected range
• upper_strike: the upper bound of the expected range
• instrument: the underlying the band is computed for

What you can do with it

• Select strikes for same-day spreads, condors, and premium-selling structures.
• Quantify the expected move without recomputing it from the chain every morning.
• Study how often the index actually stayed inside the band (containment probability).
• Backtest 0-DTE strategies against a consistent, frozen daily range.

How to access it

The 0-DTE Strike Band is a Pro-only dataset, so requests require a Pro key (free-tier keys receive a 403 PRO_TIER_REQUIRED response). One call returns the latest band:

curl "https://api.alphanume.com/v1/spx-0dte-strike-band?api_key=alp_your_key"

See the API documentation for the full schema, review Alphanume datasets to compare tiers, or grab a free Alphanume API key to explore the rest of the volatility catalog before upgrading.

Related

Combine the strike band with the S&P 500 Risk Regime signal to widen or tighten your structures depending on whether the market is in a risk-on or risk-off state.

Why traders stop computing the expected move by hand

The standard approach to a same-day range is to read the at-the-money straddle off the chain and back out an expected move, adjusting by feel for skew and time of day. It works, but it is repetitive, easy to get subtly wrong, and impossible to apply consistently across a backtest of hundreds of sessions.

The 0-DTE Strike Band replaces that with a single model-derived range published each morning at 10:30 AM ET, built from implied probability distributions and market risk factors. Because it is point-in-time, the band you read is the band you would have traded on, which makes containment studies and premium-selling backtests straightforward to run.

Frequently asked questions

What is the 0-DTE strike band?

A daily, model-derived lower and upper strike range that the SPX is expected to stay within through the same-day options close. It is published each trading day at 10:30 AM ET.

How is the band derived?

From implied probability distributions combined with market risk factors. The result is a single expected range you can use directly instead of backing it out of the option chain yourself.

Is the strike band free?

No. It is a Pro-only dataset. A free-tier key returns a 403 PRO_TIER_REQUIRED response, so you need a Pro key to access it.

Which fields does it return?

Each row carries date, lower_strike, upper_strike, and instrument. That is everything you need to place same-day spreads or condors around the expected range.

Can I study how often the band holds?

Yes. Pull a history of past bands with date range filters and join each to the realized SPX close to compute a containment probability, the share of sessions price stayed inside the band.