S&P 500 0-DTE Strike Band 🔒

The S&P 500 0-DTE Strike Band dataset provides a daily, model-derived strike range representing the expected intraday price bounds for the S&P 500 index during the current trading session.

Each observation contains a lower and upper strike level that define the range in which the index is expected to remain with high probability through the close of the same-day (0-DTE) options cycle.

The strike band is calculated using forward-looking implied probability distributions and broader market risk factors, and is designed to assist traders in strike selection and risk management for intraday option strategies.

All observations are point-in-time and stored historically. Once published, values are never retroactively altered, allowing the dataset to be used safely in systematic research and backtesting workflows.

Why it’s useful

Use this dataset to:

• Identify statistically informed strike levels for same-day SPX options
• Structure intraday spreads, condors, or volatility-selling strategies
• Quantify expected index movement using implied probability information
• Filter or validate discretionary strike selection decisions
• Analyze historical containment probabilities for intraday index ranges

Because the strike band is calculated point-in-time and stored historically, it can be used in research without introducing lookahead bias.

Endpoint

Base URL:

Authentication

All requests require an API key.

Pass your key either:

As a query parameter

Or via header

Note:

This endpoint is available to Pro plans only. Requests made with non-Pro API keys will return a 403 PREMIUM_ENDPOINT error.

Sample Request

Python

import requests

url = "https://api.alphanume.com/v1/spx-0dte-strike-band"

params = {
    "api_key": "alp_abc123"
}

r = requests.get(url, params=params)
print(r.json())

cURL

Request Parameters

api_key (required)

Your Alphanume API key.

date (optional)

Return the strike band for a single trading date.

Format:

Example:

date_gte / date_lte / date_gt / date_lt (optional)

Filter observations by date range.

All dates must be provided in YYYY-MM-DD format.

Any logically valid combination is accepted.

Examples:

If no date filters are provided, all available historical observations are returned (subject to tier-based limits).

Response Format

Responses are returned in JSON format.

Example:

{
  "count": 1,
  "data": [
    {
      "date": "2026-03-05",
      "lower_strike": 6740,
      "upper_strike": 6880,
      "instrument": "SPX"
    }
  ]
}

Response Fields

Strike Band Definition

The lower_strike and upper_strike values represent the model-derived strike range within which the S&P 500 index is expected to remain through the close of the same-day options session.

The band is calculated using:

• Forward-looking implied probability distributions
• Realized volatility data
• Broader market risk factors

Strikes are rounded to the nearest listed SPX option increment.

Notes on Data Behavior

• New observations are published daily at 10:30 AM (America/New_York Time)
• Values are point-in-time and reflect information available at calculation time
• Historical strike bands remain fixed once published
• Dates are returned as YYYY-MM-DD
• Results are ordered by date DESC

Typical Use Cases

• Selecting short strikes for intraday volatility-selling strategies

• Structuring SPX iron condors or spreads using probability-informed levels

• Evaluating containment probabilities for same-day index movement

• Backtesting systematic strike selection frameworks

• Comparing realized price behavior versus predicted intraday range