Time decay is the thing that kills most zero-day option buyers.
You buy the call, you’re right about direction, and the option still bleeds out under you because the stock didn’t move far or fast enough. Anybody who has traded 0DTE has lived that at least once.
Licia Leslie built a strategy around being on the other side of it.
She waits until 2:30 or 3:30 in the afternoon and buys tomorrow’s expiration instead of today’s. By that hour the premium has already melted out of it, so she’s picking up the cheapest option on the board.
Then she sells it into the next morning’s gap.
The decay you’re fighting is the same decay she lets work for her before she ever puts money down.
None of this existed two years ago.
On January 26th, Cboe added Monday and Wednesday expirations to eight single stock names plus IBIT. Within days those contracts were trading close to 3 million a day, with Tesla and Nvidia making up more than half of it.
Single stocks still have no Tuesday or Thursday expiration, which is what shaped her timing. So she buys Tuesday afternoon into the Wednesday expiration, and Thursday afternoon into Friday.
On Thursdays, nearly every stock on the board has a Friday expiration. She calls it the day the world is her oyster, and she’s not wrong about it.
I’ve known Licia and worked with her for a long time, and I can tell you she’s the real deal.
Her father worked security at the Cboe.
She was at Loyola downtown, went to meet him for a ride home one afternoon, and ended up in the visitors gallery watching grown men scream at each other with paper flying everywhere. She wanted to be down there.
So she started as a price reporter, worked for three different market makers, and in 1992 Ernie Naiditch backed her for a seat when a seat cost fifty thousand dollars.
Naiditch was a CBOE pioneer who sat on the board, and he was known down there for cutting losses without arguing about it, which is how he came through the steep declines unscathed. He backed a lot of young kids. She never had a losing year.
Her track record since February is 56 trades with 36 winners, so a 64% win rate. Average return per trade is 33%, and that number includes every loser.
The full thing is in the replay, along with four actual trades walked start to finish, and the tool they built after watching members take setups she hadn’t even called.
Your only option,
Mark Sebastian