SPX ORB Spreads Skip Wed + Fri | 05.2022 - 09.2025

SPX Opening Range Breakout (ORB) Options Strategy This algorithm implements a 60-minute opening range breakout strategy on SPX options. The strategy identifies the price range during the first hour of trading (9:30-10:30 AM) and trades breakouts above or below this range using credit spreads. Strategy Logic: - Upside Breakout: Sell bull put spread with short strike at opening range low - Downside Breakout: Sell bear call spread with short strike at opening range high - Uses $15 wide spreads, holds to expiration - Filters: minimum 0.2% range, no FOMC days, Skip Wed and Friday