Slippage in 0DTE Options Trading: The Hidden Tax on Every Credit
A four-legged fill rarely lands at the mid. The gap you give up is slippage. On paper, a 0DTE iron condor looks clean. You sell four legs, collect a credit, and let theta do the work. The decay curve is steep, the math is tidy, and the expected value pencils out. Then the fills come back, and the credit is smaller than the screen promised. ...