Far out-of-the-money (OTM) 0DTE calls are cheap and tempting — but too far OTM means low delta, poor odds, and a lottery-ticket trade. Knowing how far is too far saves you from a common, expensive habit.
Why far-OTM is tempting and treacherous
A far-OTM 0DTE call costs pennies and dreams of a huge percentage gain if SPY rips to it. But it's cheap for a reason: it has low delta (barely moves on a normal SPY move) and it will most likely expire worthless because SPY won't travel that far in the time left. You can be right about direction and still lose — the option needed a big, fast move that rarely comes. That's the far-OTM lottery trap.
How to judge “too far”
A practical test: compare the strike distance to the day's realistic range / expected move. If the strike is outside what SPY plausibly reaches in the time left, it's too far — you're buying a bet on an unlikely move. Also check delta: if it's very low (say under ~0.20), the option won't respond to normal moves. For a scalp, if the option won't meaningfully react to the move you're trading, the strike is too far out.
Cheap far-OTM options aren't a bargain — they're a bet that SPY does something it probably won't, today, before the clock runs out. Usually it doesn't.
The quick takeaway
Too far OTM = low delta + a required move bigger than the day realistically offers = a lottery ticket, not a scalp. Stay near-the-money where the option actually tracks SPY. The occasional far-OTM winner is memorable; the steady drip of worthless ones is what actually happens. NoVo favors responsive, liquid strikes — not lottery tickets.