Systematic 0DTE Options Trading
Defined-risk options strategies on SPX and index products, driven by dealer positioning and regime. These systems carry strong Calmar and Sortino ratios across forward testing and live management.
Algorithmic Trading · Real-Time Financial-AI Systems
Kevin Blackman
Building real-time 0DTE SPX options-microstructure infrastructure, and now a self-hosted AI layer that learns my methodology and reasons over live market structure.
The options analytics behind this work — full chain, historical and live, with millisecond-accurate real-time flow — come from QuantData API, my primary data source. 20% off for readers: quantdata.us/?discount=KGB.
Some methodologies
Focus areas
Real-Time Market Microstructure
Tick-level ingestion and per-minute aggregation of gamma / delta / vega exposure, charm, skew, max-pain and net-premium drift across the full 0DTE SPX chain, VIX and 250+ concurrent instruments.
Applied AI for Trading
Local LLM agents that learn the way I trade — from my notes, daily write-ups and past sessions — through a pgvector memory layer, pre-warmed with dense structural summaries instead of raw ticks.
Quantitative Research & Backtesting
A strategy registry with walk-forward validation and prop-firm drawdown/survival modeling, with reproducible result caching for honest, comparable evaluation.
What I'm currently building
Self-hosted inference for real-time trading
Today I rotate one-shot calls across commercial APIs — Claude (the most capable), plus Gemini, Mistral and others — feeding each a tightly compressed market summary, because tick-level data won't fit and the plan caps run out mid-week. Moving to a self-hosted model removes the cap and lets me benchmark what actually matters for trading:
Latency
Time-to-first-token and generation latency low enough to fit inside scalping execution windows.
Requests per minute
Sustained, minute-by-minute context injection through the session without thermal or VRAM bottlenecks.
Data throughput
Rapidly experimenting to learn which real-time signals carry edge — and which are noise — across high volumes of structured market data.
Execution integration
Decision speed fast enough for the model to react inside scalping windows — quicker than manual execution of the same methodology.
The longer-term goal is a refined local model with durable long-term memory — warmed from summary profiles and continuously taught my methodology — running at high throughput on dedicated hardware.
Selected work
Systems I've built
KGB-ONE Options Intelligence
A real-time SPX options analytics and automated-reporting platform: per-minute dealer-exposure snapshots, filtered net-premium drift, regime detection, and gated end-of-day / pre-open / intraday report generation — surfaced through a React charting portal, with verification gates on every published figure.
Local AI Agent Stack
Multi-agent orchestration over a knowledge base of thousands of embedded research chunks with structured tool use. It learns from my daily write-ups and past sessions via pgvector — and is being moved off API caps onto self-hosted hardware at near-zero marginal cost per token.
Research & Backtest Engine
Backtesting, a strategy registry and signal research (dealer-positioning, regime and ML families) with prop-firm survival simulation and reproducible, cached result sets for comparable evaluation.
PKI, WebTrust & Cryptography
Earlier career · 2001–2015
Two generations of WebTrust-certified public-key infrastructure — multi-layer CAs, registration authorities, LDAP, and OCSP — deployed to government, banking, and industrial clients across 30+ countries. HSM-integrated custom cryptography, smart-card platforms, and a granted patent for digital authentication of valuable goods. Secure data centres built to WebTrust and DoD Level 5 specifications; annual WebTrust audit programmes; EU EEMA PKI interoperability standards work.
Digital identity, social networks & blockchain
Earlier career · 2001–2015
Secure credential and password-management platforms across web, desktop, and mobile — X.509 digital IDs, encrypted local stores, and biometric integration. Consumer social-network systems for major sports franchises with Facebook/Twitter APIs, content management, and fan push alerts. Smart-card authentication architectures; commercial certificate and subscription transaction portals. Cryptocurrency and blockchain identity infrastructure for digital-asset provenance and secure transactions.
Daily intelligence
End-of-day reports
Every session my stack generates an end-of-day market report — dealer-positioning, regime, flow and the levels that matter — fronted by $RAVOLM, a regime-aware animated volume visualisation. A few recent ones:
2026-06-23 · Tuesday
Gap down, fade the bounce — −1.44% into neg-γ, no floor below
Opened −106 on the gap, bounced to 7424 by 10:20, then bled all session back to 7365
2026-06-22 · Monday
Pop, flip, bleed — −0.37% into neg-γ at 7470
Morning pop to 7530, GEX flip at 10:24, afternoon bleed to 7460
2026-06-18 · Thursday
Flush, rip, pin — +1.1% into the 7500 shelf
Aggressor 0DTE flow finished −$13.5M into a +1.08% close
2026-06-17 · Wednesday
FOMC Flush Into the 7400 Magnet
SPX −1.21% (7524 → 7403 low → 7420 close) · VIX +2.2 to 18.27 · NET_POSITIVE gamma pins 7395–7460
2026-06-15 · Monday
Iran peace gap-and-go · SPX 7,517 → 7,578 → 7,554
+1.66% close-on-close on a 61pt intraday range
2026-06-12 · Friday
Vol-crush pin · V-shape 7,363 → 7,456 → 7,431
+0.50% close-on-close on a 93pt intraday range
2026-06-04 · Thursday
Bear-trap reversal, capped at the wall
Opened into the 7,500 fears and printed the low minutes after the bell, then ran one-way higher as dealer positioning flipped bullish — tagging the 7,600 call wall before fading into the close.
2026-06-03 · Wednesday
Down tape, structure leaning lower
A one-way price-down session that closed under the gamma flip and pressed after-hours toward a descending max-pain target — with the bullish closing drift framed as a session footprint, not a forecast.
2026-06-02 · Tuesday
Constructive but capped
Strongly one-way put-selling drift under a positive-gamma cap, with a dealer-long delta shelf supporting price and a descending max-pain level as the lone counterweight.
$RAVOLM (Regime-Aware Animated VOLM) — research/visualisation, not financial advice.
Curriculum vitae
Profile
CISO and CTO background with 20+ years in regulated financial services and digital security — alongside full-stack systems development at the intersection of quantitative trading and applied AI. Designs, builds and operates systems such as real-time 0DTE SPX options analytics, dealer-exposure and regime engines, and a multi-agent AI / reporting layer with pgvector memory. These trading systems carry strong Calmar and Sortino ratios across forward testing and live management — with work now underway toward self-hosted LLM inference to apply local models to trading methodology at high throughput.
Core competencies
- Systematic options trading — defined-risk SPX / 0DTE strategies; risk-adjusted performance (Calmar, Sortino) across forward testing and live management
- Real-time market-data engineering — DXLink / WebSocket ingestion, TimescaleDB hypertables, Redis Streams event bus, Dockerised microservices on Linux with systemd
- Options analytics — GEX / DEX / VEX, charm, dealer positioning, max-pain, skew & term structure
- Quantitative research & ML — Backtrader walk-forward validation, prop-firm survival modeling, scikit-learn / XGBoost signal work; Parquet-derived cache layers for bulk pandas replay (Postgres as source of truth, columnar extracts where SQL would be the wrong tool)
- Live trading integration — broker and execution APIs across Tastytrade, Schwab (thinkorswim), MooMoo (Futu OpenD API), and cTrader (prop-firm FIX / Open API + Protobuf); DXLink market-data feeds
- Full-stack web engineering — FastAPI backends, React + Vite + Tailwind front ends, Plotly interactive charting and research portals
- Applied AI & agent systems — multi-agent orchestration, RAG over pgvector and Neo4j, tiered LLM dispatch with rate-limit metering, structured tool use, self-hosted inference (vLLM / Ollama)