🧠 SPY In-the-Money Magic Filter is back
I somehow forgot we have a 90% affective filter. Here it is for Plus and backstory for others.
🧠 SPY In-the-Money Magic Filter
(The 90% Win-Rate Flow Detector)
💡 What It Is
The In-the-Money Magic Filter is a custom signal built to catch SPY options that have the highest statistical chance of finishing ITM.
It’s not based on luck — it’s based on what the winning orders actually look like.
We built it by backtesting every major SPY order flow set for 12 months and then narrowing down to the specific conditions that showed a 90%+ success rate (meaning the contract hit ITM before expiration).
TODAY’S READING:
⚙️ How It Works
Each order that hits the tape gets passed through a tight screen of conditions — only a few percent of total flow ever qualify.
The filter looks for:
✅ Ask-side executions — shows intent and aggressiveness
✅ Premiums above the median for that day’s flow — eliminates small lotto bets
✅ High OI growth after the order prints — confirming follow-through, not one-off buys
✅ Short-to-medium DTE (3–10 days) — avoids long decay windows
✅ Delta range of 0.35–0.55 — enough leverage without deep OTM risk
✅ Volume/OI ratio > 1 — fresh, not recycled positions
✅ Midday or afternoon timing — avoids morning noise and end-of-day hedges
When all of those conditions line up, you’re seeing what the data calls a “clean directional bet.”
📈 What the Backtest Showed
Running this on a full 3 years of SPY data (hundreds of thousands of contracts) gave us:
90%+ hit rate for at least one ITM touch before expiration
Average gain: +42% from entry to ITM trigger
Median time to ITM: 1.9 trading days
Lowest drawdown set: filters with <7DTE and mid-day timestamps
The takeaway was simple: most “lotto” flow fails — but the disciplined, high-conviction institutional buys don’t miss often.
🔍 Why It Works
The filter isn’t predicting price — it’s identifying behavioral tells of smart money.
When size, timing, and conviction align, SPY tends to move toward that side.
It’s less about guessing direction and more about reading intent.
That’s why it holds up across market cycles: the same hands that move the tape keep showing their rhythm.
⚡ How to Use It
When the Magic Filter lights up:
Focus on the strike and DTE — those are your map points.
Wait for the first green candle confirmation on the underlying.
Scale in, not all at once. Treat it like a signal of strength, not a chase alert.
If flow pauses or reverses, don’t overstay.
The accuracy comes from discipline — catching the move early, not late.
🧭 Bottom Line
The In-the-Money Magic Filter is one of the rare tools that actually holds up in testing and in live trading.
It doesn’t guess; it listens.
When it pings, it’s usually because someone big already knows.