Pricing & Mechanics
0DTE Options
Also called: zero days to expiration, same-day expiration
0DTE options are contracts expiring on the current trading day. They carry extreme gamma and theta: small moves in the underlying swing their value violently, and their remaining extrinsic value goes to zero by the close.
Daily expirations on SPX, SPY, QQQ and other large products made same-day options a large share of index volume. Buyers get cheap, highly convex exposure to an intraday move; sellers collect fast theta and accept that an adverse move can erase weeks of gains in an afternoon.
Because 0DTE gamma is concentrated near the money, dealer hedging of same-day flow is one driver of intraday index behavior, visible in gamma exposure by strike. Position sizing and defined-risk structures (spreads rather than naked options) are the usual controls.
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Frequently asked questions
Are 0DTE options risky?
They are the highest-gamma, highest-theta instruments available. Long positions frequently expire worthless; short positions face rapid, large losses on a directional move. Defined-risk spreads cap the downside.