What 0DTE options do to gamma exposure

What 0DTE means

0DTE stands for zero days to expiry: options that expire at the end of the current trading day. They are ordinary contracts on their last day, and they may have been listed days, weeks or months earlier.

SPY and QQQ list options that expire on every trading day of the week. Exchange rules allow Monday through Thursday expirations for both, next to the Friday weeklys, so a normal session usually has a same-day contract.

Much of the public 0DTE discussion is about SPX, the S&P 500 index option. Prism by GEXfreak does not cover SPX; it models SPY, QQQ and IWM. For IWM, read the listed dates in the expiry table instead of assuming a same-day contract exists.

Sources: Cboe: 0DTE Trading Resources; U.S. Securities and Exchange Commission: Cboe BZX Exchange: Notice of Filing and Immediate Effectiveness of a Proposed Rule Change to Amend the Short Term Option Series Program (Release No. 34-104645).

Why gamma rises into expiry

Gamma is highest for options near the money, and for those options it rises as expiration approaches. With little time left, a near-the-money option’s delta can swing across most of its range on a small move, while options a few dollars away lose almost all their gamma.

The table below uses a fictional ETF and a standard pricing model to show the shape. Read the $100.00 row: the same strike carries about 4.6 times the gamma with one day left as with 21. Read the last column: $4.00 away, gamma is close to zero. Near expiry, gamma piles up near the current price and thins out fast away from it.

These are illustrations, not quotes. Real contracts have their own volatility, skew and time conventions.

Sources: Options Industry Council (OCC): Gamma; Cboe: 0DTE Trading Resources.

Why same-day contracts can dominate the nearest view

GEX multiplies each contract’s gamma by open interest, the contract multiplier and price². Hold open interest equal, and a near-the-money same-day contract can contribute several times what an otherwise identical 21-day contract does. When the nearest admitted expiry is the same-day contract, the nearest view is that one expiry, and its near-the-money strikes can set the walls, the flip and the sign.

The same property makes those levels fragile. As price moves, the peak moves with it. As the hours pass, gamma near the money concentrates further. At the close the contracts expire, and the next session’s nearest view is built on a different expiry.

Open interest adds a blind spot. OCC reports new open interest after end-of-day clearing, and Cboe DataShop, for example, loads the prior night’s figure at the open and holds it all day. A same-day position opened during its expiry session never appears in the open interest a model uses, because the contract has expired before the next report.

Sources: Options Industry Council (OCC): General Information (FAQ): Is increased open interest bullish?; Cboe DataShop: Frequently Asked Questions.

Nearest, 14d, 30d and 90d compared

Prism’s Nearest window selects the first admitted expiry. The rolling windows include admitted expiries through a calendar-day cutoff. Hold the symbol, session and units fixed, then switch.

If a wall or the flip moves when you switch from Nearest to 30d, the later expiries changed the total enough to move it. If a level persists across windows, several expiries contribute to it. Neither pattern ranks the levels or predicts which one price will respect.

Choose Pro → Expiry table and model context to see each included date with its call and put open interest and net GEX.

What Cboe’s SPX 0DTE study found

In September 2023, Cboe published an analysis of SPX 0DTE options. As the exchange, it could see whether each trade was customer or market maker, buy or sell, opening or closing, so it measured market makers’ net position instead of inferring it.

Sampling every 30 minutes over the prior year, it found market makers’ average net gamma in SPX 0DTE options ranged from about $170 million to $670 million through the day, which it put at 0.04% to 0.17% of daily S&P futures liquidity. It found customer flow close to balanced between buying and selling, and SPX intraday volatility in line with historical averages.

The finding is sample-specific: one index, one period, same-day contracts only. Cboe notes that market makers may hold offsetting positions in other expiries or related products, including SPY 0DTE options. Prism does not cover SPX, and the result does not transfer automatically to SPY or QQQ.

Its broader point applies anywhere. Heavy volume is not the same as large net exposure. Balanced buying and selling can leave little for hedgers to do.

Sources: Cboe — Mandy Xu: Much Ado About 0DTEs: Evaluating the Market Impact of SPX 0DTE Options.

How this sits in a plan you already have

A same-day book is the most time-sensitive view in the workspace. Use it as location inside a plan you already have. It does not choose an entry, a stop or a direction.

• Read the nearest expiry date before reading any level from it.
• Compare Nearest with 30d before treating a same-day concentration as the only one that matters.
• Recheck same-day levels as price and the clock move, instead of anchoring to the morning value.
• If the data clock is not current, stand down. A demo or stale book is not a live book.

What remains unknown

Positions opened today are missing from the open interest behind the book. Who holds same-day contracts, and whether and how they hedge, is not in the data. Close to expiry, gamma is sensitive to small changes in price, time and volatility inputs, so two reasonable models can draw different same-day levels.

A same-day wall can fail, move or vanish within the session. Check price structure, liquidity and event risk before applying your own risk plan.