SVQ · Dealer positioning
Same-day expiry (0DTE) options
Also called: 0DTE, zero days to expiration, same-day options
Same-day expiry (0DTE) options expire on the day they trade, so their gamma, time decay and delta decay are far larger than on longer-dated options.
Definition
0DTE stands for zero days to expiration: options traded on the day they expire. On major US index products, expiries now exist for every trading day of the week, so there is always a same-day contract.
With only hours left, the price of a 0DTE option is dominated by how far spot is from the strike and how much movement remains possible before the close.
Intuition
Near expiry, an at-the-money option's delta can swing from near zero to near one with a small move, because there is little time left for the price to come back. That makes gamma, theta and charm far larger than on longer-dated contracts.
For dealers who hedge these positions, the hedging is intense and fast. Large same-day open interest can therefore matter for intraday flows in the underlying, and it disappears at the close, which makes intraday positioning analysis time-sensitive.
How it's calculated
Black–Scholes still applies, with T measured in years (minutes remaining divided by minutes in a year, or trading-time conventions). The at-the-money approximations show the scaling:
ΓATM ≈ φ(0) / (S σ √T) ≈ 0.4 / (S σ √T) ΘATM ≈ −S σ φ(0) / (2√T)
Both grow like 1/√T as T shrinks, so halving the remaining time raises at-the-money gamma by about 41%. Charm grows even faster near expiry. Because intraday variance is not uniform (the open and close are usually busier), some practitioners measure T in variance-weighted time rather than clock time.
Example: with spot at 5,000 and 15% implied volatility, a one-month at-the-money option (T ≈ 1/12) has gamma of about 0.4 / (5,000 × 0.15 × √(1/12)) ≈ 0.0018. With one trading hour left (T ≈ 1/1,638, using 252 days of 6.5 hours), the same formula gives about 0.0216, more than eleven times higher.
How to read it
Expect same-day option prices and Greeks to change sharply with each move and each hour. Analytics that are reasonable for a 30-day option, like a single daily gamma number, need intraday updating to stay meaningful.
When reading modeled dealer hedge flow from same-day positioning, remember it is conditional on the positioning assumption and on spot staying near the strikes that carry the gamma.
Common mistakes
- Using daily-close Greeks for same-day contracts.
- Ignoring the time-of-day pattern of volatility when measuring time to expiry.
- Treating modeled hedge flows as observed orders.
- Underestimating how quickly an out-of-the-money same-day option can lose almost all its value.
In Saqrid
SVQ's TEP Charm is a same-day-expiry hedge schedule showing modeled dealer hedge flow at each Eastern-time clock point.
The gamma exposure playbook adds call and put concentration, a gamma balance point and IF/THEN scenario cards.
Open SVQ.
Go deeper
Saqrid Institute lesson: Gamma Exposure (GEX) & Dealer Hedging. Lesson text is open to read without an account.