Summary. Same-day expiry options went from a niche product to the majority of SPX options volume in about three years. This article documents that growth with exchange data, shows why the gamma of a same-day option is several times larger than that of a monthly option, reviews what research says about the effect on index volatility, and explains why 0DTE activity is largely invisible to the VIX.
1. The growth of same-day trading
SPX options have expired every trading day since Cboe added Tuesday and Thursday Weeklys in April and May 2022 [1]. Bandi, Fusari and Renò report that 0DTE options already exceeded 45% of daily SPX option volume in 2023 [2]. Cboe data for 2025 show further growth (Figure 1): a 56% share in February, 57% in the third quarter, a record 62.4% in August and 59% for the full year [3, 4, 5, 6].
2. Why same-day options carry so much gamma
Black-Scholes gamma at the money is approximately
so it scales with [7, 8]. A contract with one hour left has times the peak gamma of the same strike with 21 trading days left. Figure 2 shows dollar gamma per contract, the dollars of delta that change for a 1% move in the index:
The concentration cuts both ways. Near the strike, hedge adjustments per point are very large. A few dozen points away, the same-day contract has almost no gamma left, while the monthly contract still has most of its gamma. Same-day positioning is therefore a local force around specific strikes rather than a uniform force across the day's range.
3. Effects on realized volatility: what the evidence says
Whether 0DTE trading raises or lowers index volatility depends on the net sign of dealer gamma, and that sign is an empirical question.
- No systematic amplification. Dim, Eraker and Vilkov find that high 0DTE open-interest gamma does not propagate past volatility and that 0DTE volume shocks do not amplify recent index returns [9].
- Hedging still matters intraday. Baltussen, Da, Lammers and Martens show that short-gamma hedging produces momentum into the close across many futures markets, a pattern that predates daily expirations [10]. Ni, Pearson, Poteshman and White show that dealer hedge rebalancing affects the probability of large moves in the underlying [11].
- Two-sided demand. Retail and institutional traders buy and sell same-day options, so dealer exposure flips sign across strikes and days [12].
The practical reading is that 0DTE positioning shapes the path of the index within the day, especially near large strikes late in the session, without reliably making daily volatility higher.
4. What the tape tends to show
- Pin or break near large strikes. When dealers are long gamma at a large same-day strike, price movements near it shrink into the close. When they are short gamma there, crossing the strike can trigger a fast move. The mechanics are covered in pin risk mechanics.
- Late-session sensitivity. Because gamma narrows through the day (0DTE positioning mechanics), the same order flow has a larger hedging consequence at 15:30 than at 10:00 if spot is near a large strike.
- Implied volatility decay. Same-day implied volatility can be high in the morning because a full session of variance remains in a very short life. As the session passes without large moves, option values fall quickly through time decay, which benefits sellers on quiet days and penalizes them on event days.
5. The VIX blind spot
The VIX is calculated from SPX options with more than 23 and fewer than 37 days to expiration [13]. Same-day options do not enter the calculation at all. A session can therefore see heavy trading in same-day protection, and large intraday swings, while the VIX moves little. For intraday risk, the same-day implied volatility and the same-day gamma map are more informative than the VIX.
6. Implications for non-0DTE traders
- Swing traders still trade inside the same-day gamma map, because ES, SPY and SPX all respond to the hedging it creates.
- Separate the same-day map from the multi-expiry map. The multi-expiry flip and walls set the context for the week; the same-day levels set it for the next few hours.
- On scheduled event days, expect same-day positioning to matter less until the event has passed.
DataFirst's 0DTE filter isolates the same-day chain so it can be compared with the full-chain levels.
For educational and informational purposes only. Not financial advice. Options trading involves substantial risk of loss. Volume shares are as reported by Cboe; gamma figures are Black-Scholes illustrations.
References
- Cboe Global Markets. (2022, April 13). Cboe to add Tuesday and Thursday expirations for SPX Weeklys options. Press release. ir.cboe.com/news/news-details/2022/Cboe-to-Add-Tuesday-and-Thursday-Expirations-for-SPX-Weeklys-Options-04-13-2022/default.aspx
- Bandi, F. M., Fusari, N., & Renò, R. (2023). 0DTE option pricing. SSRN working paper 4503344. doi.org/10.2139/ssrn.4503344
- Cboe Global Markets. (2025). SPX 0DTE options jumped to record 56% share in February. Cboe Insights. www.cboe.com/insights/posts/spx-0-dte-options-jumped-to-record-56-share-in-feb/
- Cboe Global Markets. (2025). The state of the options industry: Quarter three 2025. Cboe Insights. www.cboe.com/insights/posts/the-state-of-the-options-industry-quarter-three-2025/
- Cboe Global Markets. (2025). SPX 0DTE options jump to record 62% share in August. Cboe Insights. www.cboe.com/insights/posts/spx-0-dte-options-jump-to-record-62-share-in-august
- Cboe Global Markets. (2026, January). Cboe reports record trading volume for 2025. Reported by Markets Media. www.marketsmedia.com/cboe-reports-record-trading-volume-for-2025/
- Black, F., & Scholes, M. (1973). The pricing of options and corporate liabilities. Journal of Political Economy, 81(3), 637–654. doi.org/10.1086/260062
- Hull, J. C. (2022). Options, Futures, and Other Derivatives (11th ed.). Pearson.
- Dim, C., Eraker, B., & Vilkov, G. (2024). 0DTEs: Trading, gamma risk and volatility propagation. Working paper, Frankfurt School of Finance & Management.
- Baltussen, G., Da, Z., Lammers, S., & Martens, M. (2021). Hedging demand and market intraday momentum. Journal of Financial Economics, 142(1), 377–403. doi.org/10.1016/j.jfineco.2021.04.029
- Ni, S. X., Pearson, N. D., Poteshman, A. M., & White, J. (2021). Does option trading have a pervasive impact on underlying stock prices? Review of Financial Studies, 34(4), 1952–1986. doi.org/10.1093/rfs/hhaa082
- Beckmeyer, H., Branger, N., & Gayda, L. (2023). Retail traders love 0DTE options… but should they? SSRN working paper 4404704. doi.org/10.2139/ssrn.4404704
- Cboe Global Markets. Cboe Volatility Index (VIX) methodology. White paper. cdn.cboe.com/api/global/us_indices/governance/VIX_Methodology.pdf