Summary. Options that expire on the day they trade (0DTE) carry gamma that is far more concentrated than that of longer-dated options, and the concentration increases through the session. This article quantifies that concentration with the Black-Scholes model, explains why start-of-day open interest understates 0DTE positioning, reviews the academic evidence on whether 0DTE hedging amplifies index moves, and turns the mechanics into a session framework.
1. How large 0DTE has become
Cboe added Tuesday and Thursday expirations to SPX Weeklys in 2022, which created an expiration on every trading day [1]. Same-day options now account for most SPX volume: Cboe reports that 0DTE contracts made up 59% of SPX options volume in 2025 as a whole, with a monthly record of 62.4% in August 2025 [2, 3]. Any analysis of intraday dealer hedging in the index therefore has to treat the same-day chain separately.
2. Gamma concentration through the day
The width of an option's gamma profile is set by the expected move to expiry, . Measuring time in trading hours (one session of 6.5 hours equals of a year), the one standard deviation move for SPX at 6,000 and 16% implied volatility is
which gives about 60 points at the open (), 34 points with two hours left and 17 points with 30 minutes left. Figure 1 plots the full path.
Because peak gamma is inversely proportional to , the same narrowing multiplies the height of the profile. In dollar terms, the gamma of one at-the-money SPX contract per 1% move is about $52,000 with 21 trading days to expiry, $237,000 at the open of its expiration day and $605,000 with one hour left (see the companion article for the full curves). Delta changes accordingly: with 30 minutes left, the 6,000 call's delta moves from about 0.28 to about 0.73 as spot goes from 5,990 to 6,010 (Figure 2).
3. Why open interest understates 0DTE positioning
Daily SPX expirations are listed in advance, so a contract that expires today usually carries some open interest from earlier sessions. Most of its trading, however, happens on the final day, and a large share of positions are opened and closed within that day. Because open interest is reported once per day [4], a GEX map built only from the morning snapshot misses positions created during the session. Volume-weighted estimates, which allocate the day's traded contracts to dealer and customer sides using the aggressor of each trade, are a necessary complement for the same-day chain. They are also noisier, because volume includes positions that were opened and closed again.
4. Does 0DTE hedging amplify index moves?
The popular view holds that customers buy 0DTE options, dealers are short gamma, and hedging accelerates intraday moves. The evidence so far is more nuanced:
- Dim, Eraker and Vilkov find that high 0DTE open-interest gamma does not propagate past volatility, and that intraday 0DTE volume shocks do not amplify recent index returns [5].
- Beckmeyer, Branger and Gayda document that retail investors trade 0DTE options heavily and lose money on them on average, with a large share of the loss due to transaction costs [6]. Retail demand is not all one-directional, so dealer gamma is not uniformly negative.
- Bandi, Fusari and Renò show that the 0DTE implied volatility surface has distinct skew and curvature that standard models fit poorly, which matters when gamma is estimated with a single flat volatility [7].
The reasonable conclusion is that 0DTE gamma can dominate local price dynamics around large strikes late in the session, while its effect on overall daily volatility depends on the net sign of dealer positioning, which varies from day to day.
5. A session framework
| Window (ET) | 0DTE gamma profile | What to watch |
|---|---|---|
| 9:30 to 11:00 | Wide (about 60 to 50 points one standard deviation) | Overnight positioning and macro flow dominate; 0DTE strikes matter less individually |
| 11:00 to 14:30 | Narrowing | Large-volume strikes start to attract or repel; walls built from same-day flow form |
| 14:30 to 16:00 | Narrow (about 30 to 15 points) | Strong local effect around the largest strikes; pinning if dealers are long gamma there, sharp moves if they are short |
Two points follow from the mechanics. First, the closer to the close, the smaller the distance over which a single strike matters, so levels that were 40 points away at noon can become irrelevant by 15:30. Second, the sign of dealer positioning at the dominant strike decides whether the late-session effect is a pin or an acceleration, as described in pin risk mechanics.
6. Reading a same-day map
- Filter the gamma map to the same-day expiry and identify the largest positive and negative strikes and the same-day flip.
- Compare open-interest-based and volume-based estimates. Large differences indicate positioning built during the session.
- Note how far spot is from the dominant strike relative to the remaining one standard deviation move.
- Check the calendar. On days with scheduled macro releases, same-day implied volatility contains event risk, and price can move away from strikes regardless of positioning (see event volatility).
DataFirst separates the same-day chain from longer expiries and shows both open-interest and volume views of gamma exposure.
For educational and informational purposes only. Not financial advice. Options trading involves substantial risk of loss. Model figures use Black-Scholes with flat implied volatility; real 0DTE surfaces have skew and curvature.
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
- 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/
- 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
- The Options Clearing Corporation. Volume and open interest reports. www.theocc.com/market-data/market-data-reports/volume-and-open-interest
- Dim, C., Eraker, B., & Vilkov, G. (2024). 0DTEs: Trading, gamma risk and volatility propagation. Working paper, Frankfurt School of Finance & Management.
- 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
- Bandi, F. M., Fusari, N., & Renò, R. (2023). 0DTE option pricing. SSRN working paper 4503344. doi.org/10.2139/ssrn.4503344