SpotGamma has been a leader in zeroDTE (0DTE), short dated options volume analysis. We have been quoted on the topic in such publications as the Wall Street Journal, Bloomberg, Reuters and MarketWatch.
What are zeroDTE (0DTE) options?
zeroDTE (0DTE) is a term used to describe options which expire in a very short amount of time. The SPX, SPY & QQQ, have daily options expirations, and so zeroDTE (0DTE) generally refer to the options which expire that same trading day.
In large single stocks like TSLA, AAPL, or GME, zeroDTE (0DTE) generally refers to the next available Friday expiration. This is because single stocks do not have daily expirations listed, but instead have options that expire each Friday.
How much options volume is zeroDTE (0DTE)?
Below is an up to date chart which displays the percentage of options volume that is zeroDTE (0DTE) across the SPX, SPY, QQQ and NDX.
How Can You Monitor zeroDTE (0DTE) Options Trading?
SpotGamma’s HIRO Indicator allows traders to monitor zeroDTE (0DTE), short dated options trading in real time. This indicator reveals exactly when and where our models detect large zeroDTE (0DTE) options activity.
zeroDTE (0DTE) options volume is impactful because it has a high level gamma. Gamma is a way of measuring an options sensitivity to underlying price moves. Gamma can also be seen as a way to measure options market maker hedging requirements. As the price of the underlying stock shifts, some zeroDTE (0DTE) options may have rapid, exponential changes in price. When this occurs, these options may require larger hedging flows which may result in market makers buying, or selling, large shares of stock.
What are the risks of zeroDTE (0DTE) Options Trading?
SpotGamma detailed the risks of zeroDTE (0DTE) back in October of 2022, after we noticed that large, zeroDTE (0DTE) call volume was driving markets higher. You can read this members-only note here.
Further we have discussed our view in depth in the video below.
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