From Eric Wallerstein @WSJ: “Nomura’s Charlie McElligott on 0DTE options: Volumes aren’t inherently a sign of apocalypse: flow can exacerbate intraday moves, BUT much of the volume likely electronic market makers trading for risk positioning, creating noise that can ‘net out’.” “However, potentially an arbitrage opp because no need to post margin with prime brokerages […]
0DTE
The Impact & Risk of 0DTE Short Dated Options Volume
SpotGamma was one of the first analysts to flag the rise of ultra short-dated options (dubbed “0DTE”) volumes in the S&P 500 Index, or SPX. We brought this to the attention of the Wall Street Journal back in September of ’22, and since then the volumes tied to short dated expiration options volumes have exploded. […]
