SpotGamma recently began investigating a link between 0DTE options volumes and treasury auctions. The first research was posted in our Founder’s Note, and picked up by ZeroHedge: From ZeroHedge: Bonds and stocks were nicely correlated after the US cash open and traded in sync before decoupling around the European close… However, zooming in on the […]
0DTE
Nomura on 0DTE Options Volumes
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 […]
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. […]