0DTE means zero days to expiry: options that expire at the end of the day they are traded. SPX and SPY now have expiries every trading day, so there is always a 0DTE contract available, and they have become a large share of US options volume.
Why traders use them
- Cheap premium: with hours left, an option has little time value, so it costs far less than a longer-dated one.
- Huge gamma: small moves in the index swing their value dramatically, in both directions.
- No overnight risk: everything is settled by the close.
- Fast theta for sellers: time decay is at its most aggressive on the final day.
The risks
| Risk | What happens |
|---|---|
| Decay | Buyers need the move quickly; if it comes late, theta has already eaten the premium |
| Gamma | Sellers can see a small loss become a very large one in minutes |
| News | A data release or headline can move the index through several strikes at once |
| Overtrading | Cheap contracts and constant action encourage too many trades and oversizing |
Worked example
At 10:00 New York time, with the S&P 500 at 5,000, you buy a 5,010 0DTE call for $2.00 ($200).
If the index reaches 5,030 by the afternoon, the call is worth at least $20 intrinsic: $2,000. If the index stays below 5,010 at the close, it expires worthless: you lose the $200.
Key takeaways
- 0DTE options expire the same day; SPX and SPY have expiries every trading day.
- They're cheap with very high gamma, and time decay is fastest in the final hours.
- Buyers need fast moves; sellers face sudden, outsized losses.
- Size every 0DTE trade assuming the premium can go to zero.