← InstitutionalLesson 12 · 3:49
What does same-day (0DTE) flow do to the index?
Summary
You can explain how a same-day (0DTE) option's gamma becomes a spike at the strike that grows into the close and vanishes elsewhere. You can read the real estimate per expiry date and describe how hedging that spike can squeeze or stretch a day, depending on which side dealers are on.
Key terms
- 0DTE
- Zero days to expiry: options that expire on the day they are traded, also called same-day options.
- gamma spike
- The sharp peak of a near-expiry option's gamma at its strike, with flat sides away from it.
- squeeze
- When long-gamma hedging leans against moves and pulls the price toward the strike into the close.
- stretch
- When short-gamma hedging pushes moves further, so the day runs away from where the news alone would take it.
Check yourself
Answer each question to see why the right answer is right.
1. Thirty minutes before expiry, how does a same-day XYZ option's gamma compare with a 30-day option's?
2. Late on expiry day, XYZ sits $1 away from a same-day option's strike. What happens to the hedge?
3. Per expiry date, the one-day date carried about minus $15 billion per 1% move and an average date in the next week about minus $6 billion. What does this tell you?
4. In the what-if, the real one-day contracts are held still and only time passes. With three hours left, the slice goes from about minus $15 billion to about minus $24 billion. Why?
5. On two made-up example days with the same news, dealers are long same-day gamma on one and short on the other. What does the lesson show?
Finished the video and the quiz? .