Why 0DTE volumes went through the roof
I think a lot of people arrived at 0DTE from the same doorway I did.
When I sell theta on the S&P, I keep it very short-dated. The whole reason is the tenor of what I actually know.
The S&P options market is deep enough that 0DTE volume is now a major daily input into how the tape behaves. All that gamma trading every session has a real impact on where the market goes and how much it moves. You can get half-decent estimates of whether the whole options complex is running long or short gamma at any given point.
That read is a read on today.
It might look completely different tomorrow. Overnight positioning changes. New flows come in. The whole gamma picture can shift on an OPEX day or on a big print.
So there's not much point in slapping a one-week or one-month trade on top of a read that might not survive the close.
If what I actually know is today's gamma condition, the honest trade is today's options. You get your theta faster too, which is a bonus.
There's a long side to this as well.
If you only want to hedge one specific macro number that's out today, the cheapest way to do it in dollar terms is probably a 0DTE put. You're not paying for time you don't need, and the strike sits where the risk is.
More and more people are gravitating toward 0DTE, and it isn't just retail gamblers.
Which is the actual point I want to leave you with.
Match the tenor of the option to the tenor of what you actually know. A same-day read wants same-day options. A same-quarter read wants same-quarter options. Paying for time beyond the horizon of your information is paying the market to hold something you can't use.
The habit of asking "how long is my read good for?" before I pick the expiry is one of the disciplines I go through in my framework. Which reads deserve short options. Which deserve long ones. What tends to break when they're mismatched.
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