What are 0DTE options?

Same-day expiry, and why it dominates the intraday book

0DTE means zero days to expiry: an option that expires at the end of today's session. SPX has listed expiries every weekday since 2022, so on any given day there is a full chain with hours left to live, and it is where most of the volume goes.

Why they matter out of proportion to their size

Gamma per contract scales roughly with the inverse square root of time to expiry. A contract with six hours left has enormously more gamma than the same strike three weeks out. So a 0DTE chain with modest open interest can carry more of the dealer's hedging obligation than the entire rest of the board — which is why an intraday GEX picture that ignores 0DTE is not describing the same market you are trading.

It also means the picture decays. A 0DTE book's gamma concentrates ever more tightly around spot as the afternoon runs, and then vanishes at the close. The charm mechanics of that decay are a large part of what people describe as the "close magnet".

What the research says, including the unwelcome parts

0DTE is the most over-claimed subject in this niche, so it is the one we have measured most. We catalogued 25 published papers and sorted them by whether a tick tape and a signed dealer book can even test them. Of what we then tested:

Selling 0DTE premium conditioned on the dealer-gamma state — no, across five structures and three entry times.
The same idea conditioned on a volatility state, following a 2025 paper — rejected on 1,073 sessions with the power to have seen it.
What the round trip costs before any of that — measured, and the spread turns out not to be the largest leak.
Where 0DTE prints actually execute — 92.6% exactly on a quote, across 13.1M prints, which removes a price-improvement assumption a lot of backtests quietly rely on.

None of that says 0DTE is untradeable. It says the specific published edges did not survive an honest out-of-sample test on our archive, and it says what any new idea has to beat. You can put your own idea through the same machine in the LAB.