Inside the 0DTE Market: Who Trades Same-Day Options, How Dealers Hedge, and Whether It Moves the Index

The 0DTE market is the trading of options on the day they expire, dominated by S&P 500 index options (SPX and its weekly-root contracts, SPXW) that settle in cash at that afternoon’s close. Same-day contracts now make up a majority of SPX volume, and the central professional question is whether market makers’ hedging of them stabilizes or destabilizes the index. The best current evidence says that on average it dampens intraday volatility, with occasional days when dealer positioning flips and adds to moves.

In short: as of the second quarter of 2026, Cboe reported SPX 0DTE volume averaging a record 3.1 million contracts a day, about 61% of SPX options volume; across all US-listed options, SEC staff measured same-day trading at about 28% of contracts by 2025. Individual investors account for most expiration-day volume. Options this close to expiry have enormous gamma, which is why people worry that dealer hedging could amplify moves. Cboe’s own data show customer flow so balanced that net dealer hedging is a fraction of a percent of futures liquidity, and the most carefully identified academic study finds intraday volatility about 7% lower when 0DTEs are present. Other studies find higher volatility, or rare episodes where negative dealer gamma raises it. The evidence on retail profitability is also contested.

This article builds on zero-DTE options explained and on gamma explained. It describes how the market works and what the research shows. It is not a recommendation to trade these contracts.

A common misconception: “0DTE flows force dealers to chase the market”

The popular story goes like this: retail traders pile into same-day options, dealers end up short huge amounts of gamma, and as the index moves they must buy into rallies and sell into declines, turning small moves into large ones. Every link in that chain is an empirical question. Are dealers net short gamma, or net long? Is customer flow one-directional, or does it mostly offset? Do dealers hedge with futures, or with other options? How large is any hedge relative to futures liquidity? The research, covered below, gives answers that are much less dramatic than the story, though not uniformly reassuring.

What a 0DTE is, mechanically

Any option traded on its expiration date is a 0DTE. In practice, the market is concentrated in a few products, as SEC staff found: SPX, SPY and QQQ top the list of retail 0DTE activity by contracts and dollars, followed by a handful of single stocks such as TSLA, NVDA and AAPL.

For SPX, the details matter:

SPXW contracts are cash-settled, European-style options that settle on the S&P 500’s closing value. Standard monthly SPX options settle on the opening value instead. The distinction between cash and physical settlement, and between European and American exercise, is covered in American vs European options.
Daily expirations. According to the expiration history described by Greg Adams and coauthors (2026), SPXW contracts have expired regularly on Mondays, Wednesdays and Fridays since 2016, and from around May 2022 on Tuesdays and Thursdays as well, completing a five-day calendar.
No assignment surprises at the close. Because SPXW options are cash-settled, an in-the-money position becomes cash, not shares. ETF options such as SPY are physically settled and American-style, so the after-hours and assignment issues covered in what happens at expiration apply to them.

The volume record, with dates

Period	Measure	Source
2016	0DTE about 5% of SPX options volume	Cboe, Mandy Xu, “Much Ado About 0DTEs” (Sept. 8, 2023)
August 2023	0DTE averaged 50% of SPX options volume	Same
Early 2022 to 2025	0DTE share of all US-listed option contracts rose from 19.6% to 28%	SEC Division of Trading and Markets staff, roundtable data (Apr. 9, 2026)
Full year 2025	SPX 0DTE averaged 2.3 million contracts a day, 59% of SPX volume	Cboe, “The State of the Options Industry: 2025” (Jan. 22, 2026)
Q2 2026	SPX 0DTE quarterly record of 3.1 million a day; SPX quarterly record of 5.1 million a day	Cboe June 2026 volume release (July 6, 2026)
June 2026	SPX 0DTE monthly record of 3.3 million a day	Same
2026 to date (July)	0DTE across all US options above 20 million contracts a day, up 46.2% year to date	Cboe, “State of the Options Industry” Q2 2026 (July 21, 2026)

The Q2 2026 share, 3.1 / 5.1, is about 61% (our calculation). For context, Cboe reported total US listed options volume of 15.2 billion contracts in 2025, an average of 61 million a day.

Who trades them

Retail dominates expiration day

SEC staff, using Consolidated Audit Trail data for December 2025, found that individual customers accounted for 73.5% of expiration-day trading (excluding market makers), against 54.3% on other days. Institutional customers were 6.8% of expiration-day volume and 21.8% on other days. “Other proprietary” accounts doubled their share of 0DTE volume between 2022 and December 2025, from 5.6% to 11.2%. Staff summarize that individual customers’ 0DTE volume grew from tens of millions of contracts a month in 2022 to hundreds of millions a month by 2025, while institutional and hedging activity remains concentrated in longer-dated options.

Cboe’s estimate is in the same range. In “0DTEs Decoded: Positioning, Trends, and Market Impact” (May 2, 2025), Mandy Xu estimated that retail made up around 50% to 60% of SPX 0DTE trading, and that its share fell from 57% to 47% in early April 2025, when intraday SPX volatility surged, before rebounding to about 60%. Heiner Beckmeyer, Nicole Branger and Leander Gayda (“Retail Traders Love 0DTE Options… But Should They?”, working paper, December 2023) found that more than 75% of retail trades in S&P 500 options were 0DTE contracts.

What they trade

Cboe’s May 2025 note reports that only 4% of SPX 0DTE trading was in naked short options, and that over 95% of 0DTE trades were in a limited-risk format, with retail activity concentrated in defined-risk structures such as short vertical spreads and iron condors. That matters for the dealer-hedging debate: two-sided, multi-leg flow nets out much of the gamma it creates.

The gamma arithmetic dealers face

Gamma, the rate at which delta changes, explodes for at-the-money options as expiry approaches. To see the scale, take a hypothetical index at 6,000 with 15% implied volatility and a 4% rate, and measure time in trading hours (252 days of 6.5 hours a year). For an at-the-money call:

Time to expiry	Gamma (per index point)	Delta change if index rises 0.25%	Delta change if index rises 0.50%	ATM straddle as % of index
30 calendar days	0.0015	+0.023	+0.046	3.44%
6.5 hours (the open)	0.0070	+0.104	+0.200	0.75%
1 hour	0.0179	+0.249	+0.409	0.30%
15 minutes	0.0359	+0.410	+0.495	0.15%

With an hour left, a 0.5% move takes an at-the-money option’s delta from about 0.50 to about 0.91. With 15 minutes left, a 0.25% move does nearly all of that. (The deltas are computed exactly rather than from gamma alone, because for large moves near expiry the linear approximation overshoots.)

Worked example: a hypothetical one-sided book

Suppose, unrealistically, that dealers were net short 20,000 at-the-money SPX calls with one hour to go, and the index rose 0.5%. Each call’s delta rises by 0.409, so the book’s delta changes by 0.409 x 20,000 x 100 = about 818,000 index units, or roughly $4.9 billion of S&P 500 exposure. Hedging it with E-mini S&P 500 futures ($50 per index point) would require buying about 16,350 contracts. The same position in 30-day options would need about 1,830.

That is the mechanism behind the concern: short-dated gamma converts small moves into large hedging trades. The question is whether real books look anything like this one. On the evidence below, they usually do not.

What the evidence says about market impact

Cboe’s position data

Cboe sees every SPX transaction, including whether each side is a customer or market maker, buying or selling, opening or closing. In September 2023, Mandy Xu reported that net market-maker gamma in SPX 0DTE options ranged on average from $170 million to $670 million through the day, with a median of +$173 million at 3:30 p.m. and a typical range of -$1.1 billion to +$2.4 billion. Expressed as the futures market makers would trade in response to a 1% index move, average net hedging flows were 0.04% to 0.17% of daily S&P futures liquidity. Cboe also found no increase in the frequency of large late-day moves and an intraday-versus-close volatility spread in line with its ten-year average. The May 2025 follow-up concluded that because customer activity was “extremely balanced,” net market-maker gamma hedging remained “de minimis, representing at best, just 0.2% of the SPX daily liquidity.”

Two caveats come with an exchange analysing its own fastest-growing product: the data cover SPX only, and Cboe notes that market makers may hedge 0DTE positions with other options rather than futures.

Academic work finding a dampening effect

Chukwuma Dim, Bjorn Eraker and Grigory Vilkov, “0DTEs: Trading, Gamma Risk and Volatility Propagation” (SSRN working paper, first posted 2024), found that market makers’ net gamma inventory in 0DTEs was on average positive and negatively related to future intraday volatility, with positive gamma strengthening intraday reversals and negative gamma strengthening momentum. They describe the evidence as consistent with delta hedging and inconsistent with information-based trading, and found that high 0DTE gamma does not propagate past volatility.
Greg Adams, Chukwuma Dim, Bjorn Eraker, Jean-Sebastien Fontaine, Chay Ornthanalai and Grigory Vilkov, “Do S&P 500 Options Increase Market Volatility? Evidence from 0DTEs” (draft of July 15, 2026, which subsumes the Dim, Eraker and Vilkov paper) is the best-identified study. Because Tuesday and Thursday 0DTEs only existed on some days before mid-2022, the authors can compare otherwise similar days with and without expiring contracts. On days when 0DTEs expire, 10-minute realized volatility of the S&P 500 was 61 basis points (annualized) lower, about 7% of the 9.10% sample average, and the weekday difference disappears once 0DTEs expire every day. Market makers’ hedging needs, about 1% of S&P 500 shares for a 1% index move, rise by 0.15 percentage points when 0DTEs are present, in the direction that dampens moves. The key twist: the effect comes mainly from positions built earlier in longer-dated options that become 0DTEs on expiry day (25 basis points of hedging needs), not from new same-day trading (3 basis points).

Academic work finding an amplifying effect, or tail risk

Jonathan Brogaard, Jaehee Han and Peter Won, “How Does Zero-Day-to-Expiry Options Trading Affect the Volatility of Underlying Assets?” (working paper, 2023 version), use the staggered introduction of SPXW expirations as an instrument and find that a one standard deviation increase in instrumented 0DTE volume relative to other options raises same-day 5-minute volatility of the underlying by about 13.64%.
Diego Amaya, Pedro Garcia-Ares, Neil Pearson and Aurelio Vasquez, “0DTE Index Options and Market Volatility: How Large is Their Impact?” (January 2025), used Cboe trade records for all SPX and SPXW trades from July 2020 to June 2023 to rebuild market makers’ net positions minute by minute. They found that dealer gamma is typically positive and typically reduces volatility (the median effect lowers daily volatility by 0.08 percentage points), but is sometimes negative, and then volatility is elevated. Their estimate of the maximum impact: an increase of 3.3 percentage points in annualized daily realized volatility, and 6.4 points over 30-minute windows. They note that 3.3 points is well within the normal range of daily changes in realized volatility.
Amaya and coauthors also cite work by Lipson, Tomio and Zhang finding that 0DTE trading in single-stock options is associated with higher volatility in the underlying stocks, a different market from SPX.

How to read the disagreement

The studies are not as contradictory as they look. Amaya and coauthors point out that the average effect being dampening is consistent with occasional sharp increases. Brogaard and coauthors measure the relation between volume share and volatility; Adams and coauthors measure the effect of the contracts’ presence, and attribute it to positioning rather than to same-day trading. What none of the published evidence supports is the strong version of the story, a structurally short-gamma dealer community forced to chase every move. Estimates of “dealer gamma” built from public data, which have to guess who is long and who is short, are discussed critically in dealer gamma and market impact.

How customers fare

The research on retail outcomes is also contested:

Losses. Beckmeyer, Branger and Gayda estimate that retail investors lost about $241,000 per average day in S&P 500 options from February 2021 to September 2023, rising to about $350,000 a day after the daily expiration calendar arrived in May 2022. They attribute the losses to single-leg trades, trades paying premium up front, and trades in high-implied-volatility options, while multi-leg trades and trades that collect volatility and jump risk premiums did significantly better. They also find retail traders received meaningful price improvement.
Costs may be overstated. Lei Fu, Su Li, David Musto and Neil Pearson (“Hope at a Reasonable Price,” SEC Division of Economic and Risk Analysis working paper, March 2025) identify a sequencing problem in OPRA data, in which the quote that results from a trade is often time-stamped before the trade. Correcting it and identifying customer limit orders from quote condition codes, they find customers were at the best bid or offer more than half the time in actively traded, slightly out-of-the-money SPXW options, and that their limit orders executed at low cost. They explicitly note that comparing trades with the wrong quote, as in the Beckmeyer study, makes executions look worse.
Broader context. The general pattern for short-dated retail option buying, wide percentage spreads and negative average returns, is set out in why most options buyers lose.

How professionals run a 0DTE book

The literature and the exchange data point to a few practices that separate professional 0DTE market making from the popular image:

Netting before hedging. With balanced, multi-leg customer flow, much of the gamma a market maker takes on is offset by other customers’ trades. What is left is hedged in E-mini futures, SPY, or other options.
Hedging needs come from the whole book. Adams and coauthors’ finding that most expiry-day hedging needs come from older positions means desks manage the 0DTE expiry as part of the entire SPX book, not as a separate same-day product.
Pricing jump and close risk. Cash settlement at the close means a book carries gap risk into the final print. Desks widen quotes and reduce size as gamma rises late in the day.
Monitoring the sign of gamma. The academic results agree on the mechanism: long dealer gamma dampens moves and short dealer gamma amplifies them. Desks track their own sign and size of gamma through the day, which public estimates cannot see.

What can go wrong

Gamma near the close. With minutes left, a small index move flips an at-the-money option from worthless to fully in the money. For a short position, losses accelerate exactly when liquidity thins.
Rare negative-gamma episodes. The average effect may be dampening, but Amaya and coauthors estimate that on the worst days dealer gamma added several points of annualized volatility.
Settlement-print risk. SPXW settles to the closing index value. Anything that moves the close moves every expiring contract.
Leverage and total loss. A long 0DTE option can lose 100% of its premium in hours. The straddle in the table above costs only 0.30% of the index with an hour left, so a small move either way decides the outcome.
Physically settled 0DTEs. Same-day ETF and single-stock options deliver shares and can be exercised or assigned after the close, leaving unexpected overnight positions.
Measurement risk in the debate itself. Public “gamma exposure” estimates rest on assumptions about who holds what. Exchange data and CAT data are better, but they are not public at the trade level.

The short version

0DTE options are now the majority of SPX volume: Cboe reported 3.1 million SPX 0DTE contracts a day in Q2 2026, about 61% of the total, and SEC staff found same-day trading at 28% of all US option contracts by 2025. Individual investors dominate expiration-day trading, mostly in defined-risk spreads. Same-day options carry very large gamma, so a one-sided dealer book could in principle force big hedging trades, but Cboe’s data show customer flow so balanced that net hedging is a fraction of a percent of futures liquidity. The best-identified study finds intraday volatility about 7% lower when 0DTEs expire, driven by older positions rather than same-day trading, while other studies find higher volatility or occasional negative-gamma days that add a few points of volatility. Retail traders appear to lose money on average in single-leg 0DTE buying, though how much depends on how execution costs are measured. This is a market where professional hedging infrastructure matters, and it is explained here as a mechanism, not as an invitation to trade it.