Estadísticas › Opciones, shorts y posicionamiento › 0DTE and volatility
0DTE options have made the S&P 500 less volatile, not more
| Specification | Coefficient | t |
|---|---|---|
| Year x day-of-week fixed effects | -0.00613 | -2.99 |
| Year x week x time fixed effects | -0.00456 | -4.91 |
| Adding day-of-week effects | -0.00627 | -3.02 |
| Difference-in-differences, Tuesday and Thursday | -0.00540 | -4.27 |
Effect of 0DTE presence on ten-minute realised S&P 500 volatility. Every specification is negative. 42,831 observations, January 2018 to May 2022 for the baseline.
Same-day expiry options are blamed for destabilising the market. The only study with a clean natural experiment finds the opposite: on days when 0DTE contracts expire, ten-minute realised volatility runs about 61 annualised basis points lower, roughly 7% below the mean.
Solo para miembros
El resto de esta página es para miembros
Below this point there are 6 sections, 1 chart and 4 named sources, roughly 600 words of it. Every figure carries the source it came from and the date the data is from.
Puedes seguir consultando todas las estadísticas de la biblioteca gratis. La introducción y el resumen están siempre abiertos.