Stats › Options, positions short et positionnement › 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.
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