Stats › Intraday and market microstructure › 0DTE options
Zero days to expiry options
In 2016, options expiring the same day they were traded were about 5% of S&P 500 index option volume. They are now the majority of it. That is one of the fastest changes in market structure I've seen in twenty years of doing this.
The headline story you'll have read is that 0DTE is a casino that destabilises the market. I went looking for the evidence behind that, because Cboe publishes the volume data directly and there are now four or five serious academic papers on the volatility question.
What I found is messier than the headlines. Three of the studies say 0DTE flow dampens intraday volatility. One says it increases it. The exchange says the hedging flow is too small to matter. I'll give you all of them with the numbers and let you decide.
Cboe states that 59% of SPX volume traded 0DTE and that SPX 0DTE volume has grown at a 54% annual rate since 2016. Same day expiries were roughly 5% of SPX volume in 2016, about 50% by August 2023, and hit a record monthly 62.4% in August 2025. In Q2 2026 SPX averaged 5.1 million contracts a day with 3.1 million of that 0DTE. On the volatility question the evidence splits: Cboe measures net market maker gamma hedging at 0.04% to 0.2% of daily S&P liquidity and finds "no discernible market impact", one study finds a one standard deviation rise in 0DTE trading lifts volatility by 9.10% relative to its mean, and two others find 0DTE flow reduces intraday realised volatility, by around 60 annualised basis points in one estimate.
Members only
The rest of this page is for members
Below this point there are 8 sections, 1 chart, 1 table and 5 named sources, roughly 2100 words of it. Every figure carries the source it came from and the date the data is from.
You can keep browsing every statistic in the library for free. The intro and the summary are always open.