Insights

What Are 0-DTE Options and Which Indices Have Them?

Alphanume Team · April 17, 2026

Zero-day expirations and the indices that list them — the structural feature behind a generation of new options strategies.

0-DTE options — options expiring on the same day they are traded — are a structural feature of the most actively traded index options markets. They have transformed intraday options activity, created new strategy categories, and changed the volatility dynamics of the underlying indices. Understanding what is and isn't available is the starting point.

The mechanic

0-DTE refers to "zero days to expiration" — options whose final trading day and expiration are the same calendar day. Strictly: any option expiring on the trading session that you trade them.

For the major US indices, multiple expiration days per week have been added over the years, eventually creating expirations on every trading day. As of recent years, the major US equity indices have daily expirations available.

Which indices have them

The major indices with daily expirations include:

SPX (S&P 500 index options) — daily expirations since 2022.
NDX (Nasdaq-100 index options) — daily expirations available.
RUT (Russell 2000 index options) — daily expirations available.
SPY, QQQ, IWM (ETF equivalents) — daily expirations available.

Other index products have varying weekly cadences. Individual equity options remain at weekly cadence at most — there are no equity 0-DTE products in the same sense as SPX.

Why 0-DTE changed options markets

Several structural changes have followed the introduction of daily expirations:

Volume concentration. 0-DTE expirations now account for a substantial share of total SPX/SPY options volume — sometimes a majority.
Gamma dynamics. 0-DTE options have extreme gamma exposure. Large positioning can produce significant intraday volatility, particularly near important strike levels.
Hedging vs speculation mix. Daily expirations are used by both institutional hedgers (intraday tail hedges) and retail speculators (high-leverage directional bets). The mix has shifted over time.
Pricing inefficiencies. Very-short-dated options behave differently from longer-dated options; certain pricing relationships (skew, term structure) require fresh analysis.

0-DTE strategy categories

Common applications:

Premium selling. Selling near-the-money or slightly out-of-the-money options for theta capture, accepting tail risk.
Directional speculation. Buying short-dated options for leveraged directional exposure.
Volatility trading. Trading the term structure between 0-DTE and longer-dated implied volatility.
Tail hedging. Daily expirations allow more precise tail hedge timing.
Gamma-aware execution. Strategies that account for or exploit the gamma exposure of the broader market.

The risks specific to 0-DTE

Extreme convexity. Near-the-money short positions can produce large losses on small moves.
Pin risk. Settlement near a strike can produce post-close assignment uncertainty.
Liquidity timing. Bid-ask spreads can widen sharply in the final hour of trading.
Cash-settlement vs physical-settlement. SPX is cash-settled; SPY is physical. The distinction matters for end-of-day exposure.

Data requirements

For 0-DTE research:

Intraday options data at higher than daily frequency. End-of-day data is inadequate.
Full option-chain snapshots at meaningful intraday frequency.
Strike-band history capturing which strikes were listed on each day. The set of listed strikes expands and contracts with index level.

Historical universe of 0-DTE expirations

The current daily-expiration landscape did not exist a decade ago:

SPX originally had only third-Friday monthly expirations.
Weekly Friday expirations were added in stages.
Wednesday expirations were added.
Monday expirations were added.
Tuesday and Thursday expirations were added.
Eventually full daily expirations.

For backtests, the historical expiration cadence at each historical date is required — not the current cadence applied retroactively.

Strike band considerations

For 0-DTE strategies, the set of strikes available — and how that set changes intraday — affects strategy feasibility. The expiration density and strike-band data needed for proper backtests requires careful sourcing.