Glossary · Options
0DTE means 'zero days to expiration' — options that expire the same day they're traded. They've grown to roughly half of SPX option volume, and because so much gamma now expires intraday, 0DTE flow rebuilds the dealer-gamma surface through the session. That's why a morning gamma map goes stale by lunch and the gamma flip can migrate during the day.
0DTE is the single biggest reason the old '8am GEX report' model broke: the levels it printed assumed a slow overnight gamma profile that no longer exists in an intraday-expiry market.
After daily SPX expirations were introduced in 2022, same-day options went from a niche (under 5% of volume) to roughly half of SPX option volume. That concentrated an enormous amount of gamma into strikes that expire within hours.
Short-dated gamma is large and fast-decaying, and it gets created and destroyed continuously as the session trades. The practical effect: the dealer-gamma surface — and therefore the levels traders watch — rebuilds intraday rather than staying fixed from the open.
Because 0DTE gamma is concentrated near the money and decays fast, the dealer hedging it drives is faster and more reactive. Charm and vanna flows (delta's sensitivity to time and to volatility) accelerate into the close as theta bleeds, adding end-of-day hedging pressure.
The consequence for the key levels: the gamma flip, the call wall, and the put wall can all move within a single session as same-day strikes trade. They only stay useful if they're recomputed intraday on live implied volatility — a once-a-day morning level frequently no longer reflects reality by the afternoon.
The discipline 0DTE forces: treat the gamma levels as live, not fixed. Watch for the gamma flip being crossed (the regime switch from vol-dampening to vol-amplifying), and expect faster, more violent moves when dealers are in negative gamma.
Sharpnel recomputes the gamma levels intraday on live IV and draws them on the chart with the DOM, footprint, and tape — so you read the current dealer surface against the live order flow, instead of a museum-piece morning PDF.
Zero days to expiration — options that expire the same trading day they're traded. They carry no overnight time value and decay to zero by the close.
It's roughly half of SPX option volume and it makes dealer gamma rebuild intraday. Instead of a stable overnight gamma profile, the surface — and the levels traders watch — shifts through the session, which broke the old morning-GEX-report model.
It makes them dynamic. The gamma flip, call wall, and put wall can migrate intraday as same-day strikes trade, so the levels need intraday recomputation on live implied volatility rather than a single morning calculation.
It's most extreme in SPX and index options, but daily expirations now exist across major index products. The intraday-gamma effect is strongest wherever 0DTE volume is highest.
0DTE is exactly why Sharpnel recomputes the gamma levels intraday and draws them on the chart with your DOM, footprint, and tape — live levels on live order flow, not an 8am PDF. Free Explorer tier on 15-min delayed data.
