TRIED & TRADED
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What is 0-DTE trading?

  • 0-DTE means trading options that expire today.
  • It is not a strategy and not a structure. It is a clock, and it changes whatever you point it at.

What it is

  • Options with zero days to expiry — they settle at the close of the same session.
  • Any structure can be traded on that clock: an iron fly, a credit spread, a straddle.
  • Available on the big index products every trading day, which is what made it a phenomenon rather than a curiosity.
  • The whole life of the trade fits inside one session.

Why it gets its own page

  • Nothing about the structure changes. Everything about its behaviour does.
  • The exit rules on this site are written in days. On a 0-DTE trade they have to be written in hours.
  • That is not a small edit. It is a different specification.

What the clock does

Every effect described elsewhere on this shelf still applies. They are just compressed into a few hours.

  • Theta is enormous, because all the remaining value is time value and there is almost no time left.
  • Gamma is larger still. It is the same lease as always — the rent and the risk — taken to its limit.
  • A one per cent move can be the whole trade, in either direction.
  • There is no tomorrow to recover in. Every other structure on this shelf has one.

What that does to the exits

  • A time exit becomes a clock time — close at 2pm, not at 21 days.
  • A hold to expiry is a few hours away, not weeks.
  • A stop can be hit and recovered from twice in an hour.
  • Every exit rule has to be rewritten, which means a 0-DTE result cannot be compared with a 45-day one.

Where it bites

0-DTE is not a strategy anyone can test. The structure and the exit have to be named first, and then it is a clock setting on that.

  • “Does 0-DTE work?” is not answerable as asked.
  • “Does a 10-delta iron fly on the index, opened at 10am and closed at 3pm, make money?” is answerable.
  • The first question gets all the attention. The second is the one with a number at the end of it.

And the data problem is worse here

  • A daily bar is useless on a trade that lives for hours.
  • Testing this properly needs intraday option quotes, not end-of-day marks.
  • Slippage matters far more, because the trade is opened and closed in the same session and the edge per trade is small.
  • We say plainly that our own data is not currently good enough for this, rather than publishing a daily-bar approximation and calling it a 0-DTE test.

Common questions

Is 0-DTE trading gambling?

It is a short holding period, which is not the same thing. What makes it gamble-like is trading it without a specification — and the short clock makes that far easier to do.

Why has 0-DTE become so popular?

Daily expiries on the major index products made it possible to do every day, and the trades resolve fast enough to feel like feedback. Neither of those is evidence it makes money.

Can 0-DTE be backtested?

Only with intraday option data. A test built on daily closes is not testing a trade that opened and closed inside one day, whatever it says on the label.

Which structure suits 0-DTE?

That is the real question, and it is the one we would test. The candidates are the iron fly and the credit spread, and they behave very differently on a five-hour clock.

How this shows up in our tests

The 0-DTE iron fly with a morning entry is written and unrun.

It is blocked on data rather than on time: until intraday option quotes are in place, a 0-DTE result from this site would be an approximation dressed as a measurement. When that changes, this page will link to the verdict.

The usual vehicle

The iron
fly

Related

Gamma risk
near expiry

Related

The seven ways
to exit