0DTE Options Strategies: How They Trade

0DTE options strategies are the small set of structures traders assemble from contracts that expire the same afternoon: single-leg calls and puts, vertical credit spreads, iron condors, and hedged positions adjusted through the session. None of the structures is new. The daily expiration calendar on the biggest index products compressed all of them into one session, and that compression is the subject of this page. Everything here is descriptive: how each structure is assembled, and what the tape shows about the contracts that carry them.

What makes a 0DTE strategy different?

A same-day option has one session of life, and at the close it is worth its intrinsic value or nothing. Every structure below is an ordinary options position. The one variable that changed is the clock. Definitions of the contracts themselves sit in the 0DTE options guide, and the intraday shape of the flow is measured in when 0DTE options trade.

Two things follow from a one-session life, and they point in opposite directions. Time value has hours rather than weeks left to burn off, which is the seller's half of the market. The option's sensitivity to the underlying also swings hard whenever price crosses a strike, which is the buyer's half.

The structures people actually use

Every figure in this section is illustrative arithmetic on a made up chain, written to show how a structure is assembled. None of it is a quote, and none of it is a recommendation.

• Long single-leg calls and puts. One contract, one direction. A buyer pays the premium and can lose all of it. On a hypothetical index quoted at 500, a same-day 503 call bought for $0.40 costs $40 per contract and finishes worthless at any close under 503.
• Vertical credit spread. Sell one option, buy a cheaper one further from the money in the same expiry. Selling the 505 call and buying the 507 call might collect $0.60 against a $2.00 wide spread: $60 kept per contract if the index closes under 505, and a maximum loss of $140, the $200 width minus the credit. The long leg is what caps the loss.
• Iron condor. Two credit spreads at once, a call spread above the market and a put spread below. Adding a short 495 put and a long 493 put to the same example collects another $0.55. Both credits stay if the index closes between 495 and 505, and only one side can be breached at a time.
• Iron butterfly. The same idea with the two short strikes stacked at the money rather than spread apart. It collects more credit and keeps it across a narrower band of closing prices.
• Delta hedging and gamma scalping. Trading the underlying against an options position to hold net directional exposure near zero. On expiry day that exposure moves fastest, so the hedging is most frequent. This is the professional structure most often mistaken for a retail one.

Every leg pays a bid-ask spread and a fee at entry and at exit, and a condor pays that bill four times over. What it costs to trade options measures the real bill.

Where the volume actually sits

Structures are easy to describe and hard to count: the tape records contracts, never intentions. What it does record is the price paid, which separates cheap far-from-the-money tickets from deep in-the-money contracts. Here is every same-day contract traded across the whole US options tape on Friday, July 10, 2026, bucketed by premium paid.

SELECT multiIf(price < 0.10, 'Under $0.10',
               price < 0.50, '$0.10 to $0.50',
               price < 2, '$0.50 to $2',
               price < 10, '$2 to $10',
               '$10 and up') AS premium_paid,
       round(sum(size) / 1e6, 2) AS contracts_m,
       round(100.0 * sum(size) / sum(sum(size)) OVER (), 1) AS pct_of_contracts,
       round(100.0 * sum(price * size) / sum(sum(price * size)) OVER (), 1) AS pct_of_premium_dollars
FROM global_markets.options_trades
WHERE sip_timestamp >= toDateTime64('2026-07-10 13:30:00', 9)
  AND sip_timestamp < toDateTime64('2026-07-10 20:00:00', 9)
  AND substring(ticker, length(ticker) - 14, 6) = '260710'
GROUP BY premium_paid
ORDER BY min(price)

Two markets sit inside one tape. Counted in contracts, the cheap end dominates: 21.1% of same-day volume traded at Under $0.10 and another 29.4% at $0.10 to $0.50. Counted in premium dollars, that same Under $0.10 bucket is 0.5% of the money. The $10 and up bucket runs the other way: 3.1% of contracts and 47% of the premium dollars traded that session, on 0.99 million contracts. The lottery-ticket picture and the institutional picture are both on the tape, in different currencies.

Why gamma runs the session

Gamma measures how fast an option's delta, its sensitivity to a $1 move in the underlying, changes as the underlying moves. Theta measures the daily bleed of time value. Both sharpen as expiration approaches. The panel takes every near-the-money US option on July 15, 2026 and reads the median of each greek by time left.

SELECT multiIf(days_to_expiry = 0, '0 (same day)',
               days_to_expiry <= 2, '1-2 days',
               days_to_expiry <= 7, '3-7 days',
               days_to_expiry <= 30, '8-30 days',
               'Over 30 days') AS time_to_expiry,
       count() AS contracts,
       round(quantileExact(0.5)(gamma), 4) AS median_gamma,
       round(quantileExact(0.5)(abs(theta)), 3) AS median_abs_theta,
       round(quantileExact(0.5)(abs(delta)), 2) AS median_abs_delta
FROM global_markets.options_greeks
WHERE date = toDate('2026-07-15')
  AND iv_converged
  AND implied_volatility BETWEEN 0.02 AND 5
  AND abs(strike_price / underlying_close - 1) <= 0.02
  AND days_to_expiry >= 0
GROUP BY time_to_expiry
ORDER BY min(days_to_expiry)

Median gamma in the 1-2 days bucket was 0.0915, against 0.0151 for contracts with Over 30 days left: a multiple of the curvature at the long end, measured across 6063 contracts. Median absolute theta runs the same way, 0.367 a day at the front against 0.055 at the back. Median delta magnitude barely moves across the table, near 0.49 in the front bucket and 0.52 in the last: moneyness is delta's axis, not time.

Extend that curve one step further and a same-day contract is what sits at its end. A credit spread comfortably out of the money at lunch can carry a delta near one an hour later, on an index move of a few tenths of a percent. The full set of sensitivities is in the option greeks explained. Volatility repricing runs on the same clock, which is IV crush measured on real events.

What an iron condor is actually betting on

A condor keeps its credit when the underlying finishes between the short strikes, which makes the relevant question empirical rather than theoretical: how far does the index travel inside one session? The panel measures SPY over six weeks of regular sessions, each day's close, high and low expressed against that morning's open.

SELECT toString(session_date) AS date,
       formatDateTimeInJodaSyntax(session_date, 'MMM d') AS session_label,
       round(100 * (close_px / open_px - 1), 2) AS close_vs_open_pct,
       round(100 * (high_px / open_px - 1), 2) AS session_high_pct,
       round(100 * (low_px / open_px - 1), 2) AS session_low_pct
FROM (
    SELECT toDate(toTimeZone(window_start, 'America/New_York')) AS session_date,
           argMin(open, window_start) AS open_px,
           argMax(close, window_start) AS close_px,
           max(high) AS high_px,
           min(low) AS low_px
    FROM global_markets.delayed_stocks_minute_aggs
    WHERE ticker = 'SPY'
      AND window_start >= toDateTime('2026-06-01 09:30:00', 'America/New_York')
      AND window_start < toDateTime('2026-07-11 16:01:00', 'America/New_York')
      AND (toHour(toTimeZone(window_start, 'America/New_York')) * 60
           + toMinute(toTimeZone(window_start, 'America/New_York'))) BETWEEN 570 AND 959
    GROUP BY session_date
)
ORDER BY session_date

Across the 28 sessions charted, most closes land inside a percent of the open, which is the shape a condor is built around. The exceptions are on the chart too. Jun 5 closed -1.98% from its open after a session low of -2.24%, and Jun 9 reached -2.83% intraday while finishing at -0.89%. A structure that collects a small credit on ordinary days and pays a capped loss on the rest has a payoff shaped by exactly those few rows.

How same-day contracts finish

At the bell the arithmetic is simple: an in-the-money contract settles with value, and everything else expires at zero. Widen the July 10 session to every same-day SPY strike, sorted against that afternoon's closing price.

WITH (
    SELECT round(argMax(close, window_start), 2)
    FROM global_markets.delayed_stocks_minute_aggs
    WHERE ticker = 'SPY'
      AND window_start >= toDateTime('2026-07-10 09:30:00', 'America/New_York')
      AND window_start < toDateTime('2026-07-10 16:01:00', 'America/New_York')
) AS spy_close
SELECT if(expired_at_zero, 'Expired at zero (out of the money)',
                           'Settled with value (in the money)') AS at_the_bell,
       count() AS strikes,
       round(sum(vol) / 1e6, 2) AS contracts_m,
       round(100.0 * sum(vol) / sum(sum(vol)) OVER (), 1) AS pct_of_spy_same_day_volume
FROM (
    SELECT substring(ticker, length(ticker) - 8, 1) AS opt_type,
           toFloat64(substring(ticker, length(ticker) - 7, 8)) / 1000 AS strike,
           (opt_type = 'C' AND strike > spy_close) OR (opt_type = 'P' AND strike < spy_close) AS expired_at_zero,
           sum(toFloat64(volume)) AS vol
    FROM global_markets.options_minute_aggs
    WHERE window_start >= toDateTime('2026-07-10 08:00:00')
      AND window_start < toDateTime('2026-07-11 04:00:00')
      AND startsWith(ticker, 'O:SPY260710')
    GROUP BY ticker, opt_type, strike, expired_at_zero
)
GROUP BY expired_at_zero
ORDER BY expired_at_zero DESC

110 strikes finished out of the money and expired at zero, carrying 57.5% of the session's same-day SPY volume on 4.68 million contracts. The 42.5% that settled with value spread across 138 strikes.

Read that in both directions. Every contract in the top row was a total loss for whoever held it long at the close, and the full credit for whoever was short it. Volume is not ownership, and the tape cannot say who held what at 4 p.m. It does say that the majority of the session's same-day SPY volume sat in contracts that ended worth nothing, which is the arithmetic credit structures are built around.

Guardrails that show up in practice

Broker risk documents, exchange education and desk write-ups converge on a short list of standing constraints. These are descriptions of common practice, not instructions.

• Position sizing is set against the maximum loss of a structure rather than the credit collected. A $2 wide spread sold for $0.60 risks $140 per contract, and the credit is the smaller number by design.
• Defined-risk structures cap the loss at entry. Undefined-risk structures, a naked short call above all, do not, and brokers gate them behind higher approval levels and a margin account.
• Assignment is a same-day event on American-style contracts. An in-the-money short leg on SPY delivers 100 shares per contract, which is a stock position carried overnight. Cash-settled index options such as SPX avoid that step.
• Exit rules get written before entry, since a position's sensitivity changes faster in the final hour than a decision does.
• Frequent same-day trading falls under the US pattern-day-trader rule: four or more day trades in five business days requires $25,000 of equity in a margin account (as of July 2026).

0DTE strategies FAQ

What is the most common 0DTE options strategy?

The tape labels contracts, never structures. What it shows for July 10, 2026 is that 21.1% of same-day volume traded at Under $0.10 of premium while 47% of the premium dollars sat in contracts of $10 and up. Cheap far-from-the-money buying and expensive near-the-money positioning both run at scale.

Why do 0DTE traders talk about gamma so much?

Gamma is the rate at which an option's directional exposure changes, and it is largest closest to expiry. Near-the-money contracts with 1-2 days left carried a median gamma of 0.0915 on July 15, 2026, against 0.0151 for contracts with Over 30 days to run. A same-day position can travel from almost no directional exposure to full exposure inside one session.

Do most 0DTE options expire worthless?

On July 10, 2026, 57.5% of same-day SPY volume traded in strikes that finished out of the money and expired at zero, across 110 strikes. Volume counts contracts traded rather than positions held, so the figure measures where the trading sat, not what any one account owned at the bell.

What is the difference between a 0DTE credit spread and an iron condor?

A credit spread is one pair: a short option and a long option further from the money in the same expiry, taking a view on a single side of the market. An iron condor is two such spreads at once, one above the market and one below, keeping both credits when the underlying finishes between the two short strikes.

Are 0DTE options allowed in a retirement account?

Approval levels vary by broker. Most retirement accounts permit defined-risk and covered structures while excluding naked short options and margin borrowing, so the permitted 0DTE structures are a subset of what a margin account allows. The specifics sit in a broker's options-agreement levels rather than in any market-wide rule.

Every panel above is a stored, versioned query over the US options tape. Expand the SQL under any table, or run the same scan on another session from the Strasmore terminal.