3 Essential Resources for Mastering 0DTE Options Trading & Risk
Zero-days-to-expiration (0DTE) options – contracts that expire at the end of the same trading session – have rapidly evolved into one of the most influential forces shaping the U.S. equity derivatives markets. What once appealed primarily to short-term investors has now become a structural feature of daily index trading.
For market participants, this shift has changed the rhythm of trading. Risk that once accumulated gradually over days or weeks is now compressed into a few hours. The lifecycle of a position – from initiation to expiration – can unfold between the opening bell and the close. In this environment, traditional end-of-day risk reports and static backtests are no longer enough. Trading 0DTE options today requires real-time analytics, robust hedging frameworks, and the ability to run intraday stress tests on demand.
To help practitioners navigate this complex reality, Numerix has released three in-depth white papers that together provide a practical roadmap for understanding, trading, and risk-managing 0DTE options portfolios with confidence.
Stress testing at lunchtime: Intraday scenario analysis for 0DTE option portfolios
The first resource, Stress testing at lunchtime: Intraday scenario analysis for 0DTE option portfolios, focuses on one of the most pressing challenges created by same-day expiry trading: the need for intraday risk visibility.
0DTE options allow traders to leverage intraday market moves for quick gains. But they also carry significant risks. With no “tomorrow” for 0DTE contracts, portfolio managers cannot afford to wait out market turbulence. Any adverse move before the closing bell can immediately translate into losses.
This white paper discusses why intraday stress tests and scenario analysis are crucial for portfolios with many 0DTE positions. In this research, we explore how real-time “what-if” scenario modelling can highlight potential tail risk events, enabling traders and risk managers to take proactive steps before any unpleasant shocks arise.
Gamma hedging of 0DTE options: Managing extreme risk on expiration day
While stress testing helps identify vulnerabilities, effective hedging is what enables desks to properly manage them. The second paper, Gamma hedging of 0DTE options: Managing extreme risk on expiration day, explores the mechanics that make 0DTE options so powerful – and potentially so dangerous.
As options approach expiry, their gamma can rise dramatically, particularly for strikes near the money. For dealers who are structurally short options in order to meet client demand, this creates a constant need to delta-hedge in the underlying index or futures. With longer-dated options, this rebalancing is spread over days or weeks. However, with 0DTE options, the entire lifecycle is compressed into a single session.
This white paper provides a detailed framework for monitoring delta and gamma risk parameters in real time, and for implementing continuous delta rebalancing strategies that keep risk under control even as markets accelerate near close.
0DTE trading strategies: Practical approaches to more efficient backtesting
The third resource, 0DTE trading strategies: Practical approaches to more efficient backtesting, addresses another critical piece of the puzzle: how to design and validate strategies in a market that moves by the minute.
Traditional backtesting techniques, built around daily bars or end-of-day data, were never intended for products that live and die within hours. As 0DTE options have grown to represent roughly half of daily SPX options volume, firms are discovering that these legacy tools fail to capture the intraday dynamics that drive performance.
In this white paper we discuss the need for more efficient strategy testing and optimization in the 0DTE arena. We also explore how institutional traders leverage high-frequency historical data, intraday market replay, and scenario analysis (including Monte Carlo simulations) to evaluate strategy performance under a multitude of intraday conditions.
Navigate 0DTE Options with Confidence
Taken together, these three white papers form a comprehensive toolkit that can help you navigate 0DTE options with confidence. You will takeaway thoughtful insights on why intraday stress testing is no longer optional, how gamma hedging has become a core driver of market behavior, and what it takes to backtest strategies in a world where positions expire before dinner.
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