Gamma hedging of 0DTE options: Managing extreme risk on expiration day

Over the past few years, zero days to expiration (0DTE) options on US equity indices have moved from a niche product to a central component of daily market activity. These contracts, which expire on the same day they are traded, now account for an outsized portion of index option volume (over 61% in the S&P 500 (SPX) as of May 2025)[1].

This white paper provides detailed insights into 0DTE options and how they have become indispensable tools for professional trading desks.  

Discover how professional trading desks utilize 0DTE options as part of their trading and risk management arsenal by focusing on: 

• Prioritizing delta and gamma risk parameters as the expiration days draws near.
• Continuous delta re-balancing which is a necessity on expiration day.
• Advanced hedging tools and techniques to monitor Greeks in real-time and execute hedges with minimal latency.

Explore methods for gamma hedging and rapid delta rebalancing to manage intraday exposure as options approach expiration. 

_{[1] Morningstar. Popular ‘zero-day’ options saw record share of trading volume in May as retail traders piled in. Jun 2, 2025}