Stress testing at lunchtime: Intraday scenario analysis for 0DTE option portfolios

Zero-days-to-expiration (0DTE) options – contracts that expire by the end of the current trading day – have surged in popularity, becoming a dominant force in equity derivatives markets. These ultrashort-term 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. 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.

Find out how professional trading desks manage intraday risk management with 0DTE options by: 

• Running scenario analyses positions during their trading day.
• Utilizing advanced tools and technologies to obtain instant risk analysis.
• Adjusting portfolios before a scenario can become a reality.

Deep-dive into intraday scenario analysis and ‘lunchtime’ stress testing techniques to prepare for tail-risk events in fast-moving markets.