What is 0DTE gamma and why does it dominate the day?
Same-day-expiry options now make up a large share of index volume, and they behave differently from everything else on the board. The reason is gamma: as expiry approaches, gamma concentrates violently around at-the-money strikes.
Why gamma explodes near expiry
An option far from expiry has its delta spread smoothly across a wide range of prices. As expiry approaches that curve steepens — a contract that is nearly worthless a dollar out of the money becomes nearly a full share equivalent a dollar in.
That steepening is gamma, and on expiry day it becomes extreme. Small moves in the underlying force large hedge adjustments, which is why 0DTE positioning has an outsized effect on intraday price relative to the premium involved.
Pinning and acceleration
When dealers are long the near-dated gamma, the hedging pulls price toward heavily-traded strikes into the close — the pinning effect traders notice on expiry days.
When they are short it, the same mechanism runs in reverse and produces the sharp, self-feeding afternoon moves that appear to come from nowhere.
Why gamma and vega can disagree
Gamma concentrates in near-dated contracts; vega — sensitivity to volatility itself — concentrates in far-dated ones. Because of that, a single strike can be short gamma from same-day positioning while long vega from monthly positioning.
When two surfaces disagree at the same strike, that disagreement is a statement about which expiry the positioning sits in. It is not a contradiction in the data.
Trading around it
The practical caution is that 0DTE contracts are convex in both directions. The same mechanism that turns a small favourable move into a multiple turns a small adverse one into a total loss, and the clock never stops working against you.
Position size for the tail, not the win rate.
0DTE gamma concentrates hedging into a narrow band of strikes, which is why expiry sessions pin or accelerate. Respect the convexity in both directions.
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