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: what held up and what did not
The popular story is that dealers long near-dated gamma pull price onto heavy strikes into the close. We tested it: a heavy strike that is just sitting there did not draw price in the last hour any more than a random level, and the last half hour near a level was no wilder than anywhere else. What did show up was change — when the same-day Apex was being built within half a percent late in the day, price reached it more often; a still one, no.
When dealers are short the near-dated gamma, hedging runs with the move instead, which is why negative-gamma afternoons can travel further than the morning suggested. That is a statement about size of move, not direction.
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. A still heavy strike is not a pin target; a same-day Apex being built near price late in the day is the version that tested. Respect the convexity in both directions.
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