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Thursday, March 23, 2023


A Day In The Life Of A 0DTE Option

By Peter Tchir, head of strategy at Academy Securities

I was created or “born” this morning! I will expire or “die” at 4:00pm ET today. My lifespan isn’t quite as long as your mayfly (and they’ve been following this schedule for 100 million years), so I can’t complain. As opposed to the mayfly, it’s unlikely that procreation is in my future (but one can dream), and I still have a lot to do in my 8 hours!

I was lucky to be born as the February 27, 401 SPY Call.

It is too early for trading to begin, but S&P futures are higher and SPY is trading around 398.5 in the pre-market, up from Friday’s close of 396.4. Additionally, I am hearing throughout the ward that Mondays are typically good for calls! I’m excited because I should be very popular today!

Maybe that is why one of my siblings (the SPY 390 Put) looks so despondent. But, I think I’d prefer spending the time ahead of the open (when they unleash us on the world) with 390P (I’ll use our code names, since saying the expiration date over and over is redundant, and quite frankly, a bit depressing). Anyways, let’s move on.

BTW, I’m already annoyed by 400C. Literally it is out there strutting around knowing that it will probably be the most popular one of us right out of the gates. It’s almost embarrassing, at least to me, that there is literally an entourage of 0DTE hanging around 400C sharing in its spotlight!

The waiting for the open is getting a bit tedious!

Also, I’ve got to admit, I’m getting a little freaked out by some of the noises coming from the next room. We don’t know for sure, but supposedly there are some things called “weekly” options being born over there! I’m more scared than jealous because who wants to live a week in obscurity, which most of them will do, when you can have it all in one glorious day! I’m really getting excited for my potential today!

There are rumblings that something called a TSLA March 3rd 200 Call is a real bully! Pushing and shoving the rest of the weekly’s out of the way along with their little gang of 200 Puts/210 Calls (which apparently hang out in every new generation). The only group over there that even seems willing to stand up to the TSLA gang, at least consistently, is the VIX Call group. I’m not even sure what a VIX Call is or does (it isn’t a stock ticker that I know of), but supposedly it could provide some stiff competition for me – though mostly on down days and today looks like an up day!

Ding, ding, ding!

There is the bell, we are off and running!

Hmmm, a disappointing start for me. Seeing a bunch of puts crop up in the “most active” section to start the day. 390P is actually the second most active contract out there. Wow, good thing I was friendly before the open! It is also very early and I am seeing things like XLE and even HYG high on the list. Whatever you think about the high yield bond market, HYG is NOT likely to stay that active (especially since it contains longer-dated options) and the 0DTE family will rule the day!

Take that!

I’m up to the number 10 most traded! Yeehaw, I’m POPULAR!

Yeah, yeah, “Mr. Fancy Pants” 400C is number one, but what can I do about that! You know what seems crazy is that option, which started this morning around 50 cents, is already worth $1.3! What a return! And open interest is only 13,500 contracts compared to a traded volume of 77,000. On Bloomberg you can find vega, delta, and other “Greeks” for this option, which is cute, but largely irrelevant! Theta, or “time decay” is 0, since we expire today! Kind of funny to see N.A. beside such an important option metric, but we are more like betting chits than options!

Ugh, don’t look now, but looks like someone just bought a lot of 0DTE puts!

The 390P is now trading at 1 cent, down from 23 cents! But, let’s be honest, who is buying or selling that here? Yet it is now the 2nd most active contract.

Are the put buyers going to drag down the market or is an upside gamma squeeze still in the cards?

It’s 11am ET, right around the time everyone gets excited about how the market will behave when “Europe goes home”.
The top 8 options traded, by volume, are all SPY Puts and Calls. I’m sitting at number 4, and anything could happen. The “leaderboard” is 399P, 400P, 400C (it would be better for markets if this was leading, but I really don’t like this 0DTE for some reason – must have been the pre-market arrogance), 401C (yours truly!), 402C, 398P, 403C, and 397P.


Things have stagnated (bouncing back and forth) so let’s do a “family portrait”!

My nemesis is at the top of the leader board, but I’m 5th and am convinced that I can make a run for it. If anything, I’d watch that sneaky little 401C because something tells me that one is a “gamer” and could make a strong charge at the end. Also, poor little 390P has all but disappeared.

Personally, I’m a little miffed that AMC, QQQ, and a couple of “tomorrow options” are in there! Seriously, “tomorrow” options, are they just showing off? Ooh, look at me, you are gone today, but I’ll still be here tomorrow and might even move overnight! Ugh, such jerks.

Rumor Has It

Apparently, there are a lot of questions about us and our impact.

  • Did it make the spike starting at 9:45am ET bigger than it should have been?

  • Did we help drag the market down after that spike (whether or not the spike had anything to do with us)?

  • Are we leading the market? Are we following the market? Are we coinciding with it?

  • Do we drive stock market volumes?

The answer to any and all of these questions seems to be yes, no, or maybe, depending on who you talk to (except for the volume question which seems to be an unequivocal yes). Maybe if we stuck around for a few days, we’d have a better sense, but that defeats the purpose!

I’ll let you in on a little secret. There is a club right next door that plays Sweet Dreams on a perma-loop:

Some of them want to use you.

Some of them want to get used by you.

Some of them want to abuse you.

Some of them want to be abused.

Maybe that should be our theme song? Or maybe our “walk on” song! Right as the bell rings and we start our lives, they should play that chorus! If nothing else, it should add some intrigue to our lives!

Fade into the Close?

Just a few minutes ago it looked like the 3pm ET ramp was in play. Now I fade into the close?

Poof I’m Gone

Well, looks like I (and most of my brothers and sisters) expired worthless, as usual.

Have no fear, an entire new clan of 0DTE will be created tomorrow, and we can do it all again

This post was originally published on this site

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