0DTE Options and the VIX: A Market Study

Studying Intraday Volatility, Index Options Mechanics, and VIX Derivatives

0DTE Options and the VIX: A Market Study examines two closely watched parts of modern markets: same-day expiration index options (0DTE) and volatility measures commonly discussed through the VIX, VIX futures, and VIX options. The focus stays descriptive and mechanics-first, with careful definitions, clear timelines, and an emphasis on interpretation over prediction.

Readers are guided through how option pricing conditions can shift intraday when time to expiration is measured in hours, and why the VIX is best understood as a summary of index option pricing over a forward window rather than a simple “mood” dial. The book also separates spot VIX from the dated nature of VIX futures and the settlement-linked design of VIX options, highlighting how different horizons can move together in some regimes and diverge in others.

Topics include:

• What 0DTE options are (and are not), and why the clock changes intraday sensitivity

• Intrinsic value, time value, and implied volatility as they appear in index options pricing

• What the VIX measures, why it is often misread, and how horizon mismatch creates confusion

• VIX futures term structure, including slope, inversion, and calendar-driven “humps”

• VIX options mechanics, dated settlement references, and why “spot” and “settles” are not interchangeable

• Calendar effects, event windows, and liquidity conditions that can reshape volatility pricing across maturities

• A repeatable interpretive framework: naming the instrument, naming the horizon, and separating observation from plausible channels

Written in plain English with short fictional vignettes to ground the ideas, this study is designed for readers who value clarity, careful language, and a realistic view of how market structure and time horizons influence volatility behavior.