Understanding 0DTE SPX Index Options

Examining Same-Day Expiration Mechanics, Pricing, and Intraday Volatility

Same-day expiration index options (0DTE) are a widely discussed part of modern derivatives markets, especially around SPX index options. Understanding 0DTE SPX Index Options is an educational, plain-English study of how these contracts are structured, how pricing can behave as expiration approaches, and why intraday volatility can feel different when time is measured in hours rather than weeks.

Readers may learn about:

• What “0DTE” means in practice and how the shrinking clock can change option sensitivity

• Core SPX index option features, including cash settlement and expiration mechanics

• The difference between payoff at expiration and market price behavior before expiration

• Extrinsic value and implied volatility, and why “time decay” can look uneven intraday

• The Greeks as interpretive lenses (delta, gamma, theta, vega) in short time frames

• Intraday regimes such as range, trend, and event-driven sessions and how context can matter

• Liquidity and microstructure basics, including spreads, depth, and quote updates

Throughout, the book uses clear definitions and fictional examples to make complex ideas easier to picture, without attempting to predict markets or provide instructions. The goal is market literacy: a more grounded understanding of what is being priced, why prices can update quickly, and how same-day expiration conditions shape what readers observe.