I came across this BBG article by chance Wall Street Quants Warm Up to Zero-Day Options Amid Trading Boom
Where can I read about 0DTE options? What shall I know about these derivatives?
(I don't remember this was ever mentioned in W forums?)
Serving the Quantitative Finance Community
Re: Zero-day options
In a sense, nothing is new as every previously traded option became a 0DTE option on its last trading day.
But, your question made me look for something interesting at the usual sources: SSRN, arxiv.
Nothing caught my eye, until I saw the CBOE is supporting the 1-day SPX options with a new VIX1D (1-day VIX)
The methodology paper (at the link) looks the same as prior VIXes, except they changed the time methodology to business minutes from the previous calendar minutes. There is an excel file there with VIX1D levels over the last year and a half.
But, your question made me look for something interesting at the usual sources: SSRN, arxiv.
Nothing caught my eye, until I saw the CBOE is supporting the 1-day SPX options with a new VIX1D (1-day VIX)
The methodology paper (at the link) looks the same as prior VIXes, except they changed the time methodology to business minutes from the previous calendar minutes. There is an excel file there with VIX1D levels over the last year and a half.
Re: Zero-day options
Looking at the excel file, here's a fun fact.
Two days ago (Tues Dec 26, 2023) had the record low close for the VIX1D, (so far) over its short history.
Of course, things are usually seasonally quiet this time of year.
Two days ago (Tues Dec 26, 2023) had the record low close for the VIX1D, (so far) over its short history.
Of course, things are usually seasonally quiet this time of year.