The recent market selloff, where the S&P 500 dropped 3% and volatility surged, led to a decline in 0DTE options volume from 48% to 26%. Despite their popularity for short-term speculation, rising volatility made longer-dated contracts more appealing due to inflated prices. “The market seemed unable to price these options at such high levels of volatility,” said Garrett DeSimone, head of quantitative research at OptionMetrics. “This would also explain the absence of volume.”
Traders spurn zero-day options in this week’s market tumble
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