This paper analyzes short-dated one-day-to-expiry (1DTE) index option returns. Theoretically, we provide new analytical tools to calculate higher-order moments of option returns for models with known (or easily calculable) characteristic functions and the impact of macroeconomic event risk on option return distributions for hold-to-maturity option returns. Analytical moments are useful for understanding observed option returns, for evaluating statistical significance, and for GMM-based estimation. Empirically, we analyze 1DTE option returns and document that raw call and put returns are not statistically significant on most days but are highly significant on macroeconomic announcement days. We also analyze variance risk premiums and fit models to observed option returns to understand the underlying risk factors and premia.