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What are 0DTE options, in plain words?

0DTE (zero days to expiration) means trading an option on its expiration day; the contract may have been listed weeks before 1. Such options are very sensitive to changes in the stock's price, and a buyer can lose the whole premium in a day 1. Someone who sells a call without owning the shares faces unlimited potential loss 1.

Two calls with a $50 strike on a $50 stock at 30% implied volatility (made-up numbers): one with 1 day left, one with 30. Move the stock.

Source: the StrikePath engine, pricing with the Black–Scholes formula 2 at 4.3% interest a year; a simulated example, not market prices. For learning; not advice.

In numbers

By the formula the $50 call with 1 day left costs $0.32 and the one with 30 days $1.80 2. A $1 rise takes the first to $1.04, up 225%, and the second to $2.38, up 32%; a $1 fall takes the first to $0.04, down 88% 2 (the changes are worked from the prices in whole cents, as quoted). With one day left, its small price hangs almost entirely on where the stock ends.

On expiry day

Brokerage firms may close positions before the market closes, which can limit gains or create losses 1. An option a cent or more in the money at the close is normally exercised automatically 3.

What this shows, and what it doesn't

Model prices with one volatility, counting a day as 1/365 of a year: a call in its final day, not one with only hours left. On expiry day real prices move in minutes, and real quotes carry bid-ask spreads that can be a large share of a small price.

Go further

How much value does an option lose each day? →Time decay near the end.Can you lose more than you invest with options? →The seller's side.
Sources (3), checked 20 October 2026 and 27 October 2026
  1. FINRA, “Zeroing In on an Options Trading Strategy: 0DTE” (4 June 2026). Read it (read 27 October 2026)
  2. Fischer Black and Myron Scholes, “The Pricing of Options and Corporate Liabilities”, Journal of Political Economy 81(3), 637–654, 1973. Read it (read 20 October 2026)
  3. US Securities and Exchange Commission, Release No. 34-57163 (16 January 2008), approving OCC's change to exercise by exception, 73 FR 4298. Read it (read 20 October 2026)

Now try it on a scenario of your own

Pick where a simulated stock might be, and by when: drag one dot and see, side by side, what buying shares, one option, or a pair of options (a call or put spread) would each do. Free, no sign-up.

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