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SeedPublished 2026-10-23

Zero-day options and intraday volatility

The VIX and market liquidity are rising keywords in the finance journals, while options that expire on the day they trade have become a large share of US index options volume. Yet none of the 192 recent option and VIX papers carries a zero-day or 0DTE keyword. Do same-day options make intraday markets calmer or more fragile?

financemarket microstructure

What prompted this#

In the finance journals, "VIX" had 13 papers in July–September 2026 against about 8 expected from its earlier share, and "market liquidity" had 13 against 7 (see the finance dashboard). Since October 2025, 192 papers carry a VIX, option-pricing, options-market or implied-volatility keyword (137 in finance journals). Only 4 of them carry a retail or intraday keyword, and none carries a zero-day or 0DTE keyword.

Questions#

  • Does dealers' hedging of same-day options dampen or amplify intraday index moves, depending on whether dealers are long or short gamma?
  • Do retail investors lose money on these options on average, and more than on older short-dated options?
  • Has the VIX, which is built from 30-day options, become less informative as trading moves to same-day contracts?

Data that could help#

Intraday trades and quotes of index options, estimates of dealer positioning, intraday index returns, and measures of retail order flow.

Next step#

Relate estimated dealer gamma in same-day index options to intraday S&P 500 volatility on each trading day of 2023–2025.

The keywords this note follows, in the tracked finance, accounting, economics, management, operations research and AI journals as of 2026-10-26
KeywordPapers, last 30 daysRankPapers per month, Oct 23 – Oct 26*Papers, last 36 months
VIX3#776123
intraday volatility0–25
retail investors6#306328

Markdown version of this note: /ideas/zero-day-options-and-intraday-volatility.md

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Cite this page

Scholar4AI. (2026). Zero-day options and intraday volatility. Journal Research Rankings. Retrieved October 23, 2026, from https://scholar4ai.com/ideas/zero-day-options-and-intraday-volatility

@misc{scholar4ai-ideas-zero-day-options-and-intraday-volatility,
  author = {{Scholar4AI}},
  title = {Zero-day options and intraday volatility},
  year = {2026},
  howpublished = {\url{https://scholar4ai.com/ideas/zero-day-options-and-intraday-volatility}},
  urldate = {2026-10-23},
  note = {Journal Research Rankings; data from OpenAlex (CC0); licensed CC BY-NC 4.0}
}

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