---
title: "Zero-day options and intraday volatility (research idea)"
description: "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?"
url: https://scholar4ai.com/ideas/zero-day-options-and-intraday-volatility
markdown_url: https://scholar4ai.com/ideas/zero-day-options-and-intraday-volatility.md
license: CC BY-NC 4.0 (https://creativecommons.org/licenses/by-nc/4.0/)
share_text: "Zero-day options and intraday volatility (research idea): 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."
date: "2026-10-23"
updated: "2026-10-23"
status: "seed"
tags: ["finance", "market microstructure"]
keywords: ["VIX", "intraday volatility", "retail investors"]
---

# 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?

## 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](/categories/finance)). 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.

## Related research activity

*The keywords this note follows, in the tracked finance, accounting, economics, management, operations research and AI journals as of 2026-10-26*

| Keyword | Papers, last 30 days | Rank | Papers per month, Oct 23 – Oct 26* | Papers, last 36 months |
|---|---:|---:|---|---:|
| VIX | 3 | #776 | 5, 0, 3, 5, 2, 1, 3, 4, 4, 2, 4, 2, 3, 3, 4, 5, 1, 2, 2, 1, 1, 4, 3, 5, 4, 5, 5, 2, 6, 3, 7, 3, 4, 7, 1, 7, 3 | 123 |
| intraday volatility | 0 | – | 1, 0, 0, 2, 2, 0, 3, 1, 0, 1, 0, 0, 0, 0, 3, 1, 0, 1, 0, 1, 1, 1, 0, 1, 2, 0, 1, 1, 1, 0, 1, 0, 0, 0, 0, 0, 0 | 25 |
| retail investors | 6 | #306 | 5, 3, 8, 8, 12, 11, 14, 13, 7, 12, 4, 12, 4, 12, 9, 10, 6, 7, 9, 12, 5, 12, 13, 5, 7, 8, 8, 13, 10, 11, 9, 8, 11, 14, 10, 6, 5 | 328 |

## 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

```bibtex
@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}
}
```

License: CC BY-NC 4.0 (https://creativecommons.org/licenses/by-nc/4.0/).