Traders dredge 0DTE data for intraday gamma insights
Firms such as UBS, BofA and OptionMetrics are investing in continuous net options position monitoring
The gamma profile of options dealers – reflecting the net end-of-day position that must be delta hedged – has become a keenly watched indicator of expected market turbulence. And with half of all trading in S&P 500 options now coming from zero-day-to-expiry (0DTE) contracts, some bank research teams are starting to factor these exposures into their gamma indicators.
“If you’re not able to track this stuff intraday, then you miss out on an increasingly large part of the picture,” says Pete Clarke
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