How Does a "Zero-Day-to-Expiration" (0DTE) Option's Delta Behave Compared to a Long-Dated Option? ⎊ Path

How Does a “zero-Day-to-Expiration” (0DTE) Option’s Delta Behave Compared to a Long-Dated Option?

A 0DTE option's Delta is highly unstable and moves much more rapidly than a long-dated option's Delta. Near the strike, a 0DTE option's Delta will move sharply from near 0 to near 1.0 (or -1.0) with a tiny move in the underlying asset's price, due to its extremely high Gamma.

A long-dated option's Delta changes more gradually, as it has more time value and lower Gamma.

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Glossar

0DTE Options

Definition ⎊ 0DTE Options are derivative contracts on underlying assets, typically cryptocurrencies or traditional financial instruments, that possess zero days until expiration, meaning they must be exercised or expire worthless by the close of the current trading session.

How Does a “Zero-Day-to-Expiration” (0DTE) Option’s Delta Behave Compared to a Long-Dated Option?