Why Gamma Matters Most on 0DTE
Gamma measures how fast an option's delta changes. On 0DTE, gamma reaches its maximum for ATM options, making positions extremely sensitive to price moves.
The Gamma Spike Effect
As expiration approaches, ATM gamma increases exponentially. This means:
- Small price moves create large P&L swings
- Delta can flip from 0.50 to 0.90+ in minutes
- Short gamma positions face unlimited risk
Managing 0DTE Gamma Risk
- Size positions smaller than longer-dated trades
- Use defined-risk strategies (spreads, not naked)
- Monitor gamma flip points for directional bias
- Be prepared to cut losses quickly