Short-dated index options have been one of the fastest growing new financial products introduced to the market over the past few years. These options are often referred to as 0DTE (zero days to expiration), but a better label may be daily expirations. For example, as of October 20, the NDX has daily expirations for all trading days through November 25.
In the recently published paper, NDX 1-Day Straddle Pricing: Are there Better Days than Others to Buy or Sell Straddles?, we broke down returns for NDX 1-day At-The-Money (ATM) straddle from 2022 through the third quarter of 2025. The table below summarizes performance for buyers and sellers of 1-day ATM straddles over the period covered in the study.
Findings that do not relate to the day of week portion of the study include:
- 1-day ATM NDX straddle buyers have realized much better performance than sellers
- Certain days of the week are better for sellers and some for buyers
- Straddle pricing as a percentage of NDX is less than the average daily move
Other results found in the paper:
- Traders appear to overprice volatility over the weekend
- Tuesday seems to be the day that is most efficient with respect to short dated NDX option pricing
- Toward the end of the week the more likely a trader will benefit from buying versus selling a straddle
Short-dated index NDX option price behavior has consistently favored option buyers, an aspect of option trading that is surprising to many market participants. This paper finds that the day of week appears to have an impact on whether 1-day NDX options are overpriced or underpriced, something that may be a factor in successful trading.
