THE®RISE OF

SPX & 0DTE

OPTIONS
TABLE OF CONTENTS

Introduction............................................................................................................................................................................................3

Total Options Volume vs SPX Options Volume.......................................................................................................................3

SPX Volume and Open Interest.................................................................................................................................................... 4

History of 0DTE SPX Volume...........................................................................................................................................................5

SPX 0DTE Use Cases.......................................................................................................................................................................... 6

Quote Quality........................................................................................................................................................................................ 8

Total Dollar Premium Traded & Costs to Trade SPX............................................................................................................ 8

Benefits of Short-Dated Options................................................................................................................................................10

Addressing Concerns Associated with SPX 0DTE Options..............................................................................................11

Conclusion.............................................................................................................................................................................................14

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Introduction
U.S. options markets have seen significant growth in trading over the last few years, with volume in 2023 on pace
to be a record for the fourth year in a row. Multiple catalysts such as retail brokers waiving commission charges, a
significant increase in retail investor prowess and a desire for managing portfolio risk after COVID-19 have fueled
strong volume growth in the listed options space over the last few years. Since the initial growth seen from COVID-19
and the meme-stock boom, some of the largest growth has been in index options, particularly in options that are
expiring on the same day they are traded (0-days to expiry or 0DTE). The S&P 500, ticker: SPX, is the most popular
index in terms of options volume. In the first half of 20231, average daily volume (ADV) in SPX options reached 2.76MM
contracts. 1.19MM of those are SPX 0DTE options. While only accounting for approximately 6% of total options volume
traded daily, SPX options represent approximately 33% of total dollars in premium traded2, and over 50% of notional
exposure traded3.

SPX index options offer investors a wide variety of benefits over ETF options and single name equity options. These
benefits include European style settlement – which have no risk of an early exercise, cash settlement – meaning in-
the-money options settle in cash, as opposed to the physically settled ETF/stock shares, and the potential for favorable
tax treatment.

With the massive increase in SPX volume, particularly 0DTE, there have been concerns around market risk associated
with this growth. This report will look at trends in both overall and short-dated SPX options trading, including overall
volume growth, SPX volume and open interest, the history of SPX 0DTE, typical uses of 0DTE options, quote quality
in SPX, costs to trade SPX, the benefits of shorter dated options and addressing some concerns related to the recent
0DTE boom.

Total Options Volume vs SPX Options Volume

From 2000 to 2019, total U.S. listed options OCC4 volume increased at an annualized rate of 11%. From 2019 to 2023,
the industry has been growing at 24% annually. The initial tailwind was retail brokerage platforms eliminating
commissions on options trades beginning October 2019. Initially, options volume growth was the largest in options
on single name equities as investors took a liking to stocks such as Tesla, GameStop, and AMC. Since late 2021, several
types of investors have shifted their preference away from single stock options to broad based index options such as
SPX. Growth in SPX options is more than double that of the rest of the options market since 2020, with a substantial
portion of that growth coming from 0DTE trading.

1 All data in this report is as of June 30th, 2023

2 Total amount of money paid (or received) for buying (selling) options
3 Index spot value * one hundred
4 Options Clearing Corporation

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Page 3
CHART 1: SPX ADV Growth Outpaces Equities & ETF Options
ADV Growth 3x Since 2Q 2020

Cumulative Options ADV Growth Over Last 3 Years

(Source: Cboe and OCC)

160%
139%
140%
SPX daily expiries
120% launch
100% Meme stock boom

80%
60% 47%
40%
20%
0%
-20%
2Q2020 3Q2020 4Q2020 1Q2021 2Q2021 3Q2021 4Q2021 1Q2022 2Q2022 3Q2022 4Q2022 1Q2023 2Q2023
SPX Equities and ETFs

SPX Volume and Open Interest

As seen below in chart 2, SPX average daily volume is up 170% vs 2016, and SPX open interest is up 41% over that
same period. While both are up quite substantially as trading in all expiries across the SPX complex has increased,
0DTE has increased the most. Open interest is calculated at the end of the day by adding all contracts that were
opened (and have not expired yet) and subtracting all contracts that were closed (and have not expired yet). Given
the nature of open interest being calculated at the end of the day, options that are traded 0DTE never hit the open
interest number – which describes the significant difference between ADV and open interest growth.

CHART 2: SPX ADV and Open Interest Are Up 170% and 41% from 2016

SPX ADV and Open Interest Growth

(Source: Cboe and OCC)
170%
3.0MM 180%
160%
2.5MM
140%
2.0MM 120%
100%
1.5MM
2.8MM 80%
1.0MM 2.2MM 60%
41%
1.5MM 1.3MM 1.4MM 40%
1.0MM 1.2MM 1.2MM
0.5MM
20%
0.0MM 0%
2016 2017 2018 2019 2020 2021 2022 2023 YTD

SPX ADV Cumulative ADV Growth Cumulative Open Interest Growth

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Page 4
History of 0DTE SPX Volume
While options volume across the entire SPX term structure has been increasing, 0DTE has far outpaced the growth
seen in all other expiry terms. Looking at total SPX options volume, 0DTE represents 43% of the pie in 2023 year to
date. Since the introduction of weekly Friday options in 2005, average options duration had been trending shorter
than it did historically. In the second half of 2016, increased customer demand for shorter dated options led to the
listing of Monday and Wednesday expiries. In 2017, 0DTE represented 6% of total volume versus 5% in the year prior
as more customers took advantage of the new expiries.

From 2017 to 2021, 0DTE grew to 21% as the shorter dated options trend started becoming popular among
investors as it offered a better return on capital, the ability to reposition more f requently, and the ability to hedge
event risk more accurately (such as an FOMC announcement). 2021 was the last full year that SPX did not have
Tuesday or Thursday expiries. Since listing Tuesday and Thursday expiries in 2022, that percentage has grown to
43% in 2023. The hypergrowth seen in 0DTE the last couple of years has been unprecedented.

CHART 3: 0DTE Accounts for 43% of SPX Volume in 2023

Chart 3 suggests that SPX 0DTE has been growing, and SPX non-0DTE has been shrinking. In fact, as seen in chart
4 all expiries have seen material volume growth, however 0DTE far outweighs the growth seen in other tenors.
Non-0DTE and 0DTE ADV are up 7% and 58% annualized, respectively f rom 2016 to 2023 YTD.

CHART 4: SPX 0DTE ADV Up 58% Annually Since 2016

SPX ADV by Time to Expiry
(Source: Cboe)
1,195k
806k
115k
75k 138k 212k 281k
49k
1,364k 1,407k 1,563k
983k 1,091k 1,128k 1,025k 1,082k

2016 2017 2018 2019 2020 2021 2022 2023 YTD

Non-0DTE ADV 0DTE ADV

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Page 5
SPX 0DTE Use Cases
Over the last few years, the options industry as a whole has seen a shift to shorter dated options trading. This is partially
due to the listing of more frequent expiries – allowing investors to trade more tactically around events – and partially
due to the broadening user base of options traders. SPX, and more specifically 0DTE, volume growth has been coming
from diverse types of investors. From large institutions to mid-size hedge funds to small retail traders, volumes have
been increasing across the board. Unlike the meme-stock craze during late 2020 and early 2021 which was characterized
by retail traders making extremely low delta5 trades hoping for big stock price swings, the profile of SPX 0DTE volume
is materially different.

Most traders are taking a very systematic approach to trading SPX 0DTE. Over 95% of the 0DTE customer opening6
volume has a capped risk profile (i.e., less than 5% is selling naked calls/puts, straddles, strangles, etc.), as customers
typically take a risk averse approach to trading SPX. This is vastly different than the typical trades that were occurring in
the meme-stock era and poses much less risk to customers suffering severe losses, and much less risk to dealers on the
other side of the customer’s trades. The trades in aggregate are typically balanced as well, with the SPX 0DTE put-to-
call ratio hovering around one on the typical month. One of the most common strategies among customers is selling
either vertical call or put spreads (or both – called an iron condor) to harvest premium. The average strike width (volume
weighted) for 0DTE sell to open vertical spreads7 in 2023 YTD is slightly over twenty-one8, less than 50 basis points9 of
the index level at the time of writing.

The following charts show SPX customer volume in the most popular strategies10 throughout the day. The fourth chart
shows a clear customer preference in selling to open vertical spreads at the beginning of the day – with a ADV of 63k
contracts in the first hour of trading alone. It is important to note that single leg strategies often reflect the repositioning
of one leg in an already existing vertical spread. This repositioning contributes to volume growth, but may exaggerate
positions, particularly single legs, initiated by customers.

5 The probability of an option finishing in the money at expiration

6 I.e., opening a new position, not closing out an existing position
7 Selling a call (put) and buying a further out-of-the money call (put) to receive a net credit
8 Only trades that had two legs (either calls or puts, not one of each), one being sold, and a further out-of-the money leg being
bought were included in the calculation
9 Twenty-one points wide divided by the SPX spot of 4300
10 Buying/selling single legs, vertical spreads with a net debit or credit. Volume shown in the charts includes over 80% of SPX 0DTE
customer volume

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CHART 5: Selling SPX 0DTE Vertical Spreads Increases in Popularity

SPX 0DTE Customer ADV by Strategy and Time of Day (ET) - YTD 2023
(Source: Cboe)

Single Legs - Net Bought

Green: buy
to open 34k
28k
23k 20k 21k 23k 23k
19k 18k 16k 16k 17k 18k

Blue: buy -2k

-3k -3k -2k -2k -2k -2k -3k -3k -4k -5k
to close -6k -7k

9:30 10:00 10:30 11:00 11:30 12:00 12:30 13:00 13:30 14:00 14:30 15:00 15:30

Close Open

Single Legs - Net Sold

Green: sell 11k
to open 6k 4k 4k 4k 3k 3k 3k 3k 3k 3k 3k 3k

-17k -15k -14k -14k -16k -16k

-19k -19k -19k -20k
-22k -22k -24k
Blue: sell
to close

9:30 10:00 10:30 11:00 11:30 12:00 12:30 13:00 13:30 14:00 14:30 15:00 15:30

Close Open

Vertical Spreads - Net Bought

Green: buy 5k
3k 3k 2k 2k 2k 2k 2k 2k 2k 2k 3k 3k
to open

-7k -6k -6k -6k -7k

-7k -8k -8k -7k -8k -8k -8k
-9k
Blue: buy
to close
9:30 10:00 10:30 11:00 11:30 12:00 12:30 13:00 13:30 14:00 14:30 15:00 15:30

Close Open

Green: sell Vertical Spreads - Net Sold

to open
Call/put spreads sold to
open in the first hour of trading
40k

23k
17k 14k 13k
11k 10k 9k 10k 11k 12k 12k 11k
Blue: sell -2k -1k -1k -1k -1k
-3k -2k -2k -2k -2k -2k -2k -3k
to close
9:30 10:00 10:30 11:00 11:30 12:00 12:30 13:00 13:30 14:00 14:30 15:00 15:30

Close Open

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Quote Quality
Outside of the array of benefits investors receive from trading index options, such as European exercise, cash settlement,
and potentially favorable tax treatment, one of the main reasons people turn to SPX is due to its robust on-screen
liquidity. As the VIX® index has trended downward over the last year or so, the average bid/ask spread in SPX options
has trended down as well. In June, the average bid/ask spread width in SPX was only $0.18 in options expiring within
one week and strikes 0%-2.5% out of the money. That is a top of book spread width of less than half a basis point of the
index level.

CHART 6: SPX Options Bid/Ask Spread Improves Since 2022

SPX Options Average Bid/Ask Spread

(Source: Cboe)
$0.45 35

$0.40
30
$0.35
25
$0.30

$0.25 20

$0.20 15
$0.15
10
$0.10
5
$0.05

$0.00 0
Jun-22 Jul-22 Aug-22 Sep-22 Oct-22 Nov-22 Dec-22 Jan-23 Feb-23 Mar-23 Apr-23 May-23 Jun-23

Average Bid/Ask Spread in SPX Options Expiring Within One Week, 0-2.5% Out-of-the-Money Average VIX Level

Total Dollar Premium Traded & Costs to Trade SPX

So far in 2023, over $7B per day in premium traded in SPX options. This is down slightly vs 2022 as lower VIX levels in
2023 implies lower options prices relative to last year. Additionally, there is less time premium associated with the
shorter dated options that have grown in volume.

CHART 7: Average Daily Gross Premium Traded in SPX Accelerates to $7B Per Day

Average Daily Gross Premium Traded in SPX (All Expiries)

(Source: Cboe)

$8.5B
$7.2B
$6.4B
$5.6B
$3.9B $3.4B
$1.7B $2.0B $1.9B

2015 2016 2017 2018 2019 2020 2021 2022 2023 YTD

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Drilling down into SPX 0DTE, throughout the day as expiry approaches the average gross premium exchanged per
contract decreases. Toward the end of the day average gross premium per contract is skewed slightly higher due to
traders realizing gains and covering losses on in-the-money options – as opposed to trading out-of-the money options
like earlier in the day.

CHART 8: SPX 0DTE Premium Decreases into the End of the Day

Average Gross SPX 0DTE Premium per Contract by Time of Day - YTD 2023
(Source: Cboe)

$613
$482 $510 $495 $481 $452 $434 $419 $405 $386 $411
$370 $342 $338

GTH 9:30 10:00 10:30 11:00 11:30 12:00 12:30 13:00 13:30 14:00 14:30 15:00 15:30

Another reason so many investors use SPX as their preferred vehicle for options trading is due to its inexpensive cost to
trade. To get the same notional exposure, an investor has the choice between trading 1 SPX contract, 10 SPY contracts
or 2 S&P 500 E-Mini options on futures contracts. Given that brokerage fees are typically charged per contract, the total
explicit costs to trade SPY options and E-Mini options on futures are significantly higher than trading the same notional
exposure in SPX options.

CHART 9: Explicit Fees to Trade SPY and E-Mini Options are 4-5x Higher Than SPX

Typical Customer Fees for Notional

Exposure of the SPX Index:
(Source: Broker Websites)

$5.40 $5.10

$1.13

SPX SPY CME E-Minis

Regulatory and Clearing Fees
Exchange Pass-through Fees
Average Broker Fees
(Assuming $0.50 for SPX/SPY, $2.00 for E-Minis)

The average cost to trade 1 SPX contract, represents approximately 0.04% of average gross premium exchanged in
trading that SPX contract, and only 0.0003% of the notional exposure of one SPX contract. SPY options and CME E-mini
S&P 500 options on futures fees are on average 4-5x higher than those in SPX.

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Benefits of Short-Dated Options
Short-dated options in general offer investors inexpensive ways to express a short-term view to complement a longer-
term strategy, to hedge a portfolio or to trade tactically around events, such as a Federal Reserve meeting. A common
strategy, which was mentioned previously, is to sell these short-dated options to harvest the premium (i.e., assuming
some level of market risk in exchange for premium) as the day goes on. Typically, the value of the at-the-money option
decreases as the day goes on (keeping in mind the option that is at-the-money changes as the index level changes).
The chart below depicts the nearest to at-the-money call premium as a percentage of the index level every 15 seconds.
An interesting phenomenon is that on Federal Reserve interest rate announcement days, from 9:30am – 1:59pm eastern
(right before the interest rate announcement) there has been almost no premium decay in the at-the-money strike,
and after 2pm it rapidly declines into the end of the day. In fact, on these days investors are typically cautious in trading
before the FOMC announcement, muted 0DTE volumes pre-2pm and explosive volumes post-2pm are quite common
on such days.

CHART 10: SPX 0DTE Premium Decay Examples

Nearest ATM Call Premium (% of Index Spot) by Time of Day

(Source: Cboe)

0.8
FOMC

0.7

0.6

FOMC

0.5

SVB Concerns
(SPX volume record day)
0.4

0.3
No material
news

0.2

No material
news
0.1

No material news

0
9:30 10:00 10:30 11:00 11:30 12:00 12:30 13:00 13:30 14:00 14:30 15:00 15:30

2/1/2023 3/10/2023 3/22/2023 3/30/2023 4/6/2023

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Addressing Concerns Associated with SPX 0DTE Options
A common concern around the rise of SPX 0DTE is the impact these options could have on the underlying SPX market.
Specifically, the fear is if most customer trades are in one direction, dealers on the other side could have large amounts
of delta they need to buy/sell to hedge their option positions - and those hedging activities could have disproportionate
impact on the SPX Index (particularly if dealers are net short, hedging activity could exacerbate underlying index
moves). While that is a valid concern in theory, we find in practice customer flows tend to be fairly balanced in terms
of buys and sells.

Digging deeper into 0DTE volume on June 15th, which was the second highest volume day ever (the SPX index moved
170 basis points intraday), it can be shown that net exposure is dwarfed by gross volume. Over 1.33MM customer 0DTE
contracts traded that day, with the most popular strikes being the 4420 call (75k contracts traded) and the 4400 put
(49k contracts traded).

For reference this is what the market did on that day:

SPX on June 15th

Open 4365

High 4439

Low 4363

Close 4426

Looking at the most heavily traded strikes, and subtracting sell volume from buy volume, it shows that only 2.2% and
4.8% of gross volume, respectively, was net-bought on the day:

SPX 0DTE on June 15th - Most Active Strikes Calls Puts

Most Active Strike 4420 4400

Gross Customer Volume @ Strike 74.9k 48.9k

Contracts Bought @ Strike 38.3k 25.6k

Contracts Sold @ Strike 36.6k 23.3k

Net Bought at 4pm @ Strike 1.7k 2.3k

Net Bought as % of Total Volume @ Strike 2.2% 4.8%

Looking simply across all strikes, the buys and sells were awfully close in aggregate on the day, with net bought exposure
being less than 1% of gross volume:

SPX 0DTE on June 15th - All Strikes Calls Puts Total

Gross Customer Volume 694.3k 643.2k 1,337.4k

Contracts Bought 351.9k 322.1k 674.0k

Contracts Sold 342.4k 321.1k 663.5k

Net Bought at 4pm 9.5k 1.0k 10.5k

Net Bought as % of Total Volume 1.4% 0.2% 0.8%

Breaking it down by strike from gross volume to buys/sells to net buys, shows the drastic difference between net
customer positioning versus gross volume.

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CHARTS 11-13: Net Customer Positions More Balanced Than Gross Volume Suggests

SPX 0DTE Gross Customer Volume by Strike (June 15th, 2023)

(Source: Cboe)

4485
4475
4465
4455
4445
4435
4425
4415
4405
4395
4385
4375
4365
4355
Strike

4345
4335
4325
4315
4305
4295
4285
4275
4265
4255
4245
4235
4225
4215
0k 10k 20k 30k 40k 50k 60k 70k 80k
Volume

Puts Calls

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 Breaking out
customer buys
vs customer
sells

SPX 0DTE Customer Volume by Strike - Buys vs Sells (June 15th, 2023)
(Source: Cboe)

4485
4475
4465
4455
4445
4435
4425
4415
4405
4395
4385
4375
4365
Strike

4355
4345
4335
4325
4315
4305
4295
4285
4275
4265
4255
4245
4235
4225
4215
-50k -40k -30k -20k -10k 0k 10k 20k 30k 40k 50k

Volume (Buys as Positive, Sells as Negative)

Puts - Sold Puts - Bought Calls - Sold Calls - Bought

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 Netting out
customer buys
vs customer
sells

SPX 0DTE Net Customer Bought Volume by Strike (June 15th, 2023)
(Source: Cboe)

4485
4475
4465
4455
4445
4435
4425
4415
4405
4395
4385
4375
4365
Strike

4355
4345
4335
4325
4315
4305
4295
4285
4275
4265
4255
4245
4235
4225
4215
-80k -60k -40k -20k 0k 20k 40k 60k 80k

Net Customer Volume (Buy Volume minus Sell Volume)

Puts Calls

Conclusion
The growth seen in SPX options trading over the last year has received a lot of attention as the democratization of
trading continues in full force across the United States and internationally. Cboe will continue to monitor this growth
and provide innovative ways to meet investors needs as the market evolves If you have any views or questions on SPX
0DTE we would love to hear from you at [email protected].

Cboe Proprietary Information © 2023 Cboe Exchange, Inc. All Rights Reserved Pg 14
About the Author
Jonathan Zaionz, Senior Derivatives Analyst
Cboe Global Markets

[email protected]

Jonathan Zaionz is a Senior Derivatives Analyst at Cboe Global Markets (Cboe), providing robust business insights
and market intelligence. In this role, Jonathan conducts in-depth analysis of the U.S. derivatives market and distills
that analysis into actionable insights that help fulfill Cboe’s mission of building trusted markets. Additionally, he is
responsible for managing various initiatives for Cboe’s proprietary index and multi-list options business.

Jonathan holds a Bachelor of Mathematical Finance from the University of Waterloo.

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