Gamma Risk Explained: Why 0DTE Options Move Differently
Gamma acceleration near expiration creates outsized moves in option premiums. Understanding this dynamic is essential for 0DTE trading.
If you've traded options with 30+ days to expiration and then switched to 0DTE, you've probably noticed something: the numbers move differently. A $0.50 move in SPY might barely register on a monthly option but can cause a 0DTE contract to double — or go to zero.
The reason is gamma.
What Is Gamma?
Gamma is the rate of change of delta. Delta tells you how much an option's price changes per $1 move in the underlying. Gamma tells you how fast delta itself is changing.
For long-dated options, gamma is relatively flat. Delta moves slowly, predictably. For 0DTE options — especially those near the money — gamma is extreme.
The Gamma Curve on Expiration Day
At 9:30 AM, an at-the-money SPY call might have a delta of 0.50 and a gamma of 0.15. This means a $1 move in SPY changes the delta by 0.15.
By 3:00 PM, that same strike might have a gamma of 0.40 or higher. Now a $1 move in SPY changes the delta by 0.40. The option becomes dramatically more responsive to price movement.
This is gamma acceleration — and it's why 0DTE options can produce 300–500% gains in minutes, or lose 90% of their value just as quickly.
How Gamma Affects Trading Decisions
High gamma means:
- Timing matters more than in longer-dated options
- Small directional errors are punished quickly
- Profitable positions can reverse in minutes
- Position sizing must account for the speed of moves
How We Factor This In
Our scoring engine considers moneyness and time context when evaluating contracts. Contracts that are extremely close to the money in late-day sessions receive adjusted risk labels because their gamma profile makes them inherently more volatile.
Understanding gamma doesn't eliminate risk — but it prevents you from being surprised by the speed of 0DTE price action.
Risk Disclosure: Options trading involves substantial risk. Gamma effects can amplify losses as well as gains. This is educational content.