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…
