A structural change in the options market deserves its own page. Zero-day-to-expiration (0DTE) options — contracts that expire the same trading session in which they trade — have gone from a curiosity in 2020 to the dominant flow on S&P 500 index products: by 2026 they routinely account for forty to fifty percent of total SPX option volume, with daily expirations listed Monday through Friday. The effect on intraday price action is not subtle, and it is the reason the index now produces afternoon moves that look detached from any news.
The mechanic is gamma. A 0DTE option has almost no time value but enormous gamma right at the strike — its delta swings from near zero to near one over a handful of S&P points. When the public buys these contracts (and retail and systematic traders together buy a great many of them), the market maker on the other side ends up short gamma and must hedge dynamically: as the index rises through a heavily traded call strike, the dealer must buy the underlying to stay delta-neutral; as it falls through a put strike, the dealer must sell. That hedging is mechanical, size-insensitive to news, and concentrated in the final two hours of the session as gamma explodes into expiry. The textbook description — “investors hedge their portfolios with options” — has the causality backwards: increasingly, the index moves because the dealers hedge the options.
What this means in practice: a quiet morning followed by a violent, trendless afternoon swing is usually not information; it is a gamma squeeze unwinding into the close. The intraday liquidity hunts that pierced 6,400 on the S&P in late March 2026 before reversing to fresh highs are the signature of this regime. Three things follow for a long-term investor. First, ignore intraday charts on index products entirely — they are signal-free. Second, the protective put you bought with a one-month expiry is no longer hedging the same market the 0DTE crowd is trading; if you need real downside insurance, buy longer-dated strikes that dealers cannot hedge away by 4 p.m. Third, if you are tempted to sell 0DTE premium yourself because the win rate looks magnificent, remember that you are explicitly underwriting tail risk on the day the tail actually shows up: the same expected-value argument from section “Option Greeks: Impact of Volatility on Options” applies with the leverage dial turned to maximum.