Zero DTE Option Straddles
Zero DTE Option Straddles compares today's at-the-money straddle on SPY or QQQ options that expire today with the same straddle at the same time of day on past days, and with how far the ETF actually moved from that time to the close. Premium and Premium Options members see the real history; everyone else sees sample numbers.
What is the Zero DTE Option Straddles report?
Zero DTE (0DTE) options expire at the end of the trading day you are looking at. A straddle - an at-the-money call plus an at-the-money put - costs what the options charge for a move, either way, by that day's close. The Zero DTE Option Straddles report, also called the 0 DTE Options Straddle Tracker, takes today's same-day straddle on SPY or QQQ and asks: is it high or low for this time of day, compared with the same straddle at the same time on past days, and with how far the ETF actually moved from that time to the close?
How the straddles and moves are measured
- Options expiring today. The straddle uses the options that expire on the day itself. The history covers past trading days that had a same-day expiration, going back up to 4 years and not before 2020.
- Today's straddle. Snapshots start 30 seconds after the 9:30 AM open and come about every 5 minutes. The straddle is priced by our option pricing model at the at-the-money implied volatility and shown as a percentage of the ETF's price, the midpoint of its bid and ask. It is a model price, not a quote.
- Past straddles. For each past day, the at-the-money straddle at the time you pick, from the midpoints of the option quotes, as a percentage of the ETF's price. Converted columns turn each percentage into dollars at today's price.
- The actual move. From the ETF's volume-weighted price at that time of day to its closing price. For 9:30 AM it is the move from the open to the close.
- The comparison. Today's straddle against the average past straddle at that time - Overpriced, Underpriced or Evenly Priced - and against the average size of the actual move to the close. Underestimated and Overestimated count how often the move was bigger or smaller than the straddle priced, with the average miss.
- Filters. Day of the week, and economic releases on the day, such as FOMC meetings, interest rate decisions, PMI and ISM. The event filter covers the last year of history.
- Which day. Until shortly after the open, and on weekends and holidays, Today's Straddle is the last trading day's final snapshot, and there is no same-time comparison. The report doesn't refresh itself; click Load for the latest snapshot.
A straddle's price is what the options charge for a move, not a prediction of one. How past days compared is historical data, not a forecast or a trade recommendation.
What you can find out
Is today's 0DTE straddle expensive for this time of day?
Pick SPY or QQQ and a start time. The Options Straddle Analyzer puts Today's Straddle next to the historical average straddle at that time and labels it Overpriced, Underpriced or Evenly Priced. Check today's straddle
How far does SPY usually move from now to the close?
Summary Statistics show the average, largest, smallest and median move to the close from that time on past days, in percent and in dollars at today's price, plus the average up and down moves and how often the ETF closed higher or lower. See past moves to the close
How often does the 0DTE straddle underprice the move?
Market Prediction Error Statistics show the share of past days when the actual move was bigger than the straddle (Underestimated) or smaller (Overestimated), and the average miss for each. The timeline chart shows each day's move against the straddle's range. See prediction errors
Is SPY's 0DTE straddle rich or cheap compared with QQQ's?
Choose SPY vs. QQQ. A regression on past days relates SPY's straddle to QQQ's; enter QQQ's straddle percentage to get a model SPY straddle and the difference from the market, with the number of observations and R-squared. Compare SPY with QQQ
Do 0DTE straddles cost more on Fed days or on certain weekdays?
Set Events to FOMC Meeting or Interest Rate Decision, or Day Of the Week to a single day, and load the report again to compare those days with the rest. Filter by event or weekday
How does the 0DTE straddle shrink through the day?
Choose -Summary- as the start time to see the straddle and the move to the close at 9:30 AM, 10, 11, noon, 1, 2 and 3 PM side by side. How a straddle works
Where to find it
Menu: Options › For Premium Users › Tools › Zero DTE Option Straddles, or go straight to /Reports/ExpiringOptionsReport. Explain this report to me, above the filters, walks through each box.
Premium and Premium Options members see the real history. Everyone else sees the report in demo mode: today's straddle is real, but the past straddles and moves are sample numbers.
What each box shows
| Box | What it shows |
|---|---|
| Options Straddle Analyzer | Today's straddle against the average past straddle at the same time, and the difference |
| Market Predicted vs. Historical Actual Move Comparator | Today's straddle against the average size of the move from that time to the close |
| Option Straddle vs. Actual Move Timeline | Each past day's move to the close against the range its straddle priced, starting on the last 20 days |
| Stock Movement Statistics & Directional Bias | The average up and down moves to the close and how often each happened |
| Market Prediction Error Statistics | How often the move was bigger or smaller than the straddle, and by how much on average |
| Summary Statistics | Average, largest, smallest and median straddle and move, in percent and in dollars at today's price |
| Historical Snapshots | Each past day: weekday, events, the straddle and the move to the close |
FAQ
- What does 0DTE mean?
- Zero days to expiration: options that expire at the end of the trading day you are looking at.
- Which symbols does the report cover?
- SPY and QQQ, and SPY compared with QQQ.
- Is Today's Straddle a market price?
- No. It is priced by our option pricing model at the at-the-money implied volatility. Past days' straddles come from the midpoints of the option quotes, so a small gap between the two can come from the method.
- How far back does the history go?
- Up to 4 years, and not before 2020, on the days that had a same-day expiration. The Events filter covers the last year.
- Who can use the report?
- Premium and Premium Options members see the real history. Everyone else sees a demo: today's straddle is real, but the past straddles and moves are sample numbers.
- Does Underpriced mean the straddle is a buy?
- No. It means today's straddle is below the average for that time on past days. That is historical data, not a trade recommendation.
Related
Straddle SPX options trading and order flow At-the-Money Straddle Screener Week-by-Week Option Straddle PerformanceTerms on this page
0DTE Straddle Implied volatility VWAPMarket Chameleon provides data, not investment advice.