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A free guide that walks you through options, the greeks, and the specific dynamics of zero-days-to-expiry SPX trading. Built around interactive charts so you can play with the concepts, not just read about them.
What an option is, how SPX differs from equity options, and why 0DTE exists.
Calls, puts, rights, obligations — the absolute basics, using SPX throughout.
What it means to take the seller's side — premium for obligation, asymmetric payoffs, margin, and the variance risk premium.
Strike, bid/ask, open interest, volume, IV — anatomy of a real SPX chain.
Cash settlement, European exercise, §1256 tax treatment — why SPX is the 0DTE vehicle.
Daily SPX expirations, the rise of zero-days-to-expiry trading, who actually plays this game.
SPX vs SPXW, daily vs weekly vs monthly, AM- vs PM-settled — the calendar 0DTE traders live by.
What makes an option's price move, before we ever touch the greeks.
Every option's price is made of two parts. Interactive: see the split shift as price moves.
Why every call has a put twin, and what that means for 0DTE arbitrage bounds.
What the model assumes, what it gives you, and where it quietly breaks for 0DTE.
Why ATM behaves nothing like ITM or OTM — and why this matters more on 0DTE than anywhere else.
Two different probabilities matter when picking a strike. Delta gives one; reflection-principle math gives the other, often ~2× larger.
Every greek, one at a time, with 0DTE-specific behavior called out.
A one-paragraph intro to delta, gamma, theta, vega, rho. The roadmap for this module.
Directional exposure and probability interpretation. Interactive: delta vs underlying for different DTEs.
Why delta itself moves — and why 0DTE gamma is the most dangerous force in retail trading.
Time decay. 0DTE is a theta game — but only if you survive gamma. Interactive: the decay curve in the final day.
Sensitivity to IV. Why 0DTE vega is small in dollars but enormous in percent terms.
Interest-rate sensitivity. Brief — for 0DTE it's mostly noise.
The second-order greeks that actually drive 0DTE pricing. Charm gets its own deep dive later.
Implied vs realized, the SPX skew, and how vol moves intraday.
What IV actually represents, and what it means when implied and realized diverge.
The 1-σ range an underlying is expected to move, derived from IV. Formula, ATM-straddle shortcut, sqrt(T) scaling, and the limits of the lognormal assumption.
Why OTM puts are expensive — and what the SPX skew looks like on a real chain.
What each VIX variant measures, and which one matters for 0DTE.
The morning IV crush, news repricings, end-of-day vol dynamics.
The actual trades — when they fit, when they fail, and how to think about each one.
Lottery tickets — when they pay, why they usually don't, and what realistic returns look like.
Collecting premium without a protective wing. The credit is largest here; the tail-loss is what makes brokers margin it heavily.
The workhorse 0DTE income trade. Risk-defined, theta-positive. Interactive strategy builder.
Neutral premium selling. Strike-by-delta selection, width tradeoffs, the failure mode.
Pinning trades and asymmetric payoff structures.
Long-vol and short-vol approaches on expiration day.
Limited use on 0DTE — and exactly why most retail calendar setups don't apply.
Convex and concave payoffs — when each fits the move you expect.
The intraday physics of expiration day: pin risk, charm, settlement.
Why being short ATM gamma on expiry day is the trade that blows accounts.
Why delta drifts toward 0 or 1 as expiry approaches, independent of price.
Closing-period liquidity, settlement mechanics, why most damage happens here.
What rolling actually accomplishes, when it's a real edge, when it's a way to hide losses, and why 0DTE only lets you adjust strikes — not extend duration.
No roll, no time, no hope — fast decisions and pre-committed exits.
Why standard 1%-risk rules don't translate to 0DTE — and what gamma-aware sizing looks like.