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Retail 0DTE Option Trader Performance

Steve LeCompte | | Posted in: Equity Options, Individual Investing

Guide Options and Leveraged ETFs Other option research

Key Insight

Retail traders lost about $70 million in aggregate on 0DTE S&P 500 Index options, with average daily net loss rising from $184,000 to $358,000 after daily expirations began in May 2022 (CBOE data, Jan 2021–Feb 2023; descriptive).

Should individuals who trade zero-days-to-expiration (0DTE) S&P 500 Index options expect to make money? In their March 2023 paper entitled "Retail Traders Love 0DTE Options... But Should They?", Heiner Beckmeyer, Nicole Branger and Leander Gayda examine performance of retail 0DTE S&P 500 Index option trades. They focus on effects of the introduction of daily expirations for such options in mid-May 2022. Using daily S&P 500 Index option trade data from CBOE, including trader-type transaction codes, during January 2021 through February 2023, they find that:

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