Greek Dynamics in 0DTE: Gamma, Theta, Vega

On expiration day, the familiar Greeks — delta, gamma, theta, and vega — behave differently than they do on longer-dated options.

Gamma

Gamma measures how quickly delta changes as price moves. For at-the-money 0DTE options, gamma can be very high, which means deltas can flip from near zero to near one over small price ranges.

Theta

Theta is maximal near expiration. For 0DTE options, an hour of quiet price action can destroy a large fraction of remaining time value.

Vega

Vega, the sensitivity to implied volatility, is lower for 0DTE than for longer-dated options, but intraday volatility shifts around events can still move prices significantly.

Putting It Together

A practical takeaway is that 0DTE positions should be monitored actively. Changes in Greeks over minutes can be large enough to invalidate assumptions that were reasonable at the open.