Systems Research系统研究Oct 30, 20262026年10月30日Note短评

Record 0DTE options volume is one-day leverage, not market depth.期权成交量创纪录是一天内的杠杆，不是市场深度。

WAKENEX · Research & commentaryWAKENEX · 研究与评论

Cboe said Thursday that zero-days-to-expiry (0DTE) options hit a record 24.2 million contracts a day last quarter, about 36% of all US options volume, as record 0DTE activity drove its options revenue higher. The common read treats that as depth. It is closer to the opposite.

A 0DTE contract rents large notional exposure for a few hours against a small premium. Most buyers hand that premium back as decay by the close; the dealers who sold it hedge by trading the underlying. So as same-day options climb toward a third of the tape, more of each day's price path is hedging flow, not information, and intraday swings get amplified for people who never touched an option.

Leverage amplifies both ways, but unevenly: the buyer carries the decay, the market carries the noise. The useful read is about sizing rather than direction. A same-day option is time-boxed leverage. Size it by what you can lose in hours, not by how cheap the premium looks. This breaks if 0DTE's share keeps climbing while realized intraday volatility falls. Research, not investment advice.

Cboe 周四（10 月 30 日）表示，上个季度零日到期（0DTE）期权成交量创下日均约 2420 万张的纪录，约占全美期权成交量的 36%；正是创纪录的 0DTE 活动推高了它的期权业务收入。普遍的读法把这当成深度，其实几乎相反。

一张 0DTE 合约，用很小的权利金，就能租到几个小时的大额名义敞口。多数买方到收盘时，会把这笔权利金以时间价值衰减的形式还回去；卖出这些合约的做市商则通过买卖标的资产来对冲。于是当『当天到期』的期权占到成交量的近三分之一，每天的价格路径里就有更多部分来自对冲盘的流动，而不是新信息，日内波动因此被放大，连从没碰过期权的人也一起承受。

杠杆向两个方向放大，但并不均匀：买方承担衰减，市场承担噪声。真正有用的判断是关于仓位大小，而不是方向。当天到期的期权是一笔上了时钟的杠杆——按你能在几个小时内亏掉多少来定仓位，而不是按权利金看起来多便宜。这会被推翻，如果 0DTE 的占比继续上升、而实际的日内波动率反而下降。研究，不构成投资建议。

A bright, sunlit concept scene under a clean cobalt-and-cream sky. On the right, a crowd of small faceless figures seen from behind each grip a thin glowing handle roped by taut cables up to an enormous balanced market needle pivoting above them. A huge pale sundial looms; its shadow has swept to the end of the dial, and at that instant the handles in their hands crumble into bright amber dust and blow away, while the giant needle they are still roped to whips to one side and drags the whole crowd off balance. The handles turn to dust at the end of the day, yet the needle their cables feed still swings hard and pulls everyone. The left of the frame is open bright sky. Headline in English, "Same-day options are leverage on a clock", with a Chinese line below it, "当日期权，是上了时钟的杠杆".明亮阳光下的概念画面，清澈的钴蓝与奶白色天空。画面右侧，一群看不清面孔、背对镜头的小人物，各自握着一根发光的细手柄，手柄用绷紧的缆绳向上连到一支悬在他们头顶、巨大而平衡的市场指针。一只巨大的淡色日晷矗立着，它的影子刚扫到晷面尽头——就在这一刻，人们手中的手柄纷纷碎成明亮的琥珀色尘埃被风吹散，而他们仍被缆绳拴住的那支巨大指针猛地甩向一侧，把整群人拽得失去平衡。手柄在一天结束时化为尘土，可他们缆绳连着的那支指针依旧剧烈摆动、拖拽着所有人。画面左侧是开阔明亮的天空。标题为英文『Same-day options are leverage on a clock』，下面一行中文『当日期权，是上了时钟的杠杆』。Image: WAKENEX图片：WAKENEX

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