Quick one this week, because it reframes a trade a lot of you are making.

Roughly half of all S&P 500 options traded on a given day now expire that same session. Zero days to expiration. And most of the retail crowd buys them — treating a same-day SPY call like a $2 lottery ticket that could ten-x by lunch.

Here's the core insight. When you buy a 0DTE call for a dollar, that dollar is almost entirely extrinsic value — the price of hope. It's the market's bet on SPY moving far enough, fast enough, before the close. And that value melts. Not slowly, like a 30-day option. It's an ice cube on a hot sidewalk with a 4 PM deadline: half gone by noon, guaranteed to be zero by the bell if it's not in the money.

So to win as a buyer you need to be right, and big enough, and fast enough — all three. Miss one and a correct direction call still hands you a total loss. Being right isn't the same as getting paid.

There's also a structural reason the seller has the edge: the variance risk premium. Implied volatility, on average, runs higher than the volatility that actually shows up. Markets overpay for protection and lottery tickets. That gap is what sellers harvest. You're insuring other people's fear and greed.

Just so we're clear — this is educational commentary, not personalized financial advice. And selling 0DTE is not free money. You collect many small wins and take on rare, violent losses. Negative skew. One 3% gap day can erase weeks.

What a disciplined trader does with this: cap the tail with spreads instead of naked shorts, and size so the worst single day is survivable. A strategy that wins 95% of the time still goes to zero if the other 5% wipes the account.

The handle I want you to keep: you're paid by expected value, not by the size of the jackpot.

Full breakdown here — https://youtu.be/T9bW1uXdRkA

Trade the math, not the fantasy.