I think the excerpt from the subject paper lacks perspective (just a touch). Who are we talking about?
The regular, every day, trader is not a direct cause of the volume or volatility components of 0DTE strikes any more than the market maker(s) would expect... they use historical data all day, every day.
If anything, I would offer it's the market maker(s) and the big boys making huge block & sweep orders 0TDE that drive volatility. Bigger players have a need to stay delta neutral-so they will gamma hedge a variety of ways.
As well, I am sure market makers and big players use 0TDE expiry to work with (or even against) established dark pool positions. My perspective on trading > I played 0DTE 1x in the last year... theta (protection you can buy) is your friend.
I think the excerpt from the subject paper lacks perspective (just a touch). Who are we talking about?
The regular, every day, trader is not a direct cause of the volume or volatility components of 0DTE strikes any more than the market maker(s) would expect... they use historical data all day, every day.
If anything, I would offer it's the market maker(s) and the big boys making huge block & sweep orders 0TDE that drive volatility. Bigger players have a need to stay delta neutral-so they will gamma hedge a variety of ways.
As well, I am sure market makers and big players use 0TDE expiry to work with (or even against) established dark pool positions. My perspective on trading > I played 0DTE 1x in the last year... theta (protection you can buy) is your friend.