SPX Options Book Turns Over Fast: 44% of 0DTE Positions Are New Each Day

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A data analysis covering 1,081 trading sessions from April 2022 to August 2026 examined how much of the SPX and SPXW options open interest is created versus carried over each day. Researchers used open interest and volume figures across 8.6 million contract-days to measure how quickly positions are built or unwound. On the median session, net change in open interest equals about 40% of daily volume, meaning the book is consistently growing faster than it is being closed out. For contracts expiring the next day, roughly 44% of the opening 0DTE book did not exist the prior morning, a share that has risen to around 52% in 2026. By 2026, 0DTE contracts were trading nearly eight times their opening open interest on a typical session, meaning OI-based dealer-gamma models capture only a fraction of actual intraday activity.

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