Whether 0DTE options destabilise the index is a live three-way academic dispute. Brogaard, Han and Won (SSRN 4426358): a one-sd increase in the 0DTE volume share raises underlying volatility by ~9% of its mean. Dim, Eraker and Vilkov (SSRN 4692190): 0DTE positioning does not propagate volatility. Adams, Dim, Eraker, Fontaine, Ornthanalai and Vilkov (SSRN 5641974): 0DTE intermediation lowers volatility by 60-90 annualised bps.
We measured the association on 1,083 SPX sessions of the mature regime (2022-04-14 to 2026-08-20), on the same per-print SPXW tape our terminal runs on. One row per session: realised vol from 390 one-minute returns, and the 0DTE share of the near book's volume (mean 66%, sd 7 points). Controls: previous day's log vol, year and day-of-week fixed effects.
The raises-volatility claim does not survive
Same-day: one sd of 0DTE share corresponds to +0.6% of mean volatility (t +0.3) against the published +9%. Yearly signs alternate (+0.1, -0.3, +1.4, -0.9, +1.5 in t-stats) - no year is significant. And the share does not lead volatility either: t -0.9 on next-day vol given today's.
The one robust fact runs the other way
Reverse the arrow and the panel produces a stable number: after a volatile session the 0DTE share falls (-0.14 sd per log-unit of vol, t -4.3). Decomposing the ratio: both volume legs mean-revert after a vol shock, but the 0DTE leg retreats roughly twice as hard as the rest of the book (-0.047, t -3.6, vs -0.026, t -2.2). The folklore says volatility spikes attract 0DTE speculation; the tape says 0DTE flow steps away the next day, disproportionately.
What we cannot test, honestly: the dampening claim rests on the staggered Tue/Thu SPXW listings of April-May 2022 as a natural experiment, and our archive starts 2022-04-14 - days before the first new listing, so there is no pre-period. We refute the plus sign; we neither confirm nor refute the minus.
Full tables and caveats (the share's denominator is the ~21-expiry near book, not the whole chain): https://gex.live/research/does-0dte-trading-raise-volatility
All finished sessions replay free at https://gex.live/sessions
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