0DTE and the Shrinking Close

Something unusual has been unfolding since the 0DTE era began in May 2022.

The last hour of the trading day has grown steadily less volatile.

We examined the final hour of all 1,081 SPX sessions in that period and calculated what share of each day's movement occurred after 3 p.m.

Share of the S&P 500's daily movement that happens after 3pm

In the first year of the 0DTE era, the final hour carried 15.9% of the day's move. That share now sits at 13.3%. Every year since has come in lower than the one before it.

We believe it's because the day's move is getting decided earlier

0DTE volume is front-loaded. Same-day contracts take their highest share of options activity in the morning and a lower share into the close. If more of the directional fight happens between 9:30 and 2pm, a smaller fraction of the day's range is left for after 3pm. The last hour can still be busy in contract count and still contribute less to the day's move.

That shift shows up in the chart above. As the window from 3pm to the close has given up share, the opening 30 minutes has taken some of it back. The last hour used to be one of the few remaining places to express a view into the close and the overnight. Daily expiration removed that monopoly. A one-session bet can be placed at 10am. Dealer hedges fire when those positions are opened, not only when they expire. By mid-afternoon the market has often already chosen a level. What remains after 3pm is more maintenance than discovery: a narrower range around a large strike, residual exposure to flatten, and the close auction.

This is an average, not a law. Negative-gamma sessions can still produce a violent last hour.