Taming of the skew sparks new debate over 0DTEs
Some pin lower put premium on short-dated market-maker hedging; others cite fundamentals
A heated debate is breaking out over whether the surge in zero-day option trading is contributing to a sharp decline in the skew of S&P 500 options.
The difference in premiums paid for downside puts and upside calls, known as the skew, has fallen by around a half since Cboe went live with daily expiries for S&P 500 options in mid-2022.
“It almost starts exactly with zero days to expiration,” says Matt Amberson, principal and founder of Option Research & Technology Services (Orats).
Data from Orats
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