Retail traders have been losing a total of $350k a day from betting on zero-day-to-expiry (0DTE) options since the Chicago Board Options Exchange (Cboe) introduced daily expiration dates on option contracts in 2022. In this report, we look at the study behind this finding and explore datasets that can identify retail options trading activity. 

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• In 2005, the Cboe introduced options with weekly expirations every Friday. It added more days in 2016 (Mondays and Wednesdays) and, in May 2022, the exchange introduced daily options expiry through its SR-CBOE-2020-051 proposal.
• The Securities Industry and Financial Markets Association (SIFMA) claims it supports each weekday expiry, as it encourages greater participation from retail traders.
• S&P 500 options (SPX) are traded entirely on Cboe exchanges. For most of 2022 and all of 2023, 0DTE contracts comprised more than 75% of retail trade volume for all SPX contracts.
• Studies show that retail traders perceive the risk of 0DTE options as a “lottery-like payoff”, given the possibility of earning abnormal profits quickly.  
• 0DTE trading strategies are a consistently popular topic on retail-focused websites such as 0-dte.com and tastylive, as well as the infamous WallStreetBets subreddit.
• Within the sample period used for this study, retail traders have lost an aggregated $125m and an average of $350k/day since the introduction of weekday expiration.