Hermēs Documentation0DTE & Intraday Pinning
Same-day expiry puts gamma and charm at maximum leverage — the intraday rhythm, the long vs short gamma regimes, the closing magnet, and how to read it on Greek Flow and the EOD Magnet Clock.
One-line positioning
0DTE = options expiring today. As time to expiry approaches zero, ATM gamma explodes and charm accelerates into the close — the dealer's hedging flow is run at the day's maximum leverage.
Mantra: 0DTE maxes out the leverage of gamma and charm at once.
Price moves a little → delta swings hard (gamma explodes) → dealers hedge fiercely; time runs toward the close → delta drifts (charm strengthens) → price gets pinned to the big OI.
Section 1: Why 0DTE is so fierce
| Greek | Near expiry | Consequence |
|---|---|---|
| Gamma | Explodes near ATM | A tiny price move forces large hedging, amplifying intraday volatility |
| Charm | Accelerates into the close | Pins price toward the max OI strike (magnetism strongest) |
| Theta | Decays brutally | Buyers go to zero if price stalls; time is the enemy |
In one line: for the same open interest, 0DTE forces far more hedging flow than far-dated options, because gamma is compressed into a knife's edge by time on expiration day.
Section 2: The intraday rhythm (three phases)
Open: overnight events / early data set the tone, σ bands widest, direction undecided
↓
Midday: if IV falls → vanna lift; charm starts accumulating the magnet
↓
Close: charm magnetism strongest → price pulled toward the max OI strike (EOD magnet)- The closer to the bell, the stronger charm and the bigger the 0DTE leverage — which is why on many days "the action is in the last hour."
- Pair it with Greek Flow's 0DTE vs 1DTE split: see whether pressure sits on today or tomorrow.
Section 3: Two regimes decide trend vs chop
| Regime | Dealers | Intraday behavior | How to play |
|---|---|---|---|
| Long gamma (positive GEX) | Long gamma, hedging suppresses vol | Pins and mean-reverts around the magnet strike | Fade extremes in-range, lean toward the magnet |
| Short gamma (negative GEX) | Short gamma, hedging adds to moves | Accelerates with the trend, mini-squeezes | Don't catch the knife, follow the trend with hard stops |
Set the regime first, then the playbook. The same 0DTE suits mean-reversion on a long-gamma day and trend-following on a short-gamma day — play it backwards and the hedging flow runs you over. The main-chart regime tile (green = long / red = short) is your master switch.
Section 4: 👀 Where to see it in HermesGEX
| What you want | Where | How to read it |
|---|---|---|
| 0DTE Greek pressure | Greek Flow · 0DTE column | Read same-day vanna/charm/GEX ratio in isolation |
| Which level it pins into the close | Greek Flow · EOD Magnet Clock | Countdown + current strongest magnet strike |
| Long vs short gamma today | Main-chart regime tile + net GEX | Green = mean-reversion day, red = trend / squeeze day |
| Today's IV-implied range | Main chart · Event Mode ±1σ/±2σ bands | 0DTE action mostly runs inside the σ bands |
| Intraday mechanical flow | HuntingFlow · NET (AggDEX, magenta) | Volume with the trend = hedging flow chasing |
At the close in practice: switch to the EOD Magnet Clock → read the strongest magnet strike → cross-check the regime tile. Green (long gamma) = price likely pinned back to the magnet, play reversion; red (short gamma) = the magnet is easily broken, don't bet on the pin.
Section 5: Three traps (0DTE is double-edged)
1. Gamma is on a knife's edge. Explosive when right, just as fast against you when wrong. Size must be small, stops must be hard.
2. Theta is brutal. Sit flat and you go to zero — 0DTE has no "wait a bit longer," time is the enemy.
3. The pin gets shattered by news. Don't hold naked 0DTE through CPI/FOMC: the σ bands blow open instantly, the magnet voids, and the charm pin fails entirely.
Wrapping up the chapter
You've now walked all three volatility axes: price (gamma) · volatility (vanna) · time (charm), plus the two extremes — the squeeze and 0DTE. This mechanism language contains no "it will rise / fall" prophecy, only "what dealers are forced to buy or sell right now." Head back to the playbook and wire it into your execution discipline.
Chapter mantra: 0DTE maxes out gamma + charm leverage; set long/short gamma first with the regime tile (reversion day vs trend day); read the EOD Magnet Clock into the close; size small, stops hard, never hold naked through a print.
Frequently asked questions
Why does 0DTE have such a big intraday impact?
Because as time to expiry approaches zero, at-the-money gamma explodes — a tiny price move swings option delta sharply, forcing dealers to re-hedge fast and hard. Meanwhile charm accelerates into the close, pinning price toward the large open-interest strike. Same-day expiry effectively maxes out the leverage of gamma and charm at once.
How do I tell whether a 0DTE session trends or chops?
Check whether dealers are long or short gamma in the 0DTE. Long gamma (positive GEX) = hedging suppresses volatility, price pins and mean-reverts around the magnet strike; short gamma (negative GEX) = hedging adds to the move, price accelerates with the trend and mini-squeezes appear. The HermesGEX main-chart regime tile and the Greek Flow 0DTE column tell you which directly.
What's the biggest risk in 0DTE?
It's double-edged. Gamma is on a knife's edge — explosive when you're right, just as fast against you when wrong; theta decay is brutal, so sitting flat means going to zero; and the pin gets shattered by a single news shock. The cardinal sin is holding a naked 0DTE position through a print like CPI/FOMC.
Anatomy of a Gamma Squeeze
Break the "dealers forced to chase" feedback loop into pre-conditions and how it ends — no predicting which name pops, just the mechanistic checklist for a squeeze, and which HermesGEX cards flag it early.
Trader Playbook
User manual for futures traders — from options fundamentals to real-world playbook