Trading 0DTE SPX Options Going Into the Close - I'll take Long Gamma Every Time

0DTE options are a great way to make - or - lose - $ in a hurry. Traders that don't respect gamma will get burned, and today’s SPX close was a perfect lesson. Conventional wisdom holds that \~80% of options expire worthless, and there are structural reasons for this to be the case. However, I take what the market gives me, and Friday's vol surface offered some cheaply priced calls. With the long weekend and the tumult in the Mideast, there were more sellers than buyers, creating an attractive buying opportunity. I purchased a 45 bp OOM call (6610 strike) expiring today. SPX flirted with the 6605 level all afternoon but never made a move towards my strike. With 3 min to close and my option 4 pts OOM, delta was 0 and I’d written the trade off as a loss. Then, the market went bid, ripped through my strike, causing delta to expand from 0.1 to 0.99 in 3 minutes. On the close, SPX settled at 6611.83, with my call settling 1.83 points ITM. The position went from a 100% loss to a $1.83 profit in < 180 seconds. I caught a lucky break - long gamma was my friend. But for the trader on the other side of the trade - not such a good outcome. The moral of the story? Going into the close, if you haven't already, ALWAYS close any short OOM options that can become ITM in a moment's notice. That $0.05 profit can easily turn into -$1.00+ loss in a hurry if gamma isn't on your side. Conversely, hold on to those nickel options - if you are lucky, they just might payoff big time. https://preview.redd.it/kyk2yl4mjotg1.png?width=1252&format=png&auto=webp&s=a82465fe7ee663876fbfa1e72c7cbb8acaa6ae67