You’re My Hero, Zero[DTE] Options
IBKR Podcasts
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How to Value Zero DTE Options
The downside to the zero DTE options is that you'd have to create a little bit of different models and look at data. The traditional option pricing model uses average daily volatility. You're taking log returns and averaging them out over a longer period of time. These options are for traders that have a very short term outlook on the market.
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