The Option Alpha Podcast 237: 0DTE Trading & Gamma Exposure - Interview w/ Mat Cashman from OIC
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Oct 29, 2025 Mat Cashman, a 20-year industry veteran and former market maker at the Options Industry Council, dives deep into the dynamics of gamma and 0DTE options. He explains how gamma influences market movements and the critical role of hedging in managing risk. Discover why 0DTE options are so 'gamma-rich' and how market makers use charms and convexity to navigate sharp shifts. Cashman also clarifies misconceptions around large put buys and examines how trading patterns create market memory. This insightful discussion equips traders with a better understanding of volatility and strategies.
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Gamma Is Delta's Rate Of Change
- Gamma measures an option's potential to change its delta and acts like an option's "potential energy."
- At-the-money and very short-dated options concentrate the most gamma and thus move fastest.
Constantly Hedge Large Option Books
- Hedge delta constantly when running large option volumes because unhedged exposure creates P&L variance.
- Use stock or futures as temporary hedges if option hedges aren't immediately available.
0DTE Options Are Gamma-Rich, Vega-Poor
- Zero-day options are extremely gamma-rich but have little vega, so price movement matters far more than implied volatility.
- Their value is decided almost entirely by where the underlying ends the day.