Run the 0DTE volume and premium share recipe

What this recipe computes

• 0DTE share of contract size and of premium on SPX + SPXW + SPY + QQQ.
• A session-by-session trend for a reader-tunable lookback (default 8 sessions, capped 21 calendar days back from the represented date).
• The SPXW fold so SPX same-day expiries are not dropped.

What it does not claim

• Volume share is not a 0DTE GEX wall. Walls stay on Gamma Structure Map and remain snapshot-era.
• It is not a charm heatmap, TRACE pin, or live 0DTE dealer book.
• A whole-market 0DTE average is not computed; the universe is the index/ETF complex on purpose.

How to read it

1. Step 1

   Run the share tracker

   Open 0DTE Volume/Premium Share Tracker in Cookbooks.

2. Step 2

   Read volume share against premium share

   High contract share with low premium share is cheap same-day paper. Premium share is the dollar footprint.

3. Step 3

   Keep GEX and tape separate

   If you trade the 0DTE loop, walls are still the snapshot map and prints are still Option Trades. This recipe is only the mix.

Frequently asked questions

Is this a 0DTE GEX wall?

No. It is the share of same-day-expiry contracts and premium on the SPX/SPY/QQQ tape. GEX walls remain a different, snapshot-era recipe.

Why not the whole market?

A universe-wide average buries SPX weeklies in single-name noise. The chat-validated version used this proxy for that reason.

Related glossary

• 0DTE (zero days to expiration)0DTE options expire the same trading day. Gamma and theta move fastest near the money on that clock.
• Option flowOption flow is the time-and-sales stream of options prints: contract, size, premium, and inferred aggressor side.
• Gamma exposure (GEX)GEX estimates aggregate dealer gamma from listed options. Positive gamma tends to dampen moves; negative gamma tends to amplify them. Option gamma is the building block; extreme short-gamma feedback is covered under gamma squeeze.

Related personas

• GEX and Option Flow for Index TradersIndex traders care about session character: where call/put walls sit, whether gamma is dampening or amplifying, and whether premium is chasing or fading the move.
• Real-Time Option Flow for ScalpersScalping with options flow is attention management. KPI cards and tight filters shrink the tape to tradable bursts; structure is a quick invalidation check, not a multi-hour thesis.

Related recipes

• Option tapeSee where the session’s option premium actually went without scrolling the raw tape.
• Gamma structurePrint today’s walls and magnet from the chain snapshot, then validate with tape if you trade them.