"have no time value." ALL of the options in the sheet below have time value even though they expire EOD monday (tomorrow will be 0DTE). 400C has time value ~.40 405C has time value ~1.20 409C has time value ~.17
Umm, no, those are weekly options with 1 day left (or 0DTE). So they had time value over the course of a week. Aren't 0DTE options initiated at the start of the trading day, and expire that day? They are "daily" options, not weekly?
Yes, but these will be the same as 0DTE options since they'll expire tomorrow. Any option with extrinsic value has "time value". The time value in these will be the same as 0DTE time value. The time value will erode throughout the day.
I believe that is part of the problem people are having describing the 0DTE as opposed to what you proposed. Perhaps you can illustrate it better if on Monday you can post a comparative chart with what you posted above, side-by-side with those same strikes on the true 0DTE daily option for Monday, and see if the bid/ask and all the other bits match up?
I assume they mean 0 theta because the option is expiring soon but one thing I don't get is how these options that have "no time value" can be more profitable. To me 0DTE options should have the least chance to yield profit because it has the least possibility of becoming volatile since it has 0 time value and is expiring soon if you long it. Another violation of the Black-Scholes model. I think this demonstrates another limitation of the Black-Scholes model. It assumes the absence of retail traders LOL because once massive retail traders are involved, it forces the market players to adapt in a way that cannot be explained by the model and the model goes out of the door.
The discussion was regarding "no time value" in 0DTE. They definitely DO have time value. The exact amount isn't being discussed. I was just using these since they're as close to 0DTE as possible. Monday morning the market will price these to expire EOD just like 0DTE options. Time value will slowly decay.
Actually skip the book and sell the shit out of 0 DAY,OTM options.. In your world,NO time value,what could go wrong???
I think you need to calm down. You took my post out of context and have made a mountain out of a molehill. I don't even deal with 0DTEs, I already told you what I'm doing in a PM.
We know that they are not the same thing in reality but are "0 time value and is expiring soon" viewed equally in terms of BlackSch?