SPX 0DTE Options Trading Risks on Post-Thanksgiving Half Day: Community Insights & Market Data

This analysis is based on a Reddit post [0] asking about SPX/SPY 0DTE options trading on the post-Thanksgiving half day.

The discussion centers on SPX/SPY 0DTE options trading during the post-Thanksgiving half day. Key points from the Reddit community include a strong consensus to avoid trading (score:11) due to high risks [0]. Market data shows SPX volume on Nov 24 (half day) was ~4.15M contracts, a 35% drop from Nov 20 [3]. Gamma risk is amplified on expiration days, with small price moves leading to large losses [2]. Negative gamma environments (common post-OPEX) drive accelerated swings [1]. SPX is preferred over SPY to avoid assignment risk [0].

1. Reduced volume on half days amplifies liquidity risk, making it harder to exit positions [3].
2. Gamma risk is exponentially higher at expiration, especially in low-volume sessions [2].
3. Community consensus strongly favors avoiding 0DTE trades on half days, with reduced quantity as a secondary option [0].
4. SPX (European-style, cash-settled) mitigates assignment risk compared to SPY (American-style) [0].

:

• Gamma tail risk: Small price changes can flip profits to losses [2].
• Liquidity risk: Lower volume leads to wider spreads [3].
• Assignment risk: SPY options may result in unexpected assignments [0].

: No significant opportunities highlighted; focus is on risk mitigation.

The analysis shows that SPX 0DTE options trading on post-Thanksgiving half days carries elevated risks due to reduced liquidity and amplified gamma. The Reddit community consensus advises avoiding such trades. If trading, reduce position size and use SPX instead of SPY.