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The zero-days-to-expiration option market: opportunities, challenges and early lessons

Institute of Finance

Date: 4 November 2024 / 17:30 - 19:00

Auditorium, Campus ovest, USI

Università della Svizzera italiana in cooperation with Fidinam Group organizes a public evening event entitled:

The zero-days-to-expiration option market: opportunities, challenges and early lessons

As part of the second Financial Econometrics Meets Machine Learning conference, Professor Federico M. Bandi, James Carey Endowed Professor in Business, Johns Hopkins Universitywill explore the opportunities of the zero-days-to-expiration option market.

Over the past few years, the market for options with zero-days-to-expiration (0DTEs) has experienced significant growth. Today, daily transaction volumes in S&P 500 0DTEs account for 45% of overall daily activity in the US option markets, more than double what it was in 2021. This trend has also caught the attention of European markets, with Eurex offering 0DTEs on both the Euro Stoxx 50 Index and the DAX index.

Professor Bandi will inspect the opportunities this new market presents for both retail and institutional investors, alongside the challenges regulators face. The talk will cover how technological advancements—such as high-frequency trading and social media—are impacting price discovery, profitability, and stability in this rapidly expanding market.

November 4th

Location: Auditorium, Campus Ovest, USI

17:30 pm

The event will be held in english. Registration is compulsory at this link.

An aperitif will follow.