---
title: Ultra Short-Dated Spreads
url: https://www.ml-quant.com/papers/ssrn/5215849/
site: ML-Quant (https://www.ml-quant.com)
updated: 2026-09-26
license: Summaries CC BY 4.0; links go to the original sources
index: https://www.ml-quant.com/llms.txt
identifier: SSRN 5215849
source_url: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=5215849
featured: 2025-04-16
citations: unknown
topic: Derivatives & Volatility
---


# Ultra Short-Dated Spreads

The research shows that ultra short-dated option spreads, specifically zero-day-to-expiration SP 500 Index iron condors, provide a reliable advantage that can be scaled for fund deployment, especially when entered just before market close.

- Source: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=5215849
- Identifier: SSRN 5215849
- Released: 2025-04-13
- First featured: Quant Letter No. 93 (2025-04-16): https://www.ml-quant.com/issues/2025-04-16/
- Citations (Semantic Scholar): not tracked
- Published in: not yet
- Topic: Derivatives & Volatility

## Related

- [0DTE Option Pricing](https://www.ml-quant.com/papers/ssrn/4503344/): Capturing Volatility Dynamics: The market for ultra short-term zero days-to-expiry options has expanded, with a new pricing formula developed to account for factors like leverage and volatility-of-volatility.
- [Market Impact of 0DTE Options](https://www.ml-quant.com/papers/ssrn/4881008/): The increased trading of SP 500 index options that expire on the same day reduces stock market volatility due to market makers' intraday rebalancing of the index.
- [DTE Options Trading Impact](https://www.ml-quant.com/papers/ssrn/4844455/): The article examines the effect of Zero-Day-to-Expiration (0DTE) options trading on stock market volatility, revealing that increased 0DTE options trading significantly boosts volatility.
- [Zero-Day Options Trading and Asset Volatility](https://www.ml-quant.com/papers/ssrn/4520410/): The surge in ZeroDaytoExpiry (0DTE) options trading from 2011 to 2022 has led to increased volatility in the underlying asset.
- [Risk Revisited](https://www.ml-quant.com/papers/ssrn/4825844/): The study identifies recency, cluster, and sign as three factors shaping investors' risk perceptions of a stock, influencing trading volume and future volatility.
- [Rough Volatility: Fact or Artefact?](https://www.ml-quant.com/papers/arxiv/2203.13820/): Fact or Artifact: The study proposes a new method to estimate the roughness of financial asset volatility, attributing observed roughness to microstructure noise.