How much can a 0DTE option's value swing on a small move in the underlying?

Enter the option's delta, gamma, contract count, and a hypothetical stock move. The tool compares a delta-only estimate to a delta-plus-gamma estimate to show how much extra swing gamma adds near expiration.

Why does gamma matter more on 0DTE options?

Gamma, the rate of change of delta, rises sharply for at-the-money options as expiration approaches, which can make an option's value move much more per dollar of stock movement than a delta-only estimate suggests.

0DTE Options Gamma Risk Calculator

Enter Your Position

Use the delta and gamma your broker shows for this option right now. Gamma is highest for at-the-money options on their expiration day.

Your Result

Fill in your position's delta, gamma, contracts, and a hypothetical stock move, then click Calculate to see the estimated dollar swing.

How this is calculated

Delta-only estimate = delta × stock move × 100 × contracts. This is the simple, first-order estimate most traders default to.
Delta-plus-gamma estimate = (delta × move + 0.5 × gamma × move²) × 100 × contracts. This adds the second-order effect from gamma, which becomes large for at-the-money options on their expiration day because gamma itself spikes as expiration approaches.
The gap between the two estimates is the part of the move a delta-only mental model misses. On 0DTE options, that gap can be a meaningful share of the entire premium.
This is a standard options-pricing approximation, not a guarantee. Actual option prices also move from changes in implied volatility, the bid-ask spread, and time decay, none of which this tool isolates.
Use your broker's live Greeks, not a stale snapshot. Delta and gamma change constantly through the trading day on a 0DTE contract.

Risk & liability disclaimer: This calculator applies a standard delta-gamma approximation to the numbers you enter. It is not financial advice, does not predict actual option prices, and does not guarantee any trading outcome. Same-day expiration (0DTE) options carry substantial risk of rapid, total loss of premium. Trading Habits is not a broker-dealer, registered investment adviser, or tax professional, and is not affiliated with any broker, exchange, or data provider. Verify all Greeks and results independently and consult a licensed professional before making any trading decision. You could lose some or all of the capital you trade with.

How much can a 0DTE option's value swing if the stock makes a small move right before the close?

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Your Result

How this is calculated

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