Late in the day on Friday, it was noted that open interest in SPX 5900, 5910, 5920 calls were very large. In the last hour of trading, the market was vulnerable to month end rebalancing flows, an interview by the U.S. Treasury Secretary Scott Bessent that likely caused a late day squeeze.

These market moves are based almost exclusively on risk rebalancing and not on real fundamentals. The tend to get reversed soon thereafter. We do not see it as a problem for markets, we just think investors should be aware of the growing influence. The market maker is forced to buy/sell based on positioning to hedge as it goes in and out of the money. One minute before expiry, an at-the-money option has a 50 per cent chance of being worth zero or 100 per cent of the in-the-money value.

The growth of the 0DTE market is accelerating. There are lots of benefits in that it adds more market participants and that adds liquidity. The downside is that is can, at times, make the market vulnerable to more violent swings. The set-up was triggered around a key interview of the secretary Treasurer Bessent. His comments were seen as equity market positive.

Over the past year, the 0DTE options have grown as a tool for investors. Our conclusion is that we should get used to more of this type of market volatility not less. Policy uncertainty in the U.S. only adds some fuel to the volatility fire.

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