Analytics for near-expiry (0DTE) options where greeks behave non-linearly.
Near expiry, theta decays explosively and gamma creates outsized hedging flows. These functions filter, measure, and analyze options approaching expiration.
All functions accept the same chain format as ZenQuant.Options — a map
of %{symbol => option_map} with Deribit-format symbols.
Example
ZeroDTE.near_strikes(chain, 68000.0, max_dte: 1)
# => %{"BTC-24FEB26-68000-C" => %{...}, ...}
ZeroDTE.theta_acceleration(chain, 68000.0)
# => [%{strike: 68000.0, near_expiry: ~D[2026-02-24], ...}]
ZeroDTE.gamma_exposure(chain, 68000.0)
# => %{walls: [...], summary: %{total_gex: ..., max_strike: ..., concentration_pct: ...}}API Functions
| Function | Arity | Description | Param Kinds |
|---|---|---|---|
gamma_exposure | 3 | Gamma exposure concentration in near-expiry options. | chain: exchange_data, spot: value |
theta_acceleration | 3 | Measure theta decay acceleration comparing near vs far expiry. | chain: exchange_data, spot: value |
near_strikes | 3 | Filter chain to near-expiry strikes clustered around spot. | chain: exchange_data, spot: value |
Summary
Functions
Gamma exposure concentration in near-expiry options.
Filter chain to near-expiry strikes clustered around spot.
Measure theta decay acceleration comparing near vs far expiry.
Functions
Gamma exposure concentration in near-expiry options.
Parameters
chain- Full option chain with gamma in :raw (exchange_data)spot- Current spot price (value)
Options
max_dte- Maximum days to expiry for near-expiry (default:1)side- :dealer or :customer sign convention (default::dealer)min_oi- Minimum OI to include (default:0)top_n- Return only top N walls by absolute GEXnow_dt- Current time (for testing) (default:"DateTime.utc_now()")
Returns
%{walls: [%{strike, gex, type}], summary: %{total_gex, max_strike, concentration_pct}} (map)
Example
%{
summary: %{total_gex: 1800.0, max_strike: 84000.0, concentration_pct: 68.2},
walls: [%{type: :support, strike: 84000.0, gex: 1250.0}]
}# descripex:contract
%{
opts: %{
side: %{
default: :dealer,
type: :atom,
description: ":dealer or :customer sign convention"
},
max_dte: %{
default: 1,
type: :integer,
description: "Maximum days to expiry for near-expiry"
},
now_dt: %{
default: "DateTime.utc_now()",
type: :datetime,
description: "Current time (for testing)"
},
min_oi: %{default: 0, type: :number, description: "Minimum OI to include"},
top_n: %{
default: nil,
type: :integer,
description: "Return only top N walls by absolute GEX"
}
},
params: %{
spot: %{description: "Current spot price", kind: :value},
chain: %{
description: "Full option chain with gamma in :raw",
source: "Options.Deribit.chain(exchange_mod, enrich: :greeks)",
kind: :exchange_data
}
},
returns: %{
type: :map,
description: "%{walls: [%{strike, gex, type}], summary: %{total_gex, max_strike, concentration_pct}}"
},
returns_example: %{
summary: %{total_gex: 1800.0, max_strike: 84000.0, concentration_pct: 68.2},
walls: [%{type: :support, strike: 84000.0, gex: 1250.0}]
}
}Filter chain to near-expiry strikes clustered around spot.
Parameters
chain- Option chain map %{symbol => option_map} (exchange_data)spot- Current spot price (value)
Options
threshold_pct- Max percentage distance from spot (default:5.0)max_dte- Maximum days to expiry (default:1)now_dt- Current time (for testing) (default:"DateTime.utc_now()")
Returns
Filtered chain %{symbol => option_map} — same shape as input (map)
Example
%{"BTC-31JAN26-84000-C" => %{open_interest: 1200.0}}Composes With
theta_accelerationgamma_exposure
# descripex:contract
%{
opts: %{
threshold_pct: %{
default: 5.0,
type: :float,
description: "Max percentage distance from spot"
},
max_dte: %{
default: 1,
type: :integer,
description: "Maximum days to expiry"
},
now_dt: %{
default: "DateTime.utc_now()",
type: :datetime,
description: "Current time (for testing)"
}
},
params: %{
spot: %{description: "Current spot price", kind: :value},
chain: %{
description: "Option chain map %{symbol => option_map}",
source: "Options.Deribit.chain(exchange_mod)",
kind: :exchange_data
}
},
returns: %{
type: :map,
description: "Filtered chain %{symbol => option_map} — same shape as input"
},
returns_example: %{"BTC-31JAN26-84000-C" => %{open_interest: 1200.0}},
composes_with: [:theta_acceleration, :gamma_exposure]
}Measure theta decay acceleration comparing near vs far expiry.
Parameters
chain- Full option chain with theta in :raw (exchange_data)spot- Current spot price (value)
Options
threshold_pct- Max percentage distance from spot (default:5.0)now_dt- Current time (for testing) (default:"DateTime.utc_now()")
Returns
List of %{strike, near_expiry, far_expiry, near_theta, far_theta, acceleration} sorted by acceleration desc (list)
Example
[
%{
strike: 84000.0,
near_expiry: ~D[2026-01-31],
far_expiry: ~D[2026-02-28],
near_theta: -22.0,
far_theta: -8.0,
acceleration: 2.75
}
]# descripex:contract
%{
opts: %{
threshold_pct: %{
default: 5.0,
type: :float,
description: "Max percentage distance from spot"
},
now_dt: %{
default: "DateTime.utc_now()",
type: :datetime,
description: "Current time (for testing)"
}
},
params: %{
spot: %{description: "Current spot price", kind: :value},
chain: %{
description: "Full option chain with theta in :raw",
source: "Options.Deribit.chain(exchange_mod, enrich: :greeks)",
kind: :exchange_data
}
},
returns: %{
type: :list,
description: "List of %{strike, near_expiry, far_expiry, near_theta, far_theta, acceleration} sorted by acceleration desc"
},
returns_example: [
%{
strike: 84000.0,
near_expiry: ~D[2026-01-31],
far_expiry: ~D[2026-02-28],
near_theta: -22.0,
far_theta: -8.0,
acceleration: 2.75
}
]
}