Tom Sosnoff has been trading options since he took a spot on the CBOE floor in 1981, and went on to co-found thinkorswim and tastytrade. This hour-long video stitches together everything he has said about short-dated trading on his show One Lucky Dog, alongside co-hosts Tony Battista and Scott Sheridan: 0DTE versus 1DTE, scalping, trading the open, theta, pin risk, paper-trading fills and after-hours markets. It is a collection of clips rather than one lesson, but the same few principles run through all of them: trade liquid products, decide your exit before you enter, and never let expiration day make decisions for you.
Expiration week no longer matters — expiration day still does
Back on the floor, the third week of every month was blocked out of the family calendar. With options now expiring every day, Sosnoff says expiration week has not mattered to him in about ten years: the big end-of-cycle buy and sell programs that used to move the market a few percent are gone, because nobody has to wait for the monthly date any more. What has replaced them is complexity. On a single Friday the S&P alone has dailies, weeklies, monthlies, morning and afternoon settlements. Some products settle to cash, some to stock, some to a futures contract. An IRA may need 100% of the cash the morning after an assignment, and a broker will close your position for you if the capital is not there.
His answer to all of it is the same rule: close, roll or adjust before expiration. He holds almost nothing into the final bell, so he never has to know what time soybeans expire or what the micro E-mini settles into.
0DTE versus 1DTE
A viewer who wants a wider expected move asks whether to step out to one-day options. In the example on air, the SPX expected move was about 15 points for the same-day expiration, about 33 for the next day and about 60 two days out. The hosts still prefer 0DTE, and not because of the numbers: a 1DTE position carries the overnight session, and that is the risk they want to avoid. That morning the futures had been up 35 points before the open — the whole of a 1DTE expected move, used up before the cash session began.
Theta is not a daily paycheck
“Collect theta every day” is, in their view, one of the most oversimplified ideas in options. Decay is a curve you can count on over time, not a fixed daily amount. When volatility rises, a short option can gain value even if the stock does not move, and positions are marked to market — selling something for $4 that now trades at $10 is a $6 loss today, whatever expiration might bring. Weekend decay is often priced in before Friday’s close, and if news is expected over the weekend premium stays bid; you are not paid for that risk.
For longer-dated premium selling the curve leads to their best-known mechanics: open around 45 days to expiration, take profit at 50% of the credit, and close or roll at about 21 days. The steep part of the curve inside 21 days pays more, but they estimate the last three weeks carry roughly three times the risk of the first three and a half — that is gamma risk, or as Sosnoff puts it, how fast a position can turn on you. He says rolling at 21 days has flattened his portfolio’s P&L more than anything else he has done.
The rules for scalping options
Sosnoff has scalped for 43 years, still makes dozens of scalps a morning, and says he does it without charts — just price. His rules:
- Tight markets, first, second and third. SPY, SPX, QQQ and the most liquid single names (Apple, AMD, Amazon, Google, Meta, Microsoft, Netflix, Nvidia). SPX looks wide on the screen but is effectively a penny wide relative to its size. In illiquid options you give away too much edge getting in and out.
- The underlying must trade at least 10 million shares a day — shares, not dollars. Below that, tight option markets are rare.
- Set a profit target before entering, at about 25–35% of the risk you take on. Buy an option for $2 and aim for 50 cents to a dollar, not $6. Sell one for $2 and look to buy it back around $1.35–1.40; sell one for $5 and $4 is a fine scalp — you are not waiting for zero.
- Rarely carry an intraday scalp into the afternoon session.
Don’t open trades at the opening bell
The first minutes are when exchanges are still finding prices, and they have seen spreads that should have filled for a $3 credit fill for a $3 debit. Never use stop orders there. Their preference is to wait a few minutes before opening anything; a closing order at a price you would be happy with can go in at the open. Sheridan adds the technique for when you must be ready at the bell: look at where the stock is trading pre-market, read the option prices off the strike that far away on the previous close (if the stock is up $5, look at the strike $5 higher), and rest a limit order around that estimate so you can adjust the moment the market opens.
Pin risk: just close it
For mechanical traders who roll with 20-odd days left, pin risk never comes up. For the majority now trading short-dated options it is a real hazard: a stock can close within a few cents of your short strike and you may not know until Saturday whether you were assigned — and price can still move after the close. Their answer is blunt: unless you actually want the shares (running the wheel, for instance), close the position. The 20 or 30 cents an out-of-the-money option still costs late on expiration day is not market makers taking advantage of retail; it is the market pricing exactly that risk.
Picking strikes
Delta is the starting point because it is quick and mechanical. For anyone uncomfortable with it, the expected move gives almost the same answer: the edge of the expected move and the 30-delta strike usually land close together, and a premium seller should never be inside it. For covered calls their research points to 30–35 delta at around 45 days (anything from 35 to 60), entered as a single order, ideally on a lower-priced stock with high IV rank, and managed at half the duration or around 21 days, which they say lifts the return per day by 20–25%. A covered call is a bullish trade — if you cannot accept the shares being called away, sell a 20–25 delta call instead.
Execution reality: paper fills and after hours
- Paper trading fills at the mid-price — a choice made when Sosnoff’s team built the paperMoney simulator 26 years ago, to keep it simple. Live, expect to give up something like 50 cents to $1.50 per side on an SPX spread, plus fees. A rough rule: knock 10–20% off paper profits. For a realistic feel for slippage, paper-trade SPY, which is a tenth the size, and scale up.
- After hours, regular-session markets are far better. SPX, XSP and ES options are made by the same firms, so you will probably get filled overnight, but wider. Step outside that circle — the Russell, most other products — and the global-hours markets are not worth trading.
- Leveraged ETFs such as TQQQ trade huge stock volume, but their option markets are often wide and their capital treatment is poorer. They are not against them; they simply get the same leverage more cheaply from futures options or the regular ETFs.
- Dynamic delta hedging of an ES strangle with micro futures sounds clever; in Sosnoff’s experience it chops you up and ends with less than doing nothing.
Is 0DTE bad for the market?
Asked about India, where the regulator cut back daily index expirations after a retail boom, Sosnoff argues that restricting products in the name of protection makes things worse. In the US, he says, 0DTE has shown no sign of the systemic risk critics predicted, and the volume it brings to listed exchanges is part of why the US remains the world’s deepest pool of liquidity.
The takeaways
- Trade only liquid products: tight option markets on underlyings trading 10 million shares or more a day.
- Prefer 0DTE to 1DTE if you want to avoid overnight risk.
- Know your profit target before you enter, and take the scalp when it comes.
- Use limit orders, and do not open new trades in the first minutes of the session.
- Close everything before expiration unless you want the assignment.
- Treat theta as a curve you lean on over time, not a daily payment.
And one line from Sosnoff that sums up his approach: opportunity comes from price, not from the macro story. For a complementary take on when to sell 0DTE premium and when to buy it, see our summary of 0DTE options: when to sell premium and when to buy it.
This is a summary for readers deciding whether to watch, and nothing here is financial advice. The rules are presented from the hosts’ own trading and research, not as independently verified edges — treat them as hypotheses to test, not recipes to follow. Prices and expected moves quoted are from the day each clip was recorded.
Summary of the video “The Complete Guide to 0DTE and Short-Term Options” by More Tom Sosnoff, a compilation of clips from One Lucky Dog. Watch the full video above for the discussion behind each rule.
