Definitions for terms that appear in same-day options alerts and scanner output. These are general explanations of standard market terminology, not investment advice.
Contract and expiration
0DTE (zero days to expiration). An option contract on its final trading day, expiring at the end of the current session. A description of timing, not a distinct product.
Expiration. The point at which a contract resolves and ceases to exist. An in-the-money contract settles for its intrinsic value; an out-of-the-money contract expires worthless.
Strike price. The price at which the contract can be exercised.
Call. A contract whose value rises as the underlying rises past the strike.
Put. A contract whose value rises as the underlying falls below the strike.
In the money (ITM). The underlying has moved past the strike in the direction the contract needs, so the contract has intrinsic value.
Out of the money (OTM). It has not. At expiration, an out-of-the-money contract is worth nothing.
At the money (ATM). The underlying is at or very near the strike.
Assignment. For physically settled contracts, an in-the-money position held to expiration may become a position in the underlying, with the capital that implies.
Cash settlement. Resolution by paying the difference in cash rather than delivering the underlying. Common for index options.
Pricing
Premium. The price paid for the contract. For a buyer, this is the maximum amount that can be lost.
Intrinsic value. How far in the money the contract currently is. Zero for an out-of-the-money contract.
Extrinsic value. Everything in the price that is not intrinsic value — principally the value of time remaining and expected movement within it. Converges toward zero at expiration.
Bid. The best price a buyer is currently willing to pay.
Ask. The best price a seller is currently willing to accept.
Midpoint. The average of bid and ask. A calculation, not an offer — a trade will not necessarily execute there.
Bid-ask spread. The gap between bid and ask. A real cost paid on entry and exit, and a proportionally larger one on cheap or thinly traded contracts.
Slippage. The difference between the price expected and the price actually filled.
The greeks
Theta. The rate at which extrinsic value erodes as time passes. Accelerates as expiration approaches; on the final day it can erode a position over hours.
Delta. How much the contract's price moves for a one-unit move in the underlying. Also loosely used as a rough proxy for the chance of finishing in the money.
Gamma. The rate at which delta itself changes. Largest near the money and near expiration, which is why a same-day position's character can shift substantially on a small move.
Vega. Sensitivity to changes in implied volatility.
Implied volatility (IV). The market's expectation of future movement, as implied by current option prices. Not a forecast of direction.
Market and scanner terms
Underlying. The instrument the option is written on.
Volume. Contracts or shares traded over a period.
Relative volume. Current volume compared with what is typical for that instrument at that time of day. More meaningful than raw volume, since activity clusters around the open and close.
Open interest. The number of contracts currently outstanding.
Liquidity. How readily a contract can be traded near its displayed price. Low liquidity can make a quoted price effectively unavailable.
Trend. Sustained directional movement, generally assessed by comparing shorter- and longer-horizon measures.
Chop. A range-bound tape without sustained direction. Signals that are meaningful in a trending market are frequently noise here, which is why scanners gate on market context.
Market context. The state of the broader market, applied as a gate on whether an individual observation qualifies.
Setup score. A scanner's ranking of how completely conditions matched its configured rules. Not a probability of profit and not a prediction.
Qualification rules. The pre-configured conditions an observation must clear before an alert is sent. Written before the session and applied identically to every subscriber.
Related
- What 0DTE means — the mechanics in full.
- What a 0DTE scanner does — how these inputs are combined.
- 0DTE options alerts — what ends up in an alert.
0DTE options are highly speculative and can lose 100% of premium. Read the full risk disclosure before subscribing.