Prop trading调整应对零天到期选项的市场冲击

随着新收盘拍卖系统引入，prop trading desks面临流动性减少和策略调整的挑战，特别是在高风险的零天到期合约中，市场参与者正重新评估风险与定价影响。

Prop trading desks are adjusting to a sharper, less predictable close after the introduction of the closing auction system, with Moneycontrol reporting that volumes in proprietary trading fell by nearly half in the first week. The shift has made the final minutes of trading more difficult to read, particularly for strategies built around the closing print, and has pushed up the cost of finding liquidity.

The biggest pressure point has been zero-days-to-expiration, or 0DTE, options, contracts that expire the same day they are traded. Charles Schwab says these products have become widely used because they offer low upfront cost and fast exposure, but they are also highly sensitive to small price moves and rapid changes in the market. TradingBlock and other market guides note that 0DTE strategies carry heavy liquidity, gamma and execution risks, with time decay working against traders almost immediately.

That strain appears to be showing up in open interest as well. Moneycontrol reported that Sensex expiry open interest dropped by about 60% to 70% after the first Nifty expiry under the new regime, suggesting that traders are still trying to work out how the revised closing process affects pricing and hedging. In practice, that means some of the sharpest activity has been delayed or reduced while participants reassess how much risk they are willing to carry into the close.

The broader backdrop is a market that had already grown reliant on short-dated options. Schwab has said 0DTE contracts account for a large share of daily options activity, while OKX has pointed to their growing role in market turnover and volatility. Academic research also suggests that heavy 0DTE trading can force market makers to rebalance hedges more aggressively, potentially influencing index swings. For now, the new auction regime seems to be testing whether that business can adapt without sacrificing liquidity or price discovery.