Read tickets, not traders. Public options tape has no unique brokerage-account IDs or complete
portfolios. The P&L histogram can estimate the outcome of tiny buyer-initiated tickets; it cannot
honestly report the percentage of unique retail people who are profitable. OCC “customer” is shown
separately because it includes professional and institutional customers.
OCC customer-side share real
Customer 0DTE volume real
—
Tiny-ticket share proxy
Profitable tiny tickets proxy
—
Net marked P&L proxy
—
Tiny-ticket 0DTE volume proxy
—
Tiny-ticket 0DTE volume — 360-day history
contracts passing the selected small-ticket rule · actual Massive OPRA trade prints
Estimated tiny-ticket 0DTE outcome distribution — profit/loss and by how much
share of estimated buyer-initiated tickets · spread-aware mark-to-bid · never relabeled as unique-trader performance
0DTE participation over time — clearing customer context vs tiny-ticket proxy
bars = OCC customer-range contract sides · blue = customer share · amber = tiny-ticket share
WallStreetBets attention — rolling 12 hours
comments + unique pseudonymous authors · 0DTE mentions on a separate right axis
Known research benchmark — context, not live data
A published SPX retail-order study could estimate aggregate retail results, but explicitly
could not determine what fraction of unique traders made money.
72%of identified retail orders were one contract
−$125m+cumulative 0DTE retail loss in the sample
−$241kaverage daily loss before the full daily-expiry schedule
Sample: SPX retail orders, Feb 2021–Sep 2023. Transaction costs were a major part of the loss. paper →
Retail-volume proxy stack — what else is useful?
| Metric | What it adds | Main limitation | Use |
|---|---|---|---|
| OCC customer 0DTE | Free, exact expiry-date and clearing-range context across exchanges. | Customer includes professional and institutional accounts; no ticket-size buckets. | Upper bound |
| Tiny-lot contracts / premium | Sum 1-, ≤5-, or ≤10-contract non-complex 0DTE prints; premium cap removes expensive tickets. | Institutions slice orders and some retail orders are large. | Best public tape proxy |
| Tiny buyer call/put premium | Separates speculative direction and dollars at risk using trade price vs pre-trade NBBO. | OPRA has no aggressor flag; midpoint inference is imperfect. | Directional proxy |
| Cboe Open-Close <100 | Origin-coded customer/pro-customer, buy/sell, open/close and size buckets. | Paid and covers Cboe exchanges, not the entire market. | Validation truth |
| 1-lot share · OTM share · delta | Captures lottery-ticket intensity even when total options volume is flat. | Still behavioral inference, not identity. | Useful composite inputs |
| WSB comments / 12h | Fast attention and narrative-intensity pulse; add unique authors and 0DTE/ticker mentions. | Posting population is small, noisy, and easy to game; API coverage must be monitored. | Attention only |
| Robinhood downloads / day | Daily new-user acquisition estimate; spikes can flag fresh retail participation before account funding/trading appears. | Third-party modeled estimate; downloads include inactive/non-trading users and exclude existing-user activity. | Acquisition proxy |
| Broker Rule 606 / PFOF | Slow cross-check from retail brokers' options-routing disclosures. | Lagged, fragmented, and definitions vary. | Monthly context |
| FINRA margin debt | Broad household/speculative leverage regime. | Monthly and not options- or 0DTE-specific. | Macro context |
Measurement contract — rules that prevent false precision
1 · Define the cohort
Expiry equals the trade date in New York time; single-leg/non-complex; ticket size and premium below the selected limits. Denominator is the complete selected-universe 0DTE tape.
2 · Infer direction conservatively
Use the NBBO immediately before the print. Above midpoint = estimated buy; below midpoint = estimated sell; midpoint/unknown prints stay in volume but are excluded from P&L.
3 · Mark realizable outcomes
Buyer tickets are marked to the future bid, not midpoint or last. Report n, win/loss/flat, return buckets, and dollar P&L at 15m, 1h, close, and expiry.
Exact retail-only volume needs origin-coded proprietary data or broker/CAT account data. Exact
unique-trader profitability additionally needs account IDs, position lifecycle, fees, exercise,
assignments, and transfers. Public tape supplies none of those identity/portfolio fields.