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Recent work by Dorion et al. provides a useful framework for thinking about 0DTE option returns.

A central conclusion is that a meaningful component of observed 0DTE returns reflects compensation for systematic gamma and jump-skewness exposure, rather than pure mispricing. While residual alpha appears to remain concentrated in 0DTE options, the economics of extracting that alpha deteriorate materially once realistic transaction costs are incorporated.

For systematic 0DTE strategies, this distinction is important.

Positive P&L alone does not establish alpha. The more relevant question is whether returns can be attributed to identifiable risk premia, directional forecasting skill, relative-value signals, execution quality, or some combination of these sources.

Understanding the decomposition of returns is ultimately more important than the headline return itself.