ODAP: the DAX options that expire every trading day

ODAP is an index option on the DAX. It is cash-settled; one index point equals five euros of contract value, as with ODAX. Exercise is European-style: the contract can only be exercised on the final settlement day.

The main difference is not the maturity alone but the time of settlement. For ODAX the final settlement price is derived from the Xetra intraday auction starting at 13:00 CET — in the middle of the European session. For ODAP it comes from the closing auction at 17:30 CET, at the end of the trading day.

That has a practical consequence for observation: on a large ODAX expiry day a substantial share of open positions is resolved around midday, while the day's ODAP positions remain until the close. Anyone following the structure of the options market through the day therefore sees two distinct moments at which hedging requirement ends.

Gamma measures how strongly an option's delta changes when the underlying moves. At very short remaining maturity that value is largest near the money and drops off quickly towards the edges. A book of daily expiring contracts therefore concentrates its hedging requirement on a few strikes around the current index level — and unwinds it over the course of the same day.

For the classic monthly and quarterly expiries it is the other way round: open interest spreads across many strikes and stays in place for weeks. Both pictures describe the same index, but on different time scales. That is why a map of the options market has to state which expiries it contains.

It is worth stating what this structure is not: a statement about direction. It describes where hedging requirement arises and how quickly it unwinds — the mechanics by which a market moves, not the destination it is heading for.

Three marks carry the reading, and all three come from open interest per strike:

Put wall and call wall

The strikes with the largest concentration of open put and call contracts respectively. Movement tends to stall there because that is where most of the hedging requirement sits.

Gamma flip

The index level at which aggregated dealer gamma changes sign. Above it hedging dampens movement, below it amplifies — the same chart, two modes.

Max pain

The strike at which, summed across all contracts, the most open interest expires worthless. A statistic of the options side as at the data date, not a statement about the further course of the index.

The freely accessible views are based on open interest and settlement prices of Eurex ODAX options on the DAX, updated every trading day on a previous-day basis. The expiry-day diagram shows open interest per strike together with max pain; the DAX gamma levels carry the daily marks and DAX open interest the aggregated view. Individual terms are explained in the glossary.

What is ODAP?

ODAP is the Eurex code for DAX End-of-Day Options — DAX index options that expire on every trading day. Eurex introduced them in November 2023. They complement the classic DAX options (ODAX) with daily maturities; on their expiration day such contracts are commonly called 0DTE, zero days to expiry.

How do ODAP and ODAX differ?

Both are European-style, cash-settled DAX index options with a contract value of EUR 5 per index point. They differ in maturity: ODAX expires weekly, monthly and quarterly, ODAP on every trading day. And in settlement: the ODAX final settlement price comes from the Xetra intraday auction starting at 13:00 CET, the ODAP one from the closing auction at 17:30 CET.

How is ODAP settled?

In cash, payable on the first exchange day following the final settlement day. The final settlement price is derived from the prices of the index constituents in the Xetra closing auction at 17:30 CET. Exercise is European-style, so only on the final settlement day.

Why does daily expiry matter for gamma structure?

Contracts with very short remaining maturity carry a large amount of gamma per contract around the current index level. The hedging requirement on the other side therefore concentrates on a few strikes near the money and unwinds within the same day. That describes how tightly a market is held around such marks — a description of the options side, not a statement about where the index will go.

Where can I see DAX options positioning?

The expiry-day diagram on gammacockpit.com shows open interest per strike from Eurex ODAX data, together with max pain, put wall and call wall. The DAX gamma levels on levels.gammacockpit.com carry the same marks as a daily list.

What a DAX options structure looks like is shown by the daily expiry-day diagram. It plots open interest per strike — puts on the left, calls on the right.

The current daily marks are on DAX gamma levels, the full diagram with max pain on the expiry-day page.

The DAX Gamma Cockpit takes the same Eurex data per strike one step further: net open interest, the GEX profile with its sign change, call wall, put wall and the daily marks — across the whole trading day instead of once in the morning.