Cboe puts a 404% number on the gap between perps and 0DTE options

Cboe's Market Intelligence team published a paper on July 14, 2026, titled "Crossed Wires: Separating Perception from Reality," arguing that perpetual futures and zero-days-to-expiration options differ fundamentally in structure, risk profile and application ^[1]. The timing is not accidental: the CFTC approved Kalshi's Bitcoin perpetual futures contracts on May 29, 2026, bringing crypto-native perps into the regulated US derivatives market for the first time ^[2], and around that approval CFTC Chair Selig reportedly suggested the two instruments were similar enough to be treated as comparable ^[3].

The paper's central exhibit is a case study from April 21, 2026, when the S&P 500 fell 0.94% intraday ^[7]. Two positions with equivalent notional exposure were compared: a 10x leveraged short perpetual future returned +9.4%, while an at-the-money SPX 0DTE put bought at the open returned +404% ^[8]. That is roughly a 43-fold difference in outcome from the same market move ^[1], a spread of about 395 percentage points ^[3]. The perp result is simply arithmetic: 0.94% times ten leverage is 9.4%, which is what a linear payoff is supposed to produce ^[2]. A perpetual future has no expiration and moves one-for-one with the underlying, up and down, without a ceiling or a floor ^[4]. The option result comes from gamma acceleration as a contract crosses from out-of-the-money to in-the-money intraday, convexity that a linear instrument cannot reproduce ^[9].

Two cautions on reading that gap. The positions were matched on notional exposure ^[8], which means the two percentages rest on different denominators: option premium in one case, posted margin in the other ^[5]. And convexity is bought, not given. The buyer's loss is capped at the premium and known at entry ^[5], which also means the worst case is losing all of it when the move does not arrive ^[4]. Cboe says roughly 92% of SPX 0DTE activity uses these capped-risk structures ^[6], and characterises the primary uses as hedging existing exposure and collecting premium ^[11], versus perps as speculative and leverage tools carrying symmetric, uncapped risk that can liquidate a position within minutes ^[10].

That is where the regulatory point bites. A 0DTE put buyer can lose the premium and nothing more; a leveraged perp holder can lose the entire margin and potentially more, depending on the platform's liquidation mechanics ^[13]. Margin and liquidation are risks perps carry and 0DTE structurally avoids ^[13]. The scale argument is also on Cboe's side: as of Q2 2026, 0DTE contracts were over 60% of typical SPX options volume, with average daily notional peaking at $2.3 trillion ^[12].

Cboe's motive is visible. It runs the largest US options exchange and is the home of SPX options, so it has a commercial interest in framing its flagship product as the more sophisticated risk-management tool ^[14].

What to watch: whether the comparability framing attributed to Selig ^[3] shows up in the margin, disclosure or suitability treatment applied to the next perp listings after Kalshi's ^[2], and whether the 0DTE share of SPX volume holds above 60% once regulated perps compete for the same short-dated directional flow ^[12].