The Best ETFs For Selling Zero Day to Expiry (0DTE) Covered Calls

Earlier in January, I profiled a series of three ETFs from Roundhill Investments that stood out for their weekly distributions and use of a 0DTE (zero-day-to-expiry) options selling strategy.

0DTE options are contracts that expire on the same day they are traded, meaning there’s no overnight risk. These options have gained popularity among traders because of structural mispricings, allowing investors to harvest daily income—though at the cost of higher turnover, frequent position management, and increased exposure to sudden market swings.

The Roundhill ETFs I previously covered used index options, which are European-style (meaning they can’t be exercised early) and cash-settled (meaning no actual shares change hands at expiration). They also used FLEX options, which are customizable contracts that trade over the counter instead of on a traditional exchange.

But if you don’t want to outsource the strategy to an ETF provider, you can do it yourself using three unique ETFs that offer 0DTE contracts, letting you run an active covered call strategy on your own terms.

Here’s a look at each of these ETFs and the potential income you could generate by selling 0DTE covered calls on 100 shares.

SPDR S&P 500 ETF Trust (SPY)

SPY has the lowest premiums of all three ETFs, and for good reason—the underlying isn’t as volatile. However, the trade-off is that SPY is a solid ETF to get stuck holding if you do get assigned.

As of February 24, SPY trades at $600.25 per share, meaning 100 shares require a capital outlay of $60,025.

With this, you can sell the SPY250224C00601000 call option for a $0.61 premium, which expires the same day. This option is slightly out of the money (OTM) and nets you around $61 after commissions.

That translates to a daily yield of 0.10% against your capital outlay. If this rate were consistent and reinvested over the 252 trading days in a year, it would annualize to approximately 29.17%.

Of course, this can fluctuate significantly, and there’s always the risk of getting assigned if SPY closes above the strike price. A good rule of thumb is that the delta of the sold call represents the approximate probability of assignment—the higher the delta, the more likely you’ll be forced to sell your shares. ​

Invesco QQQ Trust (QQQ)

​ QQQ offers significantly higher premiums than SPY, largely because the Nasdaq-100 is a narrow index of just 100 stocks, heavily concentrated in mega-cap tech, which has been extremely volatile in recent years.

At the time of writing, QQQ trades at $523.50 per share, meaning 100 shares require a capital outlay of $52,350.

With this, you can sell the QQQ250224C00524000 call option for a $1.20 premium, netting $120 in premium income.

This translates to a daily yield of 0.23% against your capital outlay. If this rate were sustained and reinvested over 252 trading days, it would annualize to 78.07%.

As always, this assumes consistent premiums, which won’t always be the case. And since QQQ is more volatile, there's a higher probability of getting assigned, especially if tech rallies unexpectedly.

iShares Russell 2000 ETF (IWM)

This one is my personal favorite for selling 0DTE covered calls, mainly because of its much lower share price. Right now, IWM trades at $217.69 per share, meaning the total capital required for this strategy is just $21,769—a fraction of what SPY or QQQ demand.

The underlying index also works in your favor. Small caps are more volatile than the S&P 500, which translates into higher option premiums for covered call sellers.

At the moment, you can sell the slightly OTM IWM250224C00218000 call option for a $0.28 premium, netting $28 in income per contract.

This results in a daily yield of 0.13% against your capital outlay. If this rate were sustained and reinvested over 252 trading days, it would annualize to 38.25%.

The only real drawback is that IWM isn’t the ideal small-cap index to get stuck holding. It’s not terrible, but it lacks an earnings filter, meaning some of its holdings have poor profitability and lower quality compared to other small-cap indices.