SPY and SPX both give you 0DTE exposure to the S&P 500, and both have daily expirations. But they are not interchangeable, and for a frequent 0DTE trader the differences add up fast.
Size and flexibility
SPX is about 10x the size of SPY (it tracks the index directly; SPY is ~1/10th). One SPX contract is a big position; SPY's smaller size gives you finer control over sizing and is friendlier to smaller accounts — you can scale in single contracts (0DTE position sizing). For most retail 0DTE scalpers, SPY's granularity is the practical choice.
Settlement: cash vs shares
SPX is cash-settled and European-style — no early assignment, and at expiration you just settle in cash. SPY is American-style and settles into shares, so a deep-in-the-money SPY option carries assignment risk if held to expiry. For 0DTE this matters: SPX's cash settlement removes the pin/assignment headache entirely (pin risk).
SPX is the cleaner instrument; SPY is the more flexible one. Most retail scalpers pick flexibility.
The tax angle
SPX options are Section 1256 contracts, taxed 60% long-term / 40% short-term regardless of holding period — a meaningful edge for an active trader versus SPY's standard short-term treatment. That alone pushes some high-volume traders to SPX. (Not tax advice — confirm with a professional.) NoVo maps the ETFs — SPY, QQQ and IWM. Not because the index book is thinner — SPX actually carries the denser strike grid near the money — but because the ETFs are what a 0DTE scalper can size into: an at-the-money 0DTE call runs a little over a hundred dollars on SPY against roughly eight times that on SPX. The ETFs also print continuous share volume, which is what VWAP, relative volume and the session volume profile are built from; a cash index has no share tape at all. See what 0DTE trading is and the 0DTE SPY scalping guide.
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