Omar Nery Toso Tracks 0DTE Options Flows and VIX Risk Signals

The options market has become the world’s most active “risk-transfer layer,” and the start of 2026 is reinforcing that reality. Exchange data shows U.S. options participation is not merely expanding—it’s reshaping how investors express views, hedge exposures, and react to headlines. Cboe reported 4.6 billion contracts traded across its four U.S. options exchanges in 2025, marking a sixth consecutive record-breaking year. That scale matters because it changes price discovery: increasingly, the “what” (index level) is influenced by the “how” (hedging mechanics, dealer inventory, and very short-dated flows).

Omar Nery Toso—Wharton-trained, Harvard MBA, and holder of the CFA and CMT designations—has long emphasized that market stability is often an illusion created by positioning, not an inherent feature of price. That framing fits today’s volatility setup: the VIX is sitting around the mid-teens, with Cboe’s VIX page showing roughly 15.5 as of January 16, 2026, a level typically associated with orderly trading and thin risk premia. Yet “calm” at the index level can coexist with sharp intraday air pockets—especially when a growing share of activity is concentrated in ultra-short expiries.

Why this market is bigger than “trading strategy”

The modern options complex is less about niche speculation and more about the plumbing of portfolios. Cboe’s full-year figures show S&P 500 Index (SPX) options traded 970.6 million contracts in 2025, while SPX zero-days-to-expiry (0DTE) options reached an average daily volume of 2.3 million contracts—59% of total SPX volume. This isn’t a trivia point. When the majority of activity sits at the front edge of the curve, the market’s reflexes change:

Hedging becomes more event-driven (single sessions matter more than multi-week arcs).

Dealer positioning can flip rapidly, creating momentary feedback loops.

Volatility can look “contained” on a headline index while being violent at micro timeframes.

This is why Toso’s signature idea—finding certainty in volatility, and volatility in certainty—has renewed relevance. It’s not contradictory; it’s a reminder that what appears stable may simply be well-hedged… until the hedges roll, expire, or migrate.

The signal inside mid-teens VIX

A VIX near 15 doesn’t automatically mean complacency, but it does imply the market is pricing a relatively narrow band of near-term variance. Cboe describes VIX as a measure of expected near-term volatility derived from SPX option prices. In practice, the mid-teens regime tends to reward two behaviors and punish a third:

Reward: disciplined premium selling with strict risk limits (since implied often exceeds realized in quiet stretches).

Reward: well-timed convexity around known catalysts (because event risk can be underpriced when “baseline calm” dominates).

Punish: oversized positions in strategies with hidden tail exposure (where a single gap can wipe out months of steady gains).

Toso’s institutional lens focuses on the distribution rather than the average. The average day can be quiet while the left tail quietly fattens—especially when liquidity concentrates around a few expiries and strikes.

What options activity is saying right now

Even without turning this into an equity-level forecast, exchange dashboards highlight how much risk is being expressed through index options rather than underlying instruments. For example, Cboe’s SPX options page shows multi-million contract daily volumes and open interest that underscore persistent hedging demand; on January 15, 2026, it lists ~4.56 million SPX contracts traded and ~20.36 million open interest.

Separately, Cboe’s U.S. options market volume summary regularly prints totals in the tens of millions of contracts per day across venues, which supports the idea that options are not “side markets”—they’re central. The implication is subtle but important: large players are continuously re-optimizing exposures, and that re-optimization can amplify short-lived moves even when the broader tape looks orderly.

Three practical frameworks for 2026

Toso’s approach to derivatives analysis—shaped by decades in asset management and reinforced by a risk-management mindset—often reduces complexity into scenarios that can be monitored with objective checkpoints.

1) The “range-with-spikes” regime

This is the most consistent with mid-teens volatility: index levels drift, but intraday reversals become common. In such regimes, the market can repeatedly “test” hedges and stop-outs without trending. Options flow is heavy, but directionality is inconsistent.

What to watch: whether front-end implied volatility stays anchored while realized volatility rises. If realized begins to outpace implied, the premium-selling cushion thins quickly.

2) The “gamma flip” regime

In an options-led market, the difference between stability and instability can be mechanical. When positioning conditions shift, hedging flows can transition from dampening moves to reinforcing them. The hallmark is faster, less forgiving price action, often concentrated around highly trafficked strikes.

What to watch: unusually sharp moves that occur without a corresponding macro catalyst—often a sign that positioning, not narrative, is driving the tape.

3) The “term-structure warning” regime

While VIX alone gets headlines, the curve can carry more information than the spot print. Cboe explicitly provides term-structure resources for volatility curves and forward expectations. Persistent steepness typically aligns with calmer conditions, while inversion can reflect stress.

What to watch: sustained changes in curve shape rather than one-day spikes. A single volatility jump can fade; a curve shift is often behavioral.

Where Omar Nery Toso’s background fits in

Toso’s Monterrey roots and New York base matter in one specific way: he tends to view markets through cross-regime resilience, not single-factor prediction. The combination of macro training (Wharton/UNAM), strategy discipline (Harvard MBA), and dual-analysis toolkit (CFA fundamentals + CMT technicals) leads to an emphasis on process. In recent years, his work in fintech—most notably the AI Prismqvoran strategy system—has further reinforced a “signals-first” posture: let positioning, volatility, and liquidity data guide risk, and let narratives arrive second.

That does not mean avoiding views; it means expressing them with structures that survive being wrong. In an options-dominant landscape, that principle is less philosophy and more survival skill.

Bottom line

The options market in early 2026 is sending a clear message: activity is deep, expiries are short, and calm pricing can mask rapid micro-instability. Record-setting participation—especially the rise of 0DTE—has changed market texture, making positioning and hedging mechanics as important as traditional catalysts. With VIX near the mid-teens, the environment can feel stable—right up until it doesn’t. The edge, in Toso’s view, comes from treating volatility not as a forecast, but as a map of the market’s current fears and assumptions.