We document new asset pricing stylized facts implied by zero days-to-expiration (0DTE) options, which now comprise half of total S\&P 500 option volume, and contrast them to those of longer-maturity contracts. A distinctive feature of the 0DTE market is that investors require more compensation for positive market returns than for negative returns. This is reflected in a high variance risk premium, which is mainly driven by compensation for upside risk and negatively predicts market returns. Moreover, the majority of 0DTEs violates price bounds associated with risk-averse investors. A trading strategy exploiting these violations is highly profitable up to 2022, but dissipates after the daily availability of 0DTEs, consistent with growing integration with the underlying market in recent years.