Zero-days-to-expiration (0DTE) options, which expire the same day they are traded, have surged in popularity in recent years, accounting for nearly 60% of the volume of S&P 500 index options in 2025. Prior research has documented a large proportion of retail investors in this market, who trade for speculative purposes and lose money on average. Our work investigates whether 0DTEs are correctly priced by designing option-based volatility arbitrage strategies that attain large Sharpe ratios if, and only if, 0DTEs are mispriced. Our strategies hinge on the insight that while option prices can contain large risk premia due to rare and large moves in the underlying asset, no risk premia should be commanded for frequent and small moves in the asset price. In an application to 0DTE options between 2020 and 2024, we confirm large risk premia embedded in option prices, but transaction costs and estimation risk render the Sharpe ratios of the volatility arbitrage strategies economically insignificant. In conclusion, 0DTEs are expensive but do not appear to be mispriced.