QQQY and 0DTE Options – blowup risk?

I recently learned that there is now a 0DTE ETF. When you look into the product, its administrator claims there is no blowup risk because the fund is NOT LEVERAGED. It holds cash and ST treasuries as collateral against its positions. The administrators, and its proponents, argue this eliminates blowup risk. Amazingly, the fund administrator did an interview on CNBC recently and claimed this thing can generate a 60% annual return. That sounds like an insane return generated in exchange for a massive risk.

Something about this narrative seems way off. The Black-Scholes model tends to underprice options relative to their real value, which increases dramatically and non-linearly in the event of an outsized move. Moreover, the size of moves increase as option duration decreases. With that in mind, how is QQQY sufficiently collateralized for an outsized move to the downside? Margin requirements are based on valuation methods that tend to underprice options, so how is this not some doomsday machine waiting to explode?

Any insight is appreciated. Let me know if I am thinking about this wrong.