Money is made in trading options volatility in two ways: Buying implied volatility low and selling implied volatility high.
Delta hedging with the underlying asset over the life of the option captures the realized volatility. This is known as Gamma Scalping, Gamma Trading, or Gamma Capture. The difference between the rVol from hedging and iVol is the trader's P&L. Gamma Capture is the rVol level derived from a dynamic hedge of an option.
Gamma Capture utilizes a barrier crossing method to calculate intraday volatility within a 30- or 60-minute look-back window. This approach measures the degree of price variation of assets, such as the S&P 500, during a trading day. Our system calculates a stable and accurate 1-Day volatility measure, specifically designed for S&P 500 0-DTE options trading and based on options market making P&L.
Gamma Capture is essential for traders looking to assess risk, identify potential 0-DTE options trading opportunities, and establish stop-loss levels based on volatility rather than just price.
Our indicator provides real-time calculations for intraday volatility.
Gamma Capture is specifically designed for 0-DTE options, or 'Zero Days to Expiration' options, on the SPDR S&P 500 ETF (SPY). Also known as same-day options, 0-DTE options became widely available in 2022.
Volatility cones measure predicted intraday volatility for the entire trading day. Track the expected value of volatility 15-minutes to 4-hours forward each trading day.
Gamma Capture volatility is transformed into a premium for 0-DTE ATM Straddles using the Black-Scholes formula. To determine the At-The-Money Straddle breakeven levels, take the underlying S&P 500 price and adjust it by adding or subtracting the ATM Straddle premium. This indicator gives traders an options based perspective on break out levels.
Gamma Capture illustrates the bid/ask spread on 0-DTE options, alongside insights into intraday volatility and volatility cones. You can view these volatility graphs within the NinjaTrader platform.
Gamma Capture's analysis of volatility compared to market implied volatility from 0-DTE options offers a valuable measure for evaluating option premium levels, whether high or low. This is particularly useful for understanding intraday volatility in the context of 0-DTE Options.
We calculate a theoretical premium to compare against current options prices.
For example, If the market price of 0-DTE options are high relative to our theoretical value, traders may consider selling straddles.
Currently, we only support S&P 500 futures. However, if you're interested in enhancing your Options Trading strategy with our Gamma Capture Indicators for 0-DTE options or to analyze intraday volatility for Bitcoin, Commodities, or Single Stocks, feel free to contact us for a custom build.
We understand the volatility of the S&P 500 and the opportunities it presents for options trading. Think of our service as a cost-effective call option that offers significant upside potential. We specialize in maximizing your options trading potential by identifying when options, especially 0-DTE options, are inexpensive or overpriced, allowing you to navigate intraday volatility effectively.
Sign up now and enjoy the first month free as a trial. If you find that Gamma Capture doesn't meet your needs, you can cancel within the first two months at no charge. (Second month will be refunded, first month is free.)
Don’t forget to ask about our free S&P 500 0-DTE Strategy Retriever and educational content!
Feel free to reach out with any questions or to set up a meeting to explore business partnerships. We offer revenue sharing for customer referrals.
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