Gamma Capture uses a barrier crossing method to calculate intraday volatility on a 30- or 60-minute lookback window. It measure the degree of price variation of an asset like the S&P 500 during a trading day. Gamma Capture helps traders assess risk, identify potential 0-DTE trading opportunities, and set stop-loss levels based on volatility (as opposed to price).
Our indicator shows real-time, intraday realized volatility.
Evaluate 0-DTE option prices by comparing Gamma Capture Theoretical Straddle to current market prevailing price for an ATM Straddle. Gamma Capture volatility is converted to a 0-DTE ATM Straddle premium using the Black-Scholes Model.
Gamma capture shows the bid/ask spread on volatility and volatility cones. See the volatility graphs displayed in the NinjaTrader platform.
Gamma Capture realized volatility vs. market implied volatility from 0-DTE options provides a vol measure to evaluate option premium (high/low).
We calculate a theoretical premium to compare against current options prices. If options prices are too high when compared to our theoretical value, then sell 0-DTE options. And if option prices are too low, then buy.
We know volatility! Maximize your options trading potential.
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