Gamma Capture Volatility
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[Up/Down Barrier Width] X [Average Number Crossings in 60 Minutes]
Different Than Traditional Volatility
A tenth of 1.0% (0.10%) move in one minute is almost a 4.0% one day move. That is a big jump! For Gamma Capture, a 0.10% move represents roughly 5 extra barrier crossings. Jumps skew traditional volatility measures such as Close-Close or Parkinson's.
Volatility Trading
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.
Up/Down Barrier Crossing
Gamma Capture utilizes a barrier crossing method to calculate intraday volatility within a 60-minute look-back window. This approach measures the degree of price variation of assets, such as the S&P 500, on how often an asset move up or down during an hour. 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.
Use Cases
Gamma Capture is essential for traders looking to assess risk, identify potential trading opportunities, and establish stop-loss, entry-exit levels based on volatility rather than just price. Gamma Capture Bands replace Bollinger Bands.
Our indicator provides real-time calculations for intraday volatility. It can be used for any underlying asset class.
Gamma Capture was 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.
Up/Down Volatility Bands that replace Bollinger Bands.
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 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 indicators cost $49.00 per month.
If you'd like to test the indicator, with no obligation, click the 'Subscribe Now' button below. No charge will be applied for the first month of use.
Gamma Capture Bands replace Bollinger Bands. You can view these volatility graphs within the NinjaTrader or TradingView platforms.
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.
Analyze intraday volatility for Cryptos, Futures, or Stocks.
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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