Gamma Capture Volatility
=
[Up/Down Barrier Width] X SQRT[Average Number Crossings per Time]
Different Than Traditional Volatility
A tenth of 1.0% (0.10%) move in one minute is almost ~ 4.0% when converted to a one-day move. That is a big jump! For Gamma Capture, a 0.10% move represents roughly 5 extra barrier crossings. Price jumps skew and overstate traditional time series volatility measures such as Close-Close or Parkinson's.
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, compare 0-DTE iVol to Gamma Capture rVol, and establish stop-loss, entry-exit levels based on volatility rather than just price. Gamma Capture Bands replace Bollinger Bands for intraday trading.
Learn More About Gamma Capture Barrier Crossing Volatility
What is the link between Geometric Brownian Motion volatility compared to a barrier crossing measure? Learn more here.
Tutorial
Contact us at sales@gammacapture.com for a full demo on how to use the trading tools.
Our indicator provides real-time calculations for intraday volatility. It can be used for any underlying stock or asset class. It works on timeframes less than one day.
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. Use Gamma Capture Bands in the same manner as Bollinger Bands to view breakout levels based on volatility. However, Gamma Capture is much more stable and accurate. For example, when the price moves outside the bands, it suggests the asset is overbought (above the upper band) or oversold (below the lower band).
Keltner Bands are slow to react because of their averaging period. Neither Bollinger Bands nor Keltner Bands can be used as a volatility measure for 0-DTE options.
Gamma Capture volatility is transformed into a premium for 0-DTE ATM Puts, Calls, and 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 premium. This indicator gives traders an options based perspective on break out levels.
Gamma Capture is available in TradingView.
Gamma Capture is ideal as a cryptocurrency volatility measure.
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 Cryptocurrency, 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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