Gamma Capture 0-DTE Analytics for Cryptocurrency. Developed in conjunction with Lehigh University.
Gamma Capture 0-DTE Analytics for Cryptocurrency. Developed in conjunction with Lehigh University.
Call Premium = PV × Σ i∈{−range,+range} : MAX[ (S + b * x_net_i) − K, 0 ] × Prob_Skellam( x_net_i ; μ+, μ− )
Put Premium = PV × Σ i∈{−range,+range} : MAX[ K - (S + b * x_net_i), 0 ] × Prob_Skellam( x_net_i ; μ+, μ− )
Gamma Capture Crossing Intensity per Strike (K)
λ(K) = λ₀ + K_add_c + n·φ (K > ATM)
λ(K) = λ₀ + K_add_p + n/φ (K < ATM)
Gamma Capture is similar to asking how many bricks (λ(K)) and what cost per brick (b) does it take to build a brick wall? How many barrier widths need to be crossed to sum to an options premium?
Reference:
"From Barrier Crossings to Terminal Distributions: A Skellam-Based Options Pricing Framework for 0-DTE Markets" (January 06, 2026).
Available on SSRN: https://ssrn.com/abstract=7029658
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