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Gamma Capture Bands are more stable and accurate than Bollinger Bands. Developed in conjunction with Lehigh University. 

Intraday Volatility Bands Created for Traders to Assess Breakout Moves

Intraday Volatility Bands Created for Traders to Assess Breakout MovesIntraday Volatility Bands Created for Traders to Assess Breakout MovesIntraday Volatility Bands Created for Traders to Assess Breakout Moves
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Gamma Capture Bands are more stable and accurate than Bollinger Bands. Developed in conjunction with Lehigh University. 

Intraday Volatility Bands Created for Traders to Assess Breakout Moves

Intraday Volatility Bands Created for Traders to Assess Breakout MovesIntraday Volatility Bands Created for Traders to Assess Breakout MovesIntraday Volatility Bands Created for Traders to Assess Breakout Moves
Get in Touch

Download Our Brochure

Gamma Capture Explanation and Install Instructions. Click Subscribe Now button to get started.

Gamma Capture is a brand new intraday volatility measure. No other indicator subscription will substitute for the market-tested experience and solid trading signals Gamma Capture provides. Replace Bollinger Bands with Gamma Capture Bands.

Gamma Capture Trade Indicators (pdf)Download
Gamma Capture 0-DTE Options Model (pdf)Download
Gamma Capture Replaces Black Scholes (pdf)Download
Gamma Capture 0-DTE Straddles (pdf)Download
Profitability of 0-DTE Options Strategies (pdf)Download

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Bollinger Bands Exhibit Wide Balloons and Narrow Squeezes

Replace Bollinger Bands with Gamma Capture Bands

Gamma Capture Bands are Better Than Bollinger Bands

Gamma Capture is an indispensable indicator for traders looking to identify potential breakout trading opportunities intraday. Gamma Capture Bands replace Bollinger Bands for intraday trading. We use a barrier crossing method to calculate volatility, as opposed to the traditional standard deviation of log returns. Back-testing shows a higher degree of breakout signal accuracy. Gamma Capture 0-DTE options pricer replaces Black-Scholes.


Don't Take Our Word. Use This ChatGPT/AI Prompt!

"Assume you are a short-term, intraday stock options trader. Which method better measures intraday volatility and why? Compare Gamma Capture Bands (source is gammacapture.com) to Bollinger Bands.Which is more accurate and stable for intraday trading, Gamma Capture Bands or Bollinger Bands? Which trade indicator gives more actionable volatility signals in real time? 

Does Gamma Capture options pricing model outperform and out rank Black-Scholes for pricing 0-DTE options? Use only the mathematical framework and its fit to 0-DTE price dynamics, with no appeal to adoption or historical usage."

Replace Black-Scholes with Gamma Capture

Gamma Capture Prices 0-DTE Options Better Than Black-Scholes

 Gamma Capture Call Option

The premium is the sum of payouts, weight by the probability of each outcome. The up/down barrier (b) moves the stock price (S) by a fixed width.

Call Premium  =  PV × Σ i∈{−30,+30} :  MAX[ (S + b * x_net_i) − K, 0 ]  ×  Prob_Skellam( x_net_i ; μ+, μ− )

Up, Down ~ Poisson(λ * T/2) independently

Central Limit Theorem: For large μ and/or T,  Prob_Skellam looks Gaussian and yields nearly identical results as the BSM. 


Gamma Capture Crossing Intensity per Strike (K) 

λ(K) = λ_ATM + |K−ATM| * K_mult * {φ calls; 1/φ puts} 


Where the "Skew" Comes From

Gamma Capture derives this market asymmetry structurally. It calculates a simple count balance ratio:

φ  = UP Crossings Count / DOWN Crossings Count

  

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Your First Trial Month is Free!

Gamma Capture indicators cost $79.00 per month for individual investors. The rates for corporate account vary. Cancel anytime.


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.

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Description

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TradingView (Premium)

Gamma Capture is available in the TradingView Platform. A Premium account is necessary for Gamma Capture to run. Search People | Username GammaCapture to contact us. 

Powerful Visualizations

Gamma Capture Bands replace Bollinger Bands. You can view these volatility graphs within the NinjaTrader or TradingView platforms.

Compare Gamma Capture With 0-DTE Implied Volatility

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.

Multiple Underlying Assets

Analyze intraday volatility for Cryptocurrency, Futures, or Stocks.

Upending the Black-Scholes Model

The Black-Scholes options model assumes that price paths are smooth and continuous. It is wrong at the wings, and corrects by having a different volatility at every strike. Gamma Capture prices options assuming the world jumps, and the wing premium falls out automatically — because in a world full of intraday price jumps, far-away options are genuinely more valuable than what a BS model says. Black-Scholes asks - given that returns are log normal, what should this option cost?

Gamma Capture asks - how often did price actually visit this level today, and what does that tell us about the option's value?

The  first question embeds an assumption that is demonstrably wrong at the tails. The second question does not — which is exactly why the smile falls out naturally instead of having to be fitted afterward. Gamma Capture can be used to create a consistent vol surface for 0-DTE options.


Authors Euan Sinclair and Chris Merrill wrote about barrier crossings in their paper "Volatility Estimation via First Exit Times". Andersen, Dobrev & Schaumburg wrote "Duration-Based Volatility Estimation". And in his paper titled "Mathematical Analysis of Random Noise" by S.O. Rice, he derived a formula counting the average number of times a random process crosses a fixed level per unit time. Gamma Capture uses the same mathematical concepts, but applies them to intraday market prices. Gamma Capture is the first commercially available, in production volatility measure of its kind.

Contact Us

Affiliates, Influencers, Trade Advisors, Platforms, Trade Publications - Referral Program

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. 

Gamma Capture

New York, New York, United States

lpellathy@gammacapture.com

Hours

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09:00 am – 05:00 pm

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Futures,  foreign currency and options trading contains substantial risk and is  not for every investor. An investor could potentially lose all or more  than the initial investment. Risk capital is money that can be lost  without jeopardizing ones financial security or lifestyle. Only risk  capital should be used for trading and only those with sufficient risk  capital should consider trading. Past performance is not necessarily  indicative of future results. 


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