Gamma Capture 0-DTE Analytics for intra-day traders. A new stochastic universe developed together with Lehigh University.

Created for Traders to Assess ANY 0-DTE Options Market Premium

Name: Gamma Capture
Address: New York, United States

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Gamma Capture 0-DTE Analytics for intra-day traders. A new stochastic universe developed together with Lehigh University.

Created for Traders to Assess ANY 0-DTE Options Market Premium

Get in Touch

Why Gamma Capture?

Reasons to Subscribe

Gamma Capture is proven continuously each day by vol desks around the globe. It's called gamma scalping.

- Compare Gamma Capture Theoretical Prices Vs market bid/ask to find edge or know whenever you're getting ripped off. GC provides fair value, unbiased premium calculations per strike.

- Churn tells you net barrier crossings against total barrier crossings. Is the market trending or simply treading water?

- Up Crossing Vs Down Crossing ratio shows market skew or tilt.

- Intraday volatility used for accurate Bollinger Band style breakout signals.

- Works for 0-DTE pricing without theta collapse or gamma explosion.

- Daily options trade recommendation.

- Hedging flow is a barrier count. Gamma Capture models the mechanism that generates it directly.

- Calculates options prices independently without need for an options market.

- Gives retail buyers and sellers a neutral starting price, so neither side is guessing.

- Signals when dealers and market makers lowball your sell orders or overcharge on a purchase price.

- Shows the lean in option prices not justified by by barrier crossings.

- Historical synthetic 0-DTE prices from 2002.

Price Discovery on ANY 0-DTE Option

Gamma Capture Options Pricing Model

Gamma Capture provides a mathematically superior foundation for 0-DTE options.

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 buy and sell limit orders (barrier widths) does the price need to cross to sum to an options premium? Gamma Capture is the mathematical expression for delta hedging an option. The formula measures the realized volatility that a vol trader earns by placing bids and offers (up/down barriers) into the market. Put-Call Parity and Monotonicity hold.

What is the fundamental driver of price volatility? Time or crossing buy and sell orders? Change relative to nearest neighbor or distance traveled? PDF or PMF?

Geometric Brownian Motion
Var[ log price change ] = Var⁡[Δlog⁡S] = σ² * time
Gamma Capture Motion
Var[ dollar price change ] = Var⁡[ΔS] = barrier width² * Number of crossings

Exp[ΔS] = b * (μ+ − μ−)

Geometric Brownian Motion accumulates variance continuously over time. Gamma Capture Motion, however, earns variance by crossing discrete barriers. No crossings, no variance. Time decay happens because as time passes without a crossing, the variance window narrows. The probability of reaching Out-the-Money (OTM) strikes shrinks. In traditional 0-DTE options pricing models, gamma explodes and theta crashes as expiration approaches. The Gamma Capture model turns risk into reality by counting barrier crossings.

What makes the score go up in a basketball game, the clock running or teams making baskets?

Making buckets.

The clock can run for a full quarter, and if nobody scores, the score doesn't change at all. Points only show up on the board when the ball goes through the hoop. But the clock doesn't score points. It just limits how many chances each team gets.

Geometric Brownian Motion (GBM), acts like the score creeps up a little with every tick of the clock, even when nobody takes a shot. Gamma Capture works like a real game: the score moves only when a basket is made. Gamma Capture asks how many baskets are likely before the buzzer, and how many it would take to reach a given score.

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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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.

CONTACT sales@gammacapture.com

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Gamma Capture

New York, New York, United States

sales@gammacapture.com

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09:00 am – 05:00 pm

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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Contact: sales@gammacapture.com

Created for Traders to Assess ANY 0-DTE Options Market Premium

Created for Traders to Assess ANY 0-DTE Options Market Premium

Why Gamma Capture?