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.
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.
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.
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