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 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 of delta hedging a gamma neutral book.
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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