About Us
Creator of Gamma Capture
The popularity of the 0-DTE options has shrunk the trading time scale from days to minutes. We created Gamma Capture to address the need for a smaller time scale measurement of intra-day volatility.
Lou Pellathy
M.B.A Data Analytics, Ohio University.
Mathematics and Economics, Washington & Jefferson College.
Casey Hackett & Caleb Johnson
MFE, Lehigh University.
References:
E. Sinclair & C. Merrill, "Volatility Estimation via First Exit Times," https://ssrn.com/abstract=3904792
T. G. Andersen, D. Dobrev & E. Schaumburg, “Duration-based Volatility Estimation,” https://ideas.repec.org/p/hst/ghsdps/gd08-034.html