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. You can reach me at lpellathy@gammacapture.com.
Louis Pellathy
The 0-DTE options bug bit me a few years ago. However, intraday volatility was difficult to measure. There was no good way to see if vol was high or low throughout the day. Gamma Capture was born out of the need track intraday volatility and to improve trading results on 0-DTE options.
Over many months and of refinement, I became an experienced options trader specializing in high-probability income generation mainly through debit spreads and iron condors.
I worked in New York City as an energy broker and data analyst for many years. My favorite activities included walking my dogs in Central Park or riding my bike along Riverside Park. My hobbies include programming and writing fiction novels.
M.B.A Data Analytics, Ohio University.
Mathematics and Economics, Washington & Jefferson College.
Lehigh University Team Project
Email: business@lehigh.edu
Phone: (610) 758-4450
- Professor Zoro. Manager of the Master in Financial Engineering Program.
- Casey Hackett. MFE 2026.
- Caleb Johnson. MFE 2026.
- Prakhar Singh. MFE 2027.
- Ashutosh Talekar. MFE 2027.
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