Gamma Scalping
Realized Volatility
Intraday Realized Volatility for 0DTE Options
Gamma Scalping Realized Volatility by Tick Analytics
is a calculation of realized Volatility (rVol) that provides actionable insights into the pricing of zero-day-to-expiration (0DTE) options, enabling better trading decisions by taking into account realized volatility in addition to all available market factors.
Gamma Scalping Volatility may be thought of as the historical fair value of the option to the market maker, who has much lower transaction costs than retail traders and is therefore able to dynamically hedge a large book of 0DTE options; this information is not readily available to traders with only implied volatility or other lesser measures.
Gamma Scalping Realized Volatility is currently available as a NinjaTrader Indicator showing live trailing 30 minute and 60 minute windows displaying the volatilities realized for hedging positions with long gamma (limit orders) and short gamma (stop loss orders): essentially the bid/ask for rVol. Sign up for NinjaTrader here (via a compensated affiliate program). Purchase the Gamma Scalping Volatility NinjaTrader indicator here.
Custom Software Development
The realized Volatility of any security can be precisely defined and measured, using our methods, either using live bid/ask from a feed or better, using the actual trades generated by a market making book or hedging transactions executed by your firm.
Consulting Quantitative Analysis: We can transfer the knowledge of the technique into your firm on a consulting basis, directing your programming and quantitative team on implementing these ideas.
Consulting Quantitative Programming: We can transfer the knowledge of the technique into your firm on a consulting basis, directing a programming team that we hire and manage for you.
The realized Volatility of any security can be precisely defined and measured, using our methods, either using live bid/ask from a feed or better, using the actual trades generated by a market making book or hedging transactions executed by your firm. Contact us to discuss consultancy.
About Tick Analytics
We are a team of senior quants and engineers with decades of experience designing, building and managing front-office derivatives analytics for large, multi-strategy hedge funds.
We are offering Gamma Scalping Volatility to Retail and to Institutional traders to help with the difficult task of trading and managing 0DTE options as ever-shorter dated options play an only-increasing role in modern markets. Visit us at www.tick-analytics.com
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Gamma Scalping Realized Volatility Indicator is a software tool for informational purposes only, it does not provide investment advice or trading recommendations.
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