Gamma Capture: The New Intraday Bollinger Bands

If you’ve ever watched Bollinger Bands expand on a sharp move, then snap back just as fast, you’ve felt the limits of a standard deviation–based view of volatility. Louis Pellathy introduced Gamma Capture as an alternative designed for intraday decision-making—especially around zero-day-to-expiration (0DTE) options and short-term futures trades. The idea is simple: Measure realized volatility by counting barrier crossings, not by squaring returns.

 

Why standard deviation struggles intraday

 

Bollinger Bands are anchored to the standard deviation of log returns. That textbook approach assumes normally distributed returns and is highly sensitive to outliers. On modern, tick- or second-level data, a few outsized moves can inflate the standard deviation, forcing bands to widen abruptly and then contract just as quickly as those observations roll off. That can lead to whipsawing visual cues and fewer actionable signals for traders who need steady, intraday context.

 

How Gamma Capture works

 

Gamma Capture reframes realized volatility as “how often price actually trades through you.” Choose an up/down barrier width (e.g., ±0.25%). As the price crosses either barrier, you count a crossing, reset the barriers around the new price, and keep tally over a fixed lookback window of 60 minutes.

Because the measure is based on counts, not squared returns, it’s far less destabilized by single jumps. Outliers contribute to the count, but they don’t significantly inflate the statistic. The result, when visualized as Gamma Capture bands, can help highlight meaningful price breakouts during the trading day.

 

From bands to trade context

 

Pellathy highlighted two use cases:

• Intraday bands for structure: Compared to Bollinger Bands that may balloon on a single spike, Gamma Capture bands tend to remain more stable. When price pushes through a band, traders can consider that context for potential entries or exits, while avoiding the “now you see it, now you don’t” widening and snapping effect that can cloud judgment.
• Straddle break-even lines for daily moves: By annualizing the Gamma Capture volatility and feeding it into an options model, you can approximate at-the-money straddle values at various times of day. Mapping those straddle break-even levels as lines adds a complementary read on whether the session’s range is “earning” the premium or signaling a potential breakout beyond it. As time decays, those bands tighten, offering evolving context for intraday bias.

 

Built for today’s flow—and tomorrow’s questions

 

Gamma Capture was developed with zero-day S&P 500 options in mind, but Pellathy notes it can be applied across asset classes and time resolutions (ticks or seconds). The team is also exploring intraday term structure (e.g., 60-, 120-, 180-, 240-minute lookbacks) and a bid/ask view of realized volatility. While no indicator is perfect, reframing volatility as barrier-crossing frequency can help you manage orders more deliberately—tightening or loosening placement as the tape speeds up or slows down—without overreacting to one-off jumps.

 

Where to try it

 

Gamma Capture visualizations are being built for popular platforms, including NinjaTrader. If you’re active intraday, whether you trade futures, ETFs, or options, this approach can help you add a pragmatic volatility layer to your playbook.

How to Add 3rd Party App to NinjaTrader

To import your 3rd party app or add-on to NinjaTrader, simply follow these 3 steps: