Gamma Capture – The new Intraday Bollinger Bands
Date: October 02, 2025
Time: 4:30 pm ET
Presenter: Louis Pellathy
Company: Gamma Capture
Join Louis Pellathy from Gamma Capture for a look at new methods for measuring intraday volatility. Gamma Capture introduces an intraday volatility calculation designed to provide clearer insight into market behavior. The indicators can be used as volatility bands, ATM straddle breakeven levels, and as a monitor against the 30-day close-to-close historical volatility.
In this session, the following topics will be covered:
- Explore Gamma Capture volatility bands (similar to Bollinger Bands)
- Review Gamma Capture ATM straddle breakeven levels
- Monitor Gamma Capture volatility against 30-day historical data
About Louis Pellathy
Louis Pellathy is a commodity broker with a background in mathematics and data analytics. He has developed trading models for several leading Interdealer brokers and previously operated his own options brokerage firm, Parity Energy, which focused on energy options.