Gamma Model | SpotGamma

The Gamma Model reflects the rate of change for Gamma per each of the six indices and ETFs. The x-axis reflects the underlying asset price and the y-axis reflects the notional value of Gamma for the selected Index or ETF. You can also click on the last two days to see how the Gamma is changing by clicking the button in the upper right.

On the chart, the current value is represented by teal and the next expiration value in gray. You want to see how Gamma will shift due around different events such as options expiration. Calls drive positive gamma positions while puts drive negative gamma positions. In areas where the lines have the highest slope, and are the most vertical, the rate of change for Gamma is very high, and we expect to see the largest amount of volatility or price movement. Conversely, for the areas with flatter slopes, we expect to see less volatility.

The Gamma model helps you see how Gamma is reflected relative to different prices. Also, it’s helpful to pair this chart with the above histogram charts displaying absolute gamma.

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At SpotGamma, our mission is to empower traders to make confident decisions by pairing precise data with clear insights. We do this by monitoring the options market and publishing actionable metrics for traders and investors at all levels.

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*Note: This presentation is intended for general information and entertainment purposes only. No mention of company names, trading strategies or illustrative examples constitute investment advice. SpotGamma advises you to seek investment advice from a licensed professional.

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Futures and forex trading contains substantial risk and is not for every investor. An investor could potentially lose all or more than the initial investment. Risk capital is money that can be lost without jeopardizing ones’ financial security or life style. Only risk capital should be used for trading and only those with sufficient risk capital should consider trading. Past performance is not necessarily indicative of future results.

Hypothetical performance results have many inherent limitations, some of which are described below. No representation is being made that any account will or is likely to achieve profits or losses similar to those shown; in fact, there are frequently sharp differences between hypothetical performance results and the actual results subsequently achieved by any particular trading program. One of the limitations of hypothetical performance results is that they are generally prepared with the benefit of hindsight. In addition, hypothetical trading does not involve financial risk, and no hypothetical trading record can completely account for the impact of financial risk of actual trading. for example, the ability to withstand losses or to adhere to a particular trading program in spite of trading losses are material points which can also adversely affect actual trading results. There are numerous other factors related to the markets in general or to the implementation of any specific trading program which cannot be fully accounted for in the preparation of hypothetical performance results and all which can adversely affect trading results.