Gamma Capture is a quantitative finance company that has developed a next-generation options pricing framework specifically designed for Zero Days to Expiry (0-DTE) options. Rather than patching the structurally flawed Black-Scholes model, Gamma Capture replaces Geometric Brownian Motion with discrete barrier crossings and a Skellam terminal distribution, natively producing fat tails, realistic OTM probabilities, and a structural vol surface without any implied volatility fitting. The company's pricing engine is live on NinjaTrader and TradingView, serving options desks with real-time intraday volatility metrics, daily ATM 0-DTE straddle recommendations, and delta hedging signals. Gamma Capture is targeting institutional vol desks, hedge funds, and a SaaS distribution model, with planned expansion into crypto, gold, energy, and currencies.
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Louis Pellathy
founder
Black-Scholes assumes continuous Gaussian price diffusion, causing its terminal distribution to collapse to a point as expiration approaches zero — making it structurally broken for 0-DTE options. The implied volatility smile is a manual patch on top of the model, requiring constant refitting at every strike and expiry rather than emerging organically from market microstructure.
Gamma Capture replaces GBM with discrete Poisson barrier crossings and a Skellam terminal distribution, which retains fat tails and genuine OTM option value at any intraday time horizon. A single structural parameter φ (the ratio of up-crossings to down-crossings) replaces the entire implied vol smile calibration machinery, and the vol surface is produced directly from observable market data.
The product is live on NinjaTrader (as a registered vendor) and TradingView, with revenue reported as live. Model calibration on 2025 SPY minute data achieved a mean error of -$0.02 and mean absolute error of $1.87. Academic collaboration with Lehigh University's MFE program is underway, with peer review and publications being sought.
NinjaTrader Ecosystem
Explore Gamma Capture volatility bands (similar to Bollinger Bands) and Review Gamma Capture ATM straddle breakeven levels. Learn more
Replacing Black Scholes is not as easy as it sounds! We need model validation, back testing and trading results to be taken seriously.
Need to professionally code and automate the model across multiple asset classes.