This is a standard net gamma curve, using basic assumptions that options liquidity providers are short put options and long calls.
For improved forecasting power, SpotGamma subscribers have access to the SpotGamma Implied Volatility (SIV) Index, a new and improved method to forecast market volatility, which you can learn more about here.
Standard Gamma Curve as Volatility Estimate
Standard Gamma curves are rather ubiquitous online today, as they are all based off of a set of simple assumptions intended to describe how dealers are positioned in the market. Several sites offer this “Naive Gamma Curve” for free or describe how to calculate it yourself.
At SpotGamma, we know this simple chart isn’t that useful on its own. So if you hear anybody else saying that a simple Gamma chart, alone, delivers actionable trade utility – think again. There are more calculations and data needed, in addition to this curve to determine the makings of a good trade, so instead of hiding the information found on this chart, or even providing the methodology for producing this chart, we’re giving it away for free.
For improved forecasting power, SpotGamma subscribers have access to the SpotGamma Implied Volatility (SIV) Index, a new and improved method to forecast market volatility, derived from studies into the interaction between measurements of S&P 500 Gamma and movement in the S&P 500.
For more efficient market forecasts, improved volatility estimates, and highly-actionable trading intelligence, subscribe now.