GammaLab is improving at a spectacular pace!
Over the last few weeks we have significantly expanded the app, closing gaps and adding a number of new charts.
Our vision is to give you the most comprehensive platform possible while keeping it clean, so you have a noise-free environment and can focus on execution. All for about the price of a Chick-fil-A meal with a shake. We think that is a pretty good deal.
Besides a new vol surface (see screenshot above), a new whale trade monitor, other chart improvements like vol skew, and an improved real-time reasoning system for our news feed (we think the best one on the internet a realistic amount of money can buy!), the Greeks menu has grown by eight views in the past two weeks, and every one of them is open to Pro subscribers:
Gamma
Gamma versus 1% move rescales gamma exposure to dollars per one percent move rather than per one dollar, which makes the number comparable across index levels and across names.
Delta
- Delta by strike plots dealer delta notional across the strike ladder.
- Delta versus spot sweeps that same exposure across hypothetical spot prices, with a frozen volatility line plus two volatility-adjusted lines, so sticky strike and sticky delta can be compared directly.
Vanna
Vanna by strike, vanna versus spot, and vanna versus vol give three angles on how dealer delta responds to a change in implied volatility.
Charm
- Charm by strike shows dealer delta decay at each strike, defaulting to contracts expiring today and quoted in dollars per hour, which is the amount that can actually be hedged before settlement.
- Charm versus time (see screenshot below) takes the same quantity and draws it across the session as one line: solid where the reading was recorded minute by minute, dashed for the rest of the day.
We will slow the cadence over the next week or two, but only a little, and then continue shipping exciting new features.
We have new surfaces and charts in the pipeline as well as new ideas for a machine-learning system. Stay tuned!
As always, we rely on your input. We want to build the platform around what you actually need day to day, so keep the feature requests coming. Shoot us a line at support@gammalab.io if you have ideas.
Here is a selection of what else has landed previously:
- The Delta Flow Monitor for SPX, which surfaces the initial delta hedges from option dealers as they happen.
- Dark pool scanner that flags DP trades in real time for select names.
- Price charts at 1-minute resolution mapped directly against gamma data.
- Constantly improving AI chat that connects the news feed and our entire database to real-time and historical price data across hundreds of single stocks, ETFs, and futures. Ask it why something moved and it has both sides of the picture.
- Real-time data quality that is a different animal from what it was, in regular hours and in pre- and post-market.
- A dashboard you fully control. Split it, rearrange it, save as many layouts as you want.
- CTA and vol control trackers with current exposure plus forward projections across scenarios.
- Context tools including a most-shorted basket, an earnings tracker/calendar, and thematic baskets.
- And much more...
Best, The GammaLab Team
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