Gamma Bands Calculator

SBH DIGITAL LTD

Oct 27, 2025

Why, Inputs and Outputs, Use Cases

WHY¿?: I'll reference research literature later

INPUTS:

UNDERLYING: the selector doesn't work atm

DAYS: some people like 256 others like 365, I'll put references later

SETTLE: previous day settle(not close price), from QuickVol Tool (free)

IV: previous day 25D Implied Volatility, from QuickVol Tool

Skew Adjustment, RR: 25D Risk Reversal, from QuickVol Tool

OUTPUT:

GAMMA BAND: the actual gamma band value

UPPER GAMMA: upper gamma bands levels, adjusted for RR

LOWER GAMMA: lower gamma bands levels, adjusted for RR

HOW TO USE:

1. input the upper/lower levels into a a vwap indicator with fixed ratio values to calculate the bands

2. Enjoy! :)

LINK TO CME QuickVol Tool