Gamma Blasts

Unmasking the "Gamma Blasts" (0DTE's Silent Killer)

Ever felt like the market suddenly went wild, wiping out your options trade in minutes? You're not alone! Welcome to the world of "Gamma Blasts," a sudden, massive market movement that can turn 0-DTE (zero-days-to-expiry) options into a rollercoaster – and often, an option seller's nightmare.

I usually play it safe, aiming for steady, consistent returns. But even I can't resist the thrill of short-term expiries. That's where gamma, the unsung hero (or villain!) of options, comes into play. It's the force that amplifies price movements, turning a small market twitch into a 10x or even 20x jump in option prices.

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The Mystery of the Sudden Spike

Imagine this: the market's chugging along, and then BAM! A sudden, massive swing of 150-200 points. For option sellers, this can be devastating. But what if these aren't random events? What if they're calculated moves by "big players" to rake in massive profits?

I believe these spikes are engineered. Think about it: big players buy or sell huge amounts in the cash market, creating a sudden, temporary market shift, especially on expiry day. Their secret weapon? Loading up on "near the money" (ATM) and "slightly out of the money" (OTM) options just before the blast – sometimes as little as 30 minutes before!

Catching the Wave: The Open Interest Clue

My hunch led me to examine "Open Interest" (OI) – the total number of outstanding options contracts. And guess what? Before these sudden market explosions, I noticed a massive surge in OI for ATM and slightly OTM options, sometimes jumping 30% to a whopping 100%!

This was my "aha!" moment. What if we could use this spike in OI as an early warning system?

Enter Google Jules: My AI Co-Pilot

To turn this idea into a reality, I challenged Google Jules, my coding AI, to build a tool that could track these crucial OI changes. I wanted a live table, updating every minute, showing the percentage change in OI for ATM and surrounding strikes (2 strikes in-the-money and 2 strikes out-of-the-money, for both calls and puts).

My instructions to Jules were precise:

Hi Jules, today I am going to test you if you are of any use or not. I am looking at building a code in this repository which does a specific thing.

I want to track the change in OI for ATM and 2 slightly ITM and 2 slightly OTM options both call and put.

I want to create a live table in python which updates every minute. Here are the specific points I want in the code -

2 tables to be created one for Put options and 1 for Call
    1. Each table will have 5 rows and 3 columns
    2. Each row is a strike price which is ATM -2, ATM -1, ATM, ATM +1, ATM +2 strikes
    3. The columns will be 10 mins, 15 mins, 30 mins
    4. Each cell will show the difference in the OI for that particular time and strike price.
    5. You can fetch the OI using historical_data api in kite connect.

You can get the details of the API from this documentation - https://kite.trade/docs/pykiteconnect/v4/

Jules delivered a fantastic, working code! But I pushed further, adding more layers to refine the alert system:

I want to do 2 more things -

1. Instead of the change in OI I want you to show the change in OI as a % of initial OI.

2. I want to color code the cells. If the change in OI is > 10% in 10 mins, 15% in 15 mins and 25% in 30 mins then the color of the cell is to be updated to Red.

3. Add alert sound if more than 50% of the cells are color coded. 

Here is the final version of the code I have been testing -

The code is still being tested for exact numbers and alert system to configure it properly. Generally if the market movement is normal but OI change is abnormal (huge increase in OI in short span) it does indicate something big is coming. Will keep on posting testing results on this X thread.

The "Gamma Blast" Detector is Born!

The result? A powerful tool that generates two dynamic tables. When you see a sudden surge in OI velocity across multiple strikes – especially if those cells start flashing red – it's a strong signal. It suggests big players are accumulating options in massive quantities, hinting that a market push could be just 30-45 minutes away.

This isn't about predicting the exact direction every time, but it's about getting ahead of the curve. It's about empowering option sellers (and buyers!) with an early warning system to navigate the treacherous, yet exciting, world of 0DTE "Gamma Blasts."

Incase you have any queries or comments, please do share it here or on my X profile. And don’t forget to share it with your friends.

Stay alert, stay informed, and happy trading!

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