Gamma Optimizer provides analysis of options trading opportunities in the S&P 500, metals & stocks, hosted by Leo Valencia, featuring his proprietary Gamma Optimizer tool for identifying the optimal strike & expiration in an options chain.

"Leov," as he is known in the Trading Room, hosts the Gamma Optimizer service at EWT, where he provides options education and trade set-ups, as well as access to his proprietary Gamma Optimizer tool. The tool helps traders pick the option strike and expiration that maximize returns for a particular move in the underlying.

Leov has also developed what he calls the Deep Learning Algorithm, which, trained with historical SPX data, seeks to predict 1% upside moves in the SPX within a 5-session period. This algorithm is among the tools Leov provides in guiding members of Gamma Optimizer with options trading strategies and set-ups for minimizing risk and maximizing returns.

With a PhD in physics from Stanford University, Leov is an electrical engineer with more than 20 years of experience in research and development projects. He was a member of the technical staff at Bell Labs Lucent Technologies in the RF and Analog Simulation department, and also a senior member of Consulting Staff at Cadence Design systems for more than 15 years working on analog and digital simulation software projects.

Leo also has developed an **options education video series exclusive to members of his Gamma Optimizer service**, plus a premium set of online Options Courses for all levels of options trading.

Folks, I plan to do a live video for the convolutional nets at 3:15 PM today EST (UTC-5), it will be recorded and that will be the official tutorial going forward. Here is the YouTube link for it:
https://www.youtube.

When joining the service new users can feel overwhelmed by the particular lingo that is spoken in all of our posts. Though the terms might sound strange or too advanced most of the time the concepts are very simple to understand.

Now for the month of February we still have several more sessions to go even though the month ends tomorrow we need to wait more than 1 week to finish evaluating how did it go for it (so we can see if the predictions this week work next week or not).

Because I know it can be confusing it is good from time to time to explain the differences between realized volatility and implied volatility.

After a healthy correction of 10% from the top the question in everyone’s mind is the following:
At what level will VIX reset ? In other words, after years of low VIX values what would be the new normal level? 12 ? 15? 20 ? Of course it is hard to come up w

For the past several sessions I have been harping consistently about liquidity in the markets.

By now you folks must know that I post a detailed view of the term structure of SPX options during the day, also you can get the a realtime curve by using the GammaCentral tool.

Those of you with good eyes have noticed that ES futures trade sometimes at a discount to SPX and other times they seem to trade at a premium.

I can't find any material about this subject even though I'm sure I have posted about this before :) the gist of the long gamma/short gamma threshold that I publish is this:
1. Below the threshold, SPX option dealers are short gamma in the aggregate.

For those of you curious about the 1997 thing, back in Jan30 I posted this: https://www.elliottwavetrader.

Ubah has done a very interesting analysis for the NDLA that he shared on this thread: https://www.elliottwavetrader.net/members/atchat/?threadId=4548681 in case some of you are interested on looking at the numbers.

This has been requested so I'm putting it here for those of you that want to play with the performance of the new DLA algo with data since 2017 until Jan 24 2018. Here is the link for the .csv file: https://storage.googleapis.

During the early days of 2018 we have seen a consistent and huge move upwards in price in the SPX index, it has been a relentless move that is pushing the index to all time highs on a daily basis for almost all of the sessions in January so far.

I know some folks here are interesting on coding their own Ambiguity and Probability of Negative returns heuristics (which is an step towards coding their own DLA's :).

This post is for Pegasus, he has requested information about how to compute weights based on assumptions of a normally distributed factor.

Remember folks you can access some webapps that can be useful to you.
Positions app: https://gamma-trader.shinyapps.io/positions/
Momentum center: https://gamma-trader.shinyapps.io/center/
Gamma Central: https://gamma-trader.shinyapps.

Implied volatility in SPX is finally coming down a lot and option prices are starting to become decent again. However the next time we are in a similar situation of high IV and expensive options and we want to play upside we can use a binary risk reversal.

Making use of the holiday this is a good time to re-post my thoughts about option "strategies" in particular those that seek to generate "income" in a regular basic, like weekly time frames.

Folks Tom has kindly provided me with the link to my latest Gamma webinar (the one on Wednesday) so for those of you that were not able to attend here is the link: https://www.elliottwavetrader.net/videos/Optimizing-Your-Options-Trades-201805104816.

With the close today the DLA is batting 3 trade jackpots in a row (max gain trades) with gain per trade north of 700%.

For those of you new to the site we have a mini-Web app that tracks our current open positions: https://gamma-trader.shinyapps.io/positions/
Right now we only have two positions on.

I don't have a single source of information for the DLA as it is just a deep neural net that I trained last year and I have been sharing periodically with you folks. So here is a collection of links to whatever I have written about it:
https://www.

The control chart from the momentum center: https://gamma-trader.shinyapps.io/center/ displays a lot of useful statistical information. Things like Skew, Kurtosis, Mean, Standard Deviation, Realized Volatility.

Given that the DLA seems to be the hot item "du jour" I'm getting many questions about the correct ways to interpret the probabilities displayed on the table.

I got a very good question over the weekend about the Ambiguity indicator and the Deep Learning Algorithm (henceforth known as DLA) and I think it deserves to be answered in a wider space as it could be helpful to a lot of you folks to understand the differenc

The power of long gamma expressed with binary options :) Remember that a tight vertical spread is basically a binary option, and also remember that a binary option is basically a pure gamma bet (not delta). So in this case our SPX uber-lotto: https://www.

Here is the link for the Hedging video in YouTube: https://youtu.be/WKxNHaKGVbI, we can use this thread for Q&A

I just completed the material for the Hedging Class and it certainly looks like it will be a very long video, so I wonder if you folks want me to just go ahead and record it or if you want a live class format where you can also asks questions (as usual the rec

The hedging class is starting to look like a full College course ! I think I'm breaking my record here in terms of class duration, we'll see if YouTube allows me to upload it :)

Here is the link to the recorded video for the class: https://youtu.be/rPCkI9p1Db4

Simple Practices for Maximizing Gains in Vertical Spreads - Jan 29, 2020

Leo covers why the Gamma Optimizer service makes extensive use of spreads instead of single options.
He shares the most common mistakes that options traders make when trading spreads and how to eliminate them
and maximize gains through a set of simple best practices.

Optimizing Your Options Trades - May 10, 2018

Leo has developed an options education video series in his Gamma Optimizer service. The 6-part series, ranging from an introduction to options to advanced options trading strategies, is currently only available to GO members, and archived in the service's video section. The series covers:

1) Introduction to Options: Basic concepts and tips.

2) Options Pricing: Pricing options in a risk-neutral world, plus Binomial model introduction.

3) Talking Greek: Advanced options pricing, Black Scholes Merton Model, volatility and greeks.

4) The Power of Gamma: Time decay, Gamma and Vega in detail.

Class 5 and 6 to follow.

Leo has also developed a premium set of online courses for all levels of options trading. Whether you're just getting started in the options world or wish to master sophisticated strategies, these courses will make a savvy and skilled options trader. Learn more and get discount code to save more than 50%.

When joining the service new users can feel overwhelmed by the particular lingo that is spoken in all of our posts. Though the terms might sound strange or too advanced, most of the time the concepts are very simple to understand. In order to help everyone new to the service, here is a list of very common terms used in the room and also links to YouTube videos and site posts labeled "Education," to where I explain them at length.

**Ambiguity:** I post a chart about a statistical quantity called Ambiguity, which is a close
cousin of VIX (it was created by one of the co-inventors of VIX). It measures the Knightian uncertainty
in the market. The concept is pretty advanced, but the way I use the chart is simple: We look for low
ambiguity to start a leg up, and for very high ambiguity when expecting downside action.

**Binary Options:** In the room I talk frequently about binary options, in particular the 1%
upside binary call. A binary option always pays 100 if it finishes in the money, or 0 otherwise. Because
of this it is a very simple way to play certain scenarios because it allows to compute in advance both
expected profit and losses. For a more detailed discussion please check this video

**Complex Trades - Butterflies, Calendars, Risk Reversals, Vertical Spreads:** These are a
set of trades that can be done with options and are called in general Complex Trades. The reason is that
the trade requires the simultaneous execution of multiple “legs” where we are buying and selling options
with different strikes and or/expirations at the same time. See video for more information:

**Convolutional Nets:** These are neural networks trained with SPX historical data that seek
to predict moves in a 5-trading session period. One of the networks, called **Ultra-4**,
looks for 1% up-moves in the market. A second, called **Zero-I**, provides the most basic
prediction (market up, or market down). The third, called **Neg-I**, predicts -0.5% market
declines. Unlike Leo's original NDLA algorithm, Convolutional Nets can be used to play both positive and
negative signals.
See video.

**DLA and NDLA:** This is a deep learning algorithm trained with SPX historical data that
seeks to predict 1% upside moves in SPX within a 5 trading session period. The DLA was the original implementation
and in 2018 we replaced it with the “New” DLA or NDLA.

**Gamma:** This is probably one of the most frequent words you’ll see in the room, it will
be accompanied by a qualifier most of the time: long gamma or short gamma. Gamma is a mathematical parameter
that describes the amount of non-linearity of an option. For a more in-depth presentation on this please check
my YouTube video

**The Gamma Central tool** provides a nice snapshot of the current realized and implied volatility
status for any underlying. The tool provides functionality through tabs, and what follows is a brief description
of what each tab does. For more in-depth information about the tool, please check the following YouTube video

**Gamma Optimizer or GO:** This is a reference to our Long Gamma Optimizer tool, which is a
tool we use to compute the best options to play a particular thesis. For a tutorial of the tool please check this video.

**GT / Gamma Threshold Level:** The level at which most options dealers are neutral in the
aggregate (i.e., they don't need to hedge). Above that level, dealers are long gamma, with their hedging
activity tending to slow down big market moves, producing lower volatility. Conversely, when below the
GT level dealers are short gamma and their hedging activity amplifies or accelerates moves, creating more
market volatility.

**Kurtosis:** In the momentum chart we have the control chart that displays a value called
Kurtosis. This is a basic statistical number that tells us a lot about the nature of the distribution of
intraday log returns. When kurtosis is 3.0 the distribution is normal (also called Gaussian) and means that
most of the action is perfectly random fluctuations of price.

**Log Returns:** In finance returns are usually measured as log returns. This is a simple concept and
it is defined as: Log Return = log (close/ prev close) where log() is the natural logarithm function.

**SPX Term Structure:** This is a chart that I publish frequently in the room and represents
the Implied Volatility of options across different expiration dates. It gives you an idea of how expensive
options are based on how close to expire they are. The X axis of the chart is time in days, and the Y axis
is implied volatility in percentage. For a more detailed explanation of this concept please check the
Gamma Central tutorial.

**Standard Deviation:** This is a statistical term that is very important to options. It is
defined as the square root of the variance (so if you know variance you know standard deviation). This is
explained in more detail in the volatility videos (see "Volatility").

**Variance:** This is another statistical term, and it it corresponds to the classic variance
of population distributions. It is a very important concept for options and it is explained in more detail
in the Volatility videos (see Volatility).

**VIX:** Another term that you will see a lot in the room is VIX. This is an index created by
the CBOE that measures the 30-day implied variance in the market using only SPX option prices. It is a very
useful measure, and although it can be traded directly there are lots of products connected to it, like VIX
futures, or volatility ETP’s like VXX and SVWY. For more information about VIX check the CBOE website and
also this video.

**Volatility:** This is a very frequent word in the GO room and it is a key concept for option
trading, in finance volatility is basically the standard deviation of log returns, scaled to an annual value
and also printed as a percentage (10%, 20% etc). It comes in several flavors most notably Realized Volatility
and Implied Volatility. See video here.

**Volatility or Momentum Center:** This is a helper application with multiple charts updating
real time, most of them designed to track momentum in any underlying.
See video.

**VRP:** Another term that appears very frequently is VRP or Variance Risk Premium. In its most
basic form the VRP is an added premium between "implied volatility" and realized volatility. In general,
implied volatility trades above realized volatility (it trades at a premium called the VRP). For more
information please see video.

• Gold, Silver, Oil & US Dollar Reports

• Stocks, Options, Cryptocurrencies & more

• Live Coaching & Webinars

CREATE A NEW ACCOUNT

No Credit Card Required

No Credit Card Required

Previous or current members login here.

The relief of EWT philosophy on investing has been such a gift (besides being extremely profitable) that I have to say this is the most enjoyable service offered anywhere on the internet and probably the best investment I have ever made. Thanks Avi."Talapus" - Trading Room2020-01-27

I consider my EWT subscription one of the best and smartest decisions of my investing career."joneil" - Trading Room2019-06-28

I will say this about this site and the crew in general: It is one of the most cohesive, cooperative and harmonious "work" groups I have ever experienced. Everyone's dedication is exemplary, above and beyond the call of duty. The leadership is outstanding. All the trading and money making aside, it is a true pleasure to be here. I haven't even talked about the quality of the analysis. That, I think speaks for itself. OUTSTANDING!"Nanook" - Trading Room2018-11-08

I became interested in cryptocurrency trading at the beginning of the year, but knew very little about it. I found the cryptocurrency service extremely helpful. I was able to watch videos where Ryan explained the basics and potential problems you could run into. He, and other members, also answered my questions when I was confused about how to get started... The proof is in the pudding. Over the past few months, my son and I have each made 40% on our investments. Even with a small investment, our earnings have more than covered the cost of the service."Rocker-2" - Email2019-05-20

What's incredible is that not only are the analyst's here supremely insightful, collectively presenting multiple scenarios and interpretations, but some of the members too contribute with high quality analysis and charts. Quite special...putting it kind of mildly :-)! Keep up the good work, Avi and team."findependence" - Trading Room2019-05-23

EW + Avi and team=$$$"Kwker" - Trading Room2019-08-05

In following Avi and his team's analysis and checking it with my own charts, the last month has gone from intellectual challenge to honestly life-changing. While my contemporaries, with whom I speak with regularly, are bemoaning their account balances, mine is up - significantly! That's because of you, Avi and everyone else at EWT."Oldbarn98" - Email2020-03-26

I remember distinctly reading an article in 2011 by some kook who had the audacity to call the top in PM when they were obviously going nowhere but up. I dismissed him for the exact same reasons people dismiss him now and went on to suffer catastrophic losses over the next couple of years. Yesterdays highs of both GLD and GDX tapped Avi’s resistance zones nearly to the penny and have since turned down. And the guy gets criticized for being right. If you want to feel better about being wrong, stick to perma-pumpers like Adam Hamilton. If you’re interested in actual price action and calls that actually get updated as conditions change, this is the place to be."Destin" - SeekingAlpha2018-10-12

In the course of the last 20 years I subscribed to all manner of 'expert' services . . .This forum is at another level. There is nothing like it that I know of."Green" - Trading Room2019-05-22

I’ve been here a while and watched the membership grow. What has been maintained is a sense of community allowing for the open sharing of ideas in a respectful manner. This is not only a site with great analysts providing their services and guidance and those behind the curtains updating and making it all run smoothly but also a very knowledgeable membership willing to share and teach. Hats off to all that make this site a wonderful destination."IMOK" - Trading Room2019-05-22

Performance News Offers Contact Us Getting Started Education Events Terms Privacy Copyright Analysts Testimonials What's New

Copyright © 2011-2020 ElliottWaveTrader, LLC, All rights reserved. Any publication, distribution, retransmission or reproduction of information or data contained on this Web site without written consent from ElliottWaveTrader LLC is prohibited. By accessing or using our Site in any manner or by enrolling to participate in a webinar sponsored or presented by ElliottWaveTrader or to become a member of ElliottWaveTrader, you agree to our terms and privacy policy.