By Frederik on September 29, 2021 in Custom SC studies

Gamma Bands provide accurate areas of support and resistance. The Gamma Band calculation is based on the Implied Volatility of a futures instrument and was first introduced some time ago by the guys from Macrohedged.

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With the Gamma Band CSV Study you can provide your own simple csv file as input and get automated gamma band calculations right on your chart. This study simplifies the calculation process significantly. All you need is to collect two data values for each day, store them in a csv file and your gamma bands are available.

What is a CSV file? 🤷‍♂️

A CSV file is a simple text file where each line is representing different fields that are separated by a "comma" hence the Comma Separated Values (CSV) name.

What does a line inside the CSV file look like? 🧐

The Gamma Band CSV Study will process the CSV file as one date per line. An example  of a few lines of a CSV file:

#Date,IV,Skew
28/09/2021,18.9,-10.2
27/09/2021,17.8,-9.8

A new line with a newer date needs to always be added on top of the previous lines. Each line needs to consist of three columns. A date column, an Implied Volatility (IV) Column and a Skew (Risk Reversal) column.

For every instrument you trade you can construct your own csv file and maintain this on a daily basis. You can use the below tools to construct your own csv file. There might be other data sources available, let me know if you know of any other useful resources so I can list them here.

I made a quick 9-minute video to go through the csv file construction, using public available information for the IV and Skew values and also using the Gamma Band CSV Study inside Sierra Chart. Click the button below the video to get a trial to this Sierra Chart Study.👇👇👇

About the author

Frederik creates #SOLID automated trading strategies and indicators for the Sierra Chart trading platform, helping serious traders worldwide with consistent trading performance.


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