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How Do We Do It?

The Gamma Optimizer tool was developed by Leonardo Valencia (known as "Leov" in our Trading Room), an electrical engineer formerly with Bell Labs and Cadence Design who holds a PhD in physics from Stanford. One of the products of Leov's 24 years of research on price variance patterns in index options, the Optimizer scans the range of options chain strikes and expirations to identify the contracts with the optimal returns.