The greeks

Delta (Δ), sensitivity to spot

Delta is how much the option's price changes for a $1 move in the underlying. A +0.30 delta call gains $0.30 if BTC moves up $1, loses $0.30 if BTC moves down $1.

Delta is also approximately the probability the option finishes ITM. A 25-delta call has ~25% chance of expiring ITM under standard Black-Scholes assumptions. That dual interpretation, sensitivity and probability, is why "delta" is often the first number traders look at on the chain.

Range: 0 to +1 for calls, 0 to −1 for puts. Deep ITM call = delta near 1 (acts like underlying). Deep OTM call = delta near 0 (cheap, probably expires worthless).

Gamma (Γ), sensitivity of delta to spot

Gamma is the second derivative, how fast delta changes as spot moves. Mathematically: ∂Δ/∂S. ATM options have the highest gamma; deep ITM and deep OTM both have near-zero gamma.

Gamma is what makes options non-linear. A high-gamma position accelerates with the move: as price rallies, your delta grows, which means your next $1 of move is worth more than the last. Conversely, high-gamma short positions (short options) blow up faster as the move continues.

Gamma drives the GEX framework on BackQuant. Aggregated across the chain, it tells you what dealer hedging looks like as price moves. See the GEX summary doc for the short version; the full GEX section (coming) for the long.

Theta (Θ), time decay

Theta is how much the option loses per day from the passage of time alone, holding everything else constant. Always negative for the buyer, positive for the seller. A theta of −$8 means the option will be worth ~$8 less tomorrow if nothing else changes.

Theta accelerates as expiry approaches. A 90-DTE option bleeds slowly; a 5-DTE option bleeds fast; a 0DTE option bleeds in real time.

Vega (𝒱), sensitivity to implied vol

Vega is how much the option price changes per 1 percentage point change in implied volatility. A vega of $14 means the option gains $14 if IV rises from 50% to 51%, loses $14 if it falls from 50% to 49%.

Far-dated options have the highest vega; near-expiry options have very little vega. That's why event-driven plays (FOMC, CPI) are usually structured with longer-dated options, the IV move on the event has more dollar impact.

Higher-order greeks

The pro terminal exposes a handful of higher-order greeks via the GREEK verb. Most traders won't touch them day-to-day, but two are worth knowing:

• Vanna, ∂Δ/∂σ. How delta changes when IV changes. Drives skew-related dealer flow: when IV moves, vanna positions force dealers to adjust their delta hedge, which moves spot. The mechanism behind "vol-driven squeeze" setups.
• Charm, ∂Δ/∂t. How delta changes as time passes. Charm is the time-decay flow on dealer hedges; it's the reason expiry-day price action accelerates into the close, even without spot moving. Charm is one of two greeks the Trace panel projects forward (gamma is the other), see the GEX section for that read.

Beyond vanna and charm: speed (∂Γ/∂S), vomma (∂𝒱/∂σ), zomma, color. All are accessible via the same GREEK panel; each maps to a specific exotic dealer-flow pattern. Most traders won't need them; quants and structurers will.

The greek term structure

The GREEKTS panel aggregates total Δ, Γ, 𝒱, Θ (weighted by OI) across each expiry, plotted as a curve along DTE. Surfaces where positioning is concentrated along the term axis: heavy front-end gamma vs heavy back-end vega, etc. Useful for reading whether the chain is tilted toward short-term or structural flow.