BackQuant Glossary
Plain-English definitions of every term that matters in options, derivatives, and order flow. Each term has its own page for deeper reading and easy sharing - or use the anchor links below to jump within this index.
Zero days to expiration. An option that expires the same trading day. 0DTE options have the highest gamma per unit of time, so dealer hedging flows on 0DTE positions can move spot violently in the final hours before settlement. Common on Deribit weeklies and on equity index options.
Read definition page →The side of a trade that crosses the spread to execute, removing liquidity from the book. A market buy that lifts the offer is an aggressive buy. CVD measures aggressors over time and is the cleanest tape-side read of who is in control.
Read definition page →An option whose strike price equals or sits very close to the current spot price. ATM options have the highest gamma and vega and are the most sensitive to short-term price moves. Most volatility metrics, including DVOL, anchor on ATM IV.
Read definition page →A market structure in which near-dated contracts trade at higher prices (or higher implied volatilities) than longer-dated contracts. In futures, backwardation often signals near-term scarcity. In options IV term structure, backwardation signals an imminent catalyst or active stress in the market.
Read definition page →The difference between a futures or perpetual price and the underlying spot price. Positive basis means futures trade at a premium to spot; negative basis (sometimes called inverse basis) signals near-term selling pressure or fear. Cross-venue basis arbitrage is a core strategy in crypto market making.
Read definition page →The gap between the highest current buy order (bid) and the lowest current sell order (ask) on an order book. Tight spreads indicate deep liquidity and competitive market making. Wide spreads indicate stress, low activity, or thin books.
Read definition page →Bitcoin, the largest crypto asset by market cap. The dominant underlying for crypto options, with the deepest options market on Deribit. BTC options open interest typically exceeds the rest of the crypto options market combined.
Read definition page →A major centralized derivatives exchange. Originally known for perpetual futures, Bybit has grown into a meaningful options venue and a primary aggregation source for crypto positioning data.
Read definition page →A contract giving the holder the right (but not the obligation) to buy the underlying at a fixed strike price before or at expiry. Buyers profit when the underlying rises above the strike plus premium paid. Sellers collect premium and have an obligation to deliver if exercised.
Read definition page →The strike with the largest concentration of dealer-positive gamma above the current spot price. Acts as resistance because dealers progressively sell underlying as price approaches it. Call walls are often the dominant ceiling into options expiry.
Read definition page →A second-order Greek measuring the rate of change of delta with respect to time. Charm flow becomes significant on Friday afternoon as short-dated options decay rapidly, forcing dealers to re-hedge in spot.
Read definition page →A third-order Greek measuring the rate of change of gamma with respect to time. Rarely traded directly but matters for dealer books holding large 0DTE inventory because gamma can swing dramatically in the final hours.
Read definition page →A market structure in which longer-dated contracts trade at higher prices (or higher implied volatility) than nearer-dated. In futures, contango is the normal carrying-cost state. In options IV term structure, contango is the default and reflects cumulative uncertainty over time.
Read definition page →The running sum of aggressive buying minus aggressive selling. CVD reveals which side is consistently lifting offers or hitting bids. Divergences between CVD and price are a classic exhaustion signal: when price makes a new high but CVD does not, the rally is being absorbed.
Read definition page →The act of buying or selling the underlying to offset directional exposure created by an options book. Dealers stay delta-neutral by trading spot or perpetuals as price moves. Dealer hedging is the mechanical force behind gamma exposure effects, pinning, and OpEx flows.
Read definition page →The aggregate book of options market makers, estimated from public open-interest data and assumptions about who is naturally long or short each strike. Reading dealer positioning tells you whether their hedging will damp or amplify price action.
Read definition page →An option Greek measuring how much the option price changes per one-dollar move in the underlying. A call with delta 0.5 gains roughly fifty cents per one-dollar rise in spot. Delta also approximates the probability the option finishes in-the-money.
Read definition page →A position with offsetting deltas summing to zero, so small spot moves do not change the position value. Market makers run delta-neutral books by hedging continuously. Delta-neutral strategies isolate exposure to volatility, time decay, or higher-order Greeks.
Read definition page →The dominant crypto options exchange, holding the majority of global BTC and ETH options open interest. Deribit standard expiries settle Friday at 08:00 UTC. The DVOL and ETH DVOL volatility indices are calculated from Deribit option prices.
Read definition page →The Deribit BTC volatility index. A 30-day forward-looking implied volatility number derived from a basket of BTC options, similar in concept to the VIX for equities. ETH DVOL is the equivalent index for Ethereum.
Read definition page →Ethereum, the second-largest crypto asset by market cap and the second-largest options market. ETH options track BTC closely but show distinct skew and term-structure dynamics, especially around protocol-level catalysts.
Read definition page →The implied one-standard-deviation price range over a given period, derived from at-the-money option prices. Calculated as roughly spot times ATM IV times sqrt(time to expiry). Useful for sizing trades and setting stops outside the priced-in noise.
Read definition page →The date and time at which an options contract settles. After expiry, an option pays out its intrinsic value or expires worthless. Crypto options on Deribit expire Fridays at 08:00 UTC.
Read definition page →The periodic payment between perpetual longs and shorts that keeps the perp price anchored to spot. Positive funding means longs pay shorts; negative means shorts pay longs. Crowded one-sided funding is one of the cleanest contrarian signals available.
Read definition page →A standardized contract to buy or sell an asset at a set price on a future date. Crypto futures with fixed expiries exist alongside perpetual futures (perps) which never expire. Quarterly futures concentrate the most open interest.
Read definition page →A second-order Greek measuring how much delta changes per one-dollar move in the underlying. Gamma is highest for at-the-money options near expiry. Long option positions are always long gamma; short options are short gamma. Gamma is the input to gamma exposure.
Read definition page →The aggregate dollar amount that options dealers must trade per one-percent move in the underlying. Positive GEX means dealers hedge against price (suppressing volatility). Negative GEX means dealers hedge with price (amplifying it). The single most important options-derived signal for regime classification.
Read definition page →The price level at which net dealer gamma crosses from positive to negative. Above the flip, dealer hedging tends to damp moves. Below it, hedging amplifies them. The flip is the single most useful regime boundary on the chart.
Read definition page →A position taken to offset risk in another position. Long spot can be hedged by buying puts. A short call book is hedged by buying delta in the underlying. Hedging defines market-maker behaviour and is the mechanical reason gamma exposure matters.
Read definition page →The market’s forecast of future price volatility, baked into option prices. Calculated by inverting an option-pricing model from observed prices. IV is annualized; an IV of 60% implies a one-sigma annual move of 60%. Higher IV = more expensive options.
Read definition page →A composite reference price calculated from spot prices across multiple exchanges. Index prices are used for funding calculations, margin requirements, and option settlements. They smooth over single-venue manipulation or outliers.
Read definition page →The amount an option would be worth if it expired right now. For a call, max(spot − strike, 0). For a put, max(strike − spot, 0). The remainder of an option price is time value, which decays toward zero by expiry.
Read definition page →An option with positive intrinsic value. A call is ITM when spot is above the strike. A put is ITM when spot is below the strike. Deep ITM options behave more like the underlying than like options.
Read definition page →The variation of implied volatility across strikes for the same expiry. Put skew (puts richer than calls) signals demand for downside protection. Call skew signals demand for upside exposure. The flip from one to the other is a meaningful sentiment shift.
Read definition page →The curve of implied volatility plotted across expiries at a fixed moneyness. Upward-sloping (contango) is the normal state. Downward-sloping (backwardation) signals an imminent event or active market stress. Term-structure shifts often front-run direction.
Read definition page →The ratio of position size to margin posted. 10x leverage means a 10% adverse move wipes out the position. Crypto perpetual exchanges commonly offer up to 100x leverage. Higher leverage means smaller liquidation thresholds and faster cascades.
Read definition page →The forced closing of a leveraged position when margin runs out. The exchange auto-sells to cover the loss. Liquidations add directional flow in the same direction as the existing move, which is why they cluster.
Read definition page →A self-reinforcing chain of liquidations where each forced close drives price further into the next cluster of stops. Cascades produce the sharpest, fastest moves in crypto markets and typically resolve in minutes rather than hours.
Read definition page →A position that profits when price rises. Buying spot, going long a perp, owning a call, or being short a put are all long positions. Opposite of short.
Read definition page →The fair value reference used for unrealized P&L and liquidation calculations on a perp or futures contract. Mark price is derived from index price and a moving average to reduce manipulation. Liquidations trigger off mark, not last traded price.
Read definition page →A participant that quotes both sides of the market continuously and earns the spread. In options, market makers also hedge their inventory in the underlying. Their hedging flow is the mechanical force behind gamma exposure effects.
Read definition page →The strike price at which option buyers collectively lose the most at expiry, or equivalently, where total intrinsic-value payouts are minimized. In positive-gamma regimes, dealer hedging pulls price toward max pain into expiry. The pin window is typically the last few hours before settlement.
Read definition page →A price tendency to return toward an average level after extreme moves. Mean-reversion strategies fade overextensions. Most viable in positive-gamma, range-bound regimes; risky in trending, negative-gamma regimes.
Read definition page →The last Friday of each month on Deribit, settling at 08:00 UTC. Monthly expiries carry significantly more open interest than weeklies and produce broader hedging flows that begin earlier in the week.
Read definition page →A major centralized derivatives exchange offering perpetuals, futures, and options. OKX is one of the primary aggregation sources for crypto options open interest alongside Deribit, Bybit, and Binance.
Read definition page →The total number of outstanding contracts (options or futures) that have not been closed. Rising OI on a rally signals new long positioning. Falling OI on a rally signals shorts covering. OI distribution across strikes drives gamma exposure shape.
Read definition page →Options expiry. The recurring event when options settle, almost always referring to the Friday 08:00 UTC settlement on Deribit in crypto. The largest scheduled liquidity event of the week. Quarterly OpEx (last Friday of March, June, September, December) is the largest of the year.
Read definition page →The full grid of available options for an underlying, organized by expiry and strike. Each row shows bid, ask, mark, IV, and Greeks for both calls and puts. The chain is the primary view for selecting strikes and expiries.
Read definition page →An option with zero intrinsic value. A call is OTM when spot is below the strike; a put is OTM when spot is above. OTM options consist entirely of time value and decay aggressively as expiry approaches.
Read definition page →The list of all current resting buy and sell orders at every price level. Depth, imbalance, and refresh patterns are the core inputs to microstructure analysis. The order book tells you how much liquidity exists at each level before slippage.
Read definition page →A futures contract with no expiry, anchored to spot via funding payments between longs and shorts. Perps are the dominant derivative in crypto, vastly larger in volume than dated futures. BTC and ETH perps trade 24/7 across every major venue.
Read definition page →The amount of capital allocated to a trade, usually expressed as a percentage of account or as risk per stop distance. Disciplined position sizing is the difference between surviving drawdowns and blowing up.
Read definition page →The price of an option, paid by the buyer to the seller. Premium consists of intrinsic value plus time value. In a separate sense, basis premium refers to futures or perp prices trading above spot.
Read definition page →A contract giving the holder the right to sell the underlying at a fixed strike price before or at expiry. Buyers profit when the underlying falls below the strike minus premium paid. Most commonly used as downside protection.
Read definition page →The strike with the largest concentration of dealer-positive gamma below the current spot price. Acts as support because dealers progressively buy underlying as price approaches it. A break of the put wall often flips the regime into negative gamma.
Read definition page →The last Friday of March, June, September, and December. The largest options expiries of the year, often dominating term structure and price action for one to two weeks before and after settlement.
Read definition page →A price regime bounded by clear support and resistance, with mean-reverting behaviour inside. Ranges are most likely in positive-gamma environments and tend to compress as expiry approaches.
Read definition page →The volatility actually observed in the underlying over a window of time, calculated from historical price changes. The persistent gap between realized and implied volatility is the volatility risk premium - the structural reason selling options has positive expected value.
Read definition page →The character of price action over a period: trending or ranging, high-vol or low-vol, positive or negative gamma. Regime classification is the single most important input to strategy selection. A signal that works in one regime often fails in another.
Read definition page →A price level where selling pressure has historically appeared and price has stalled or reversed. Strong resistance often coincides with call walls, max pain, prior highs, or round numbers. A confirmed break of resistance often produces follow-through.
Read definition page →A first-order Greek measuring an option’s sensitivity to interest rates. Rho matters most for long-dated options in environments with shifting rate expectations. In crypto, rho is small relative to the other Greeks because dollar funding rates dominate.
Read definition page →The expiry-time process by which an option pays out its final intrinsic value. On Deribit, settlement occurs at 08:00 UTC using a half-hour time-weighted average of the index price. Settlement is the moment dealer hedging flows release.
Read definition page →A position that profits when price falls. Selling spot, going short a perp, owning a put, or being short a call are all short positions. Short positions in crypto carry tail risk because upside is unbounded.
Read definition page →The difference between the expected fill price and the actual fill price, usually due to thin order book depth. Slippage is the hidden tax on aggressive execution and grows with trade size and market stress.
Read definition page →Solana, the third-largest crypto asset by options open interest. SOL options markets are smaller and less liquid than BTC or ETH but growing, with concentrated venues on Deribit and select altcoin-focused platforms.
Read definition page →A third-order Greek measuring the rate of change of gamma with respect to spot. Speed becomes meaningful for very short-dated options where gamma can shift dramatically with even small price moves. Used by sophisticated dealers to hedge convexity risk.
Read definition page →The current cash market price of an asset for immediate delivery. Spot is the underlying reference for derivatives pricing. Crypto spot trades 24/7 across hundreds of venues, with index prices aggregating across the deepest ones.
Read definition page →The fixed price at which an option contract can be exercised. Calls are profitable above the strike; puts are profitable below. Strike concentration drives the shape of gamma exposure and identifies key levels like call walls and put walls.
Read definition page →A price level where buying pressure has historically appeared and price has stalled or reversed. Strong support often coincides with put walls, max pain on the downside, prior lows, or round numbers. A break of support often signals a regime change.
Read definition page →A trader who removes liquidity from the order book by hitting an existing bid or lifting an existing offer. Takers pay the spread and (typically) higher fees than makers. Aggressive taker flow is the input to CVD.
Read definition page →The Greek measuring how much an option loses per day from time decay, all else equal. Theta is highest for at-the-money options near expiry and is the dominant Greek for options in their final 24–48 hours.
Read definition page →A persistent directional move with successive higher highs (uptrend) or lower lows (downtrend). Trends are most common in negative-gamma environments where dealer hedging amplifies moves rather than damping them.
Read definition page →Time-Weighted Average Price. The average price of an asset over a defined time window, weighted equally across time intervals. Settlement on Deribit uses a TWAP of the index over the half hour before expiry to prevent last-second manipulation.
Read definition page →A second-order Greek measuring how delta changes with implied volatility. Vanna becomes important when IV is shifting fast (during news, vol spikes, or vol crush). Vanna flow is a recognized cause of post-event drift in spot.
Read definition page →A first-order Greek measuring an option’s sensitivity to a one-percentage-point change in implied volatility. Long options are long vega; short options are short vega. Vega is highest for at-the-money options on longer expiries.
Read definition page →The CBOE Volatility Index, the implied 30-day volatility of the S&P 500 calculated from a basket of SPX options. The VIX is the equity market analog to BTC DVOL. Often used as a proxy for global risk appetite, including in crypto correlation regimes.
Read definition page →The persistent gap between implied volatility and subsequently realized volatility. Implied tends to overshoot realized over long horizons, which is why systematic option-selling strategies have positive expected value. The premium can vanish or invert in stress regimes.
Read definition page →The two-dimensional plot of implied volatility across strike and expiry. The surface captures skew (across strikes) and term structure (across time) simultaneously. Dislocations on the surface are what relative-value vol traders harvest.
Read definition page →The total number of contracts or units traded in a window. Distinct from open interest, which is outstanding contracts. Rising volume into a price move adds conviction; rising open interest with rising volume signals new positioning.
Read definition page →A second-order Greek measuring how vega changes with implied volatility. Long vomma positions benefit when IV moves substantially in either direction. Useful for traders who want positive convexity to vol shifts without picking direction.
Read definition page →Volume-Weighted Average Price. The average price of an asset over a defined window, weighted by volume traded at each price. VWAP is the standard execution benchmark for institutional traders and a common intraday reference level.
Read definition page →A Deribit options expiry that lists every Friday and settles the following Friday at 08:00 UTC. Weeklies carry less open interest than monthlies but produce concentrated short-dated gamma flows that can dominate Friday price action.
Read definition page →See Gamma Flip. The price level where net dealer gamma transitions from positive to negative. Above zero gamma, dealer hedging is counter-trend; below it, hedging amplifies moves. The most useful single regime boundary on a GEX chart.
Read definition page →Go deeper
Definitions are the start. Read the full guides on gamma exposure, max pain, implied volatility, SPX 0DTE, and OpEx for the mechanics, the playbook, and how to use each in real trades.