BackQuant Glossary

Aggressor

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.

Related terms

ATM (At-the-Money)

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.

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