BackQuant Glossary
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.
Related terms
DVOL
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.
Gamma
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.
Short
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.
Spot
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.
Strike Price
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.
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See ATM (At-the-Money) live on the terminal.
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