BackQuant Glossary
Call Option
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.
Related terms
Expiry
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.
Premium
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.
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.
Call Wall
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.
Charm
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.
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