BackQuant Glossary
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.
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.
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.
Resistance
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.
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.
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.
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