BackQuant Glossary
Color
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.
Related terms
0DTE
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.
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.
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.
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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