BackQuant Glossary
CVD (Cumulative Volume Delta)
The running sum of aggressive buying minus aggressive selling. CVD reveals which side is consistently lifting offers or hitting bids. Divergences between CVD and price are a classic exhaustion signal: when price makes a new high but CVD does not, the rally is being absorbed.
Related terms
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.
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.
Contango
A market structure in which longer-dated contracts trade at higher prices (or higher implied volatility) than nearer-dated. In futures, contango is the normal carrying-cost state. In options IV term structure, contango is the default and reflects cumulative uncertainty over time.
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