BackQuant Glossary
Delta
An option Greek measuring how much the option price changes per one-dollar move in the underlying. A call with delta 0.5 gains roughly fifty cents per one-dollar rise in spot. Delta also approximates the probability the option finishes in-the-money.
Related terms
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.
Dealer Hedging
The act of buying or selling the underlying to offset directional exposure created by an options book. Dealers stay delta-neutral by trading spot or perpetuals as price moves. Dealer hedging is the mechanical force behind gamma exposure effects, pinning, and OpEx flows.
Dealer Positioning
The aggregate book of options market makers, estimated from public open-interest data and assumptions about who is naturally long or short each strike. Reading dealer positioning tells you whether their hedging will damp or amplify price action.
Delta-Neutral
A position with offsetting deltas summing to zero, so small spot moves do not change the position value. Market makers run delta-neutral books by hedging continuously. Delta-neutral strategies isolate exposure to volatility, time decay, or higher-order Greeks.
Deribit
The dominant crypto options exchange, holding the majority of global BTC and ETH options open interest. Deribit standard expiries settle Friday at 08:00 UTC. The DVOL and ETH DVOL volatility indices are calculated from Deribit option prices.
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