BackQuant Glossary
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.
Related terms
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.
Market Maker
A participant that quotes both sides of the market continuously and earns the spread. In options, market makers also hedge their inventory in the underlying. Their hedging flow is the mechanical force behind gamma exposure effects.
SOL
Solana, the third-largest crypto asset by options open interest. SOL options markets are smaller and less liquid than BTC or ETH but growing, with concentrated venues on Deribit and select altcoin-focused platforms.
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.
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