BackQuant Glossary
Expected Move
The implied one-standard-deviation price range over a given period, derived from at-the-money option prices. Calculated as roughly spot times ATM IV times sqrt(time to expiry). Useful for sizing trades and setting stops outside the priced-in noise.
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.
Range
A price regime bounded by clear support and resistance, with mean-reverting behaviour inside. Ranges are most likely in positive-gamma environments and tend to compress as expiry approaches.
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.
ETH
Ethereum, the second-largest crypto asset by market cap and the second-largest options market. ETH options track BTC closely but show distinct skew and term-structure dynamics, especially around protocol-level catalysts.
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