BackQuant Glossary
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.
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.
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.
Long
A position that profits when price rises. Buying spot, going long a perp, owning a call, or being short a put are all long positions. Opposite of short.
Short
A position that profits when price falls. Selling spot, going short a perp, owning a put, or being short a call are all short positions. Short positions in crypto carry tail risk because upside is unbounded.
Gamma Exposure (GEX)
The aggregate dollar amount that options dealers must trade per one-percent move in the underlying. Positive GEX means dealers hedge against price (suppressing volatility). Negative GEX means dealers hedge with price (amplifying it). The single most important options-derived signal for regime classification.
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