BackQuant Glossary
Index Price
A composite reference price calculated from spot prices across multiple exchanges. Index prices are used for funding calculations, margin requirements, and option settlements. They smooth over single-venue manipulation or outliers.
Related terms
Settlement
The expiry-time process by which an option pays out its final intrinsic value. On Deribit, settlement occurs at 08:00 UTC using a half-hour time-weighted average of the index price. Settlement is the moment dealer hedging flows release.
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.
Implied Volatility (IV)
The market’s forecast of future price volatility, baked into option prices. Calculated by inverting an option-pricing model from observed prices. IV is annualized; an IV of 60% implies a one-sigma annual move of 60%. Higher IV = more expensive options.
Intrinsic Value
The amount an option would be worth if it expired right now. For a call, max(spot − strike, 0). For a put, max(strike − spot, 0). The remainder of an option price is time value, which decays toward zero by expiry.
ITM (In-the-Money)
An option with positive intrinsic value. A call is ITM when spot is above the strike. A put is ITM when spot is below the strike. Deep ITM options behave more like the underlying than like options.
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