BackQuant Glossary
Mark Price
The fair value reference used for unrealized P&L and liquidation calculations on a perp or futures contract. Mark price is derived from index price and a moving average to reduce manipulation. Liquidations trigger off mark, not last traded price.
Related terms
Futures
A standardized contract to buy or sell an asset at a set price on a future date. Crypto futures with fixed expiries exist alongside perpetual futures (perps) which never expire. Quarterly futures concentrate the most open interest.
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.
Liquidation
The forced closing of a leveraged position when margin runs out. The exchange auto-sells to cover the loss. Liquidations add directional flow in the same direction as the existing move, which is why they cluster.
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.
Max Pain
The strike price at which option buyers collectively lose the most at expiry, or equivalently, where total intrinsic-value payouts are minimized. In positive-gamma regimes, dealer hedging pulls price toward max pain into expiry. The pin window is typically the last few hours before settlement.
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