BackQuant Glossary
Mean Reversion
A price tendency to return toward an average level after extreme moves. Mean-reversion strategies fade overextensions. Most viable in positive-gamma, range-bound regimes; risky in trending, negative-gamma regimes.
Related terms
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.
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.
Regime
The character of price action over a period: trending or ranging, high-vol or low-vol, positive or negative gamma. Regime classification is the single most important input to strategy selection. A signal that works in one regime often fails in another.
Trend
A persistent directional move with successive higher highs (uptrend) or lower lows (downtrend). Trends are most common in negative-gamma environments where dealer hedging amplifies moves rather than damping them.
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.
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