BackQuant Glossary
Monthly Expiry
The last Friday of each month on Deribit, settling at 08:00 UTC. Monthly expiries carry significantly more open interest than weeklies and produce broader hedging flows that begin earlier in the week.
Related terms
Deribit
The dominant crypto options exchange, holding the majority of global BTC and ETH options open interest. Deribit standard expiries settle Friday at 08:00 UTC. The DVOL and ETH DVOL volatility indices are calculated from Deribit option prices.
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.
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.
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.
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