BackQuant Glossary
Put Wall
The strike with the largest concentration of dealer-positive gamma below the current spot price. Acts as support because dealers progressively buy underlying as price approaches it. A break of the put wall often flips the regime into negative gamma.
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.
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.
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.
Support
A price level where buying pressure has historically appeared and price has stalled or reversed. Strong support often coincides with put walls, max pain on the downside, prior lows, or round numbers. A break of support often signals a regime change.
Perpetual Swap (Perp)
A futures contract with no expiry, anchored to spot via funding payments between longs and shorts. Perps are the dominant derivative in crypto, vastly larger in volume than dated futures. BTC and ETH perps trade 24/7 across every major venue.
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