BackQuant Glossary
Realized Volatility
The volatility actually observed in the underlying over a window of time, calculated from historical price changes. The persistent gap between realized and implied volatility is the volatility risk premium - the structural reason selling options has positive expected value.
Related terms
Premium
The price of an option, paid by the buyer to the seller. Premium consists of intrinsic value plus time value. In a separate sense, basis premium refers to futures or perp prices trading above spot.
Volatility Risk Premium
The persistent gap between implied volatility and subsequently realized volatility. Implied tends to overshoot realized over long horizons, which is why systematic option-selling strategies have positive expected value. The premium can vanish or invert in stress regimes.
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.
Resistance
A price level where selling pressure has historically appeared and price has stalled or reversed. Strong resistance often coincides with call walls, max pain, prior highs, or round numbers. A confirmed break of resistance often produces follow-through.
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