BackQuant Glossary
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.
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.
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.
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.
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.
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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