BackQuant Glossary
Rho
A first-order Greek measuring an option’s sensitivity to interest rates. Rho matters most for long-dated options in environments with shifting rate expectations. In crypto, rho is small relative to the other Greeks because dollar funding rates dominate.
Related terms
Funding Rate
The periodic payment between perpetual longs and shorts that keeps the perp price anchored to spot. Positive funding means longs pay shorts; negative means shorts pay longs. Crowded one-sided funding is one of the cleanest contrarian signals available.
Long
A position that profits when price rises. Buying spot, going long a perp, owning a call, or being short a put are all long positions. Opposite of short.
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.
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.
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