BackQuant Glossary
Settlement
The expiry-time process by which an option pays out its final intrinsic value. On Deribit, settlement occurs at 08:00 UTC using a half-hour time-weighted average of the index price. Settlement is the moment dealer hedging flows release.
Related terms
Dealer Hedging
The act of buying or selling the underlying to offset directional exposure created by an options book. Dealers stay delta-neutral by trading spot or perpetuals as price moves. Dealer hedging is the mechanical force behind gamma exposure effects, pinning, and OpEx flows.
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.
Expiry
The date and time at which an options contract settles. After expiry, an option pays out its intrinsic value or expires worthless. Crypto options on Deribit expire Fridays at 08:00 UTC.
Index Price
A composite reference price calculated from spot prices across multiple exchanges. Index prices are used for funding calculations, margin requirements, and option settlements. They smooth over single-venue manipulation or outliers.
Intrinsic Value
The amount an option would be worth if it expired right now. For a call, max(spot − strike, 0). For a put, max(strike − spot, 0). The remainder of an option price is time value, which decays toward zero by expiry.
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See Settlement live on the terminal.
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