BackQuant Glossary
Slippage
The difference between the expected fill price and the actual fill price, usually due to thin order book depth. Slippage is the hidden tax on aggressive execution and grows with trade size and market stress.
Related terms
Order Book
The list of all current resting buy and sell orders at every price level. Depth, imbalance, and refresh patterns are the core inputs to microstructure analysis. The order book tells you how much liquidity exists at each level before slippage.
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.
Short
A position that profits when price falls. Selling spot, going short a perp, owning a put, or being short a call are all short positions. Short positions in crypto carry tail risk because upside is unbounded.
SOL
Solana, the third-largest crypto asset by options open interest. SOL options markets are smaller and less liquid than BTC or ETH but growing, with concentrated venues on Deribit and select altcoin-focused platforms.
Speed
A third-order Greek measuring the rate of change of gamma with respect to spot. Speed becomes meaningful for very short-dated options where gamma can shift dramatically with even small price moves. Used by sophisticated dealers to hedge convexity risk.
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