BackQuant Glossary
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.
Related terms
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.
Spot
The current cash market price of an asset for immediate delivery. Spot is the underlying reference for derivatives pricing. Crypto spot trades 24/7 across hundreds of venues, with index prices aggregating across the deepest ones.
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.
Hedge
A position taken to offset risk in another position. Long spot can be hedged by buying puts. A short call book is hedged by buying delta in the underlying. Hedging defines market-maker behaviour and is the mechanical reason gamma exposure matters.
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.
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