BackQuant Glossary
Strike Price
The fixed price at which an option contract can be exercised. Calls are profitable above the strike; puts are profitable below. Strike concentration drives the shape of gamma exposure and identifies key levels like call walls and put walls.
Related terms
Call Wall
The strike with the largest concentration of dealer-positive gamma above the current spot price. Acts as resistance because dealers progressively sell underlying as price approaches it. Call walls are often the dominant ceiling into options expiry.
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.
Put Wall
The strike with the largest concentration of dealer-positive gamma below the current spot price. Acts as support because dealers progressively buy underlying as price approaches it. A break of the put wall often flips the regime into negative gamma.
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.
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