BackQuant Glossary
Support
A price level where buying pressure has historically appeared and price has stalled or reversed. Strong support often coincides with put walls, max pain on the downside, prior lows, or round numbers. A break of support often signals a regime change.
Related terms
Max Pain
The strike price at which option buyers collectively lose the most at expiry, or equivalently, where total intrinsic-value payouts are minimized. In positive-gamma regimes, dealer hedging pulls price toward max pain into expiry. The pin window is typically the last few hours before settlement.
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.
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.
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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