BackQuant Glossary
Trend
A persistent directional move with successive higher highs (uptrend) or lower lows (downtrend). Trends are most common in negative-gamma environments where dealer hedging amplifies moves rather than damping them.
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.
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.
Taker
A trader who removes liquidity from the order book by hitting an existing bid or lifting an existing offer. Takers pay the spread and (typically) higher fees than makers. Aggressive taker flow is the input to CVD.
Theta
The Greek measuring how much an option loses per day from time decay, all else equal. Theta is highest for at-the-money options near expiry and is the dominant Greek for options in their final 24–48 hours.
TWAP
Time-Weighted Average Price. The average price of an asset over a defined time window, weighted equally across time intervals. Settlement on Deribit uses a TWAP of the index over the half hour before expiry to prevent last-second manipulation.
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