BackQuant Glossary
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.
Related terms
Deribit
The dominant crypto options exchange, holding the majority of global BTC and ETH options open interest. Deribit standard expiries settle Friday at 08:00 UTC. The DVOL and ETH DVOL volatility indices are calculated from Deribit option prices.
Expiry
The date and time at which an options contract settles. After expiry, an option pays out its intrinsic value or expires worthless. Crypto options on Deribit expire Fridays at 08:00 UTC.
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.
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.
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