BackQuant Glossary
VIX
The CBOE Volatility Index, the implied 30-day volatility of the S&P 500 calculated from a basket of SPX options. The VIX is the equity market analog to BTC DVOL. Often used as a proxy for global risk appetite, including in crypto correlation regimes.
Related terms
BTC
Bitcoin, the largest crypto asset by market cap. The dominant underlying for crypto options, with the deepest options market on Deribit. BTC options open interest typically exceeds the rest of the crypto options market combined.
DVOL
The Deribit BTC volatility index. A 30-day forward-looking implied volatility number derived from a basket of BTC options, similar in concept to the VIX for equities. ETH DVOL is the equivalent index for Ethereum.
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.
Vanna
A second-order Greek measuring how delta changes with implied volatility. Vanna becomes important when IV is shifting fast (during news, vol spikes, or vol crush). Vanna flow is a recognized cause of post-event drift in spot.
Vega
A first-order Greek measuring an option’s sensitivity to a one-percentage-point change in implied volatility. Long options are long vega; short options are short vega. Vega is highest for at-the-money options on longer expiries.
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