BackQuant Glossary
VWAP
Volume-Weighted Average Price. The average price of an asset over a defined window, weighted by volume traded at each price. VWAP is the standard execution benchmark for institutional traders and a common intraday reference level.
Related terms
Volume
The total number of contracts or units traded in a window. Distinct from open interest, which is outstanding contracts. Rising volume into a price move adds conviction; rising open interest with rising volume signals new positioning.
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.
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.
Volatility Risk Premium
The persistent gap between implied volatility and subsequently realized volatility. Implied tends to overshoot realized over long horizons, which is why systematic option-selling strategies have positive expected value. The premium can vanish or invert in stress regimes.
Go deeper
See VWAP live on the terminal.
BackQuant is the analytics terminal for equity and crypto options. GEX walls, dealer positioning, options flow, and the full derivatives context - one product.