The glossary
Every recurring term on this site, defined assuming zero options background. Dotted underlines across the site link back here — hover them for the one-line version, or read the full entries below.
Calendar spread
A calendar sells the front expiry and buys a later one at the same strike. The front leg decays faster than the back, so the spread profits from time passing quietly and from term-structure differentials (contango). It's the structure regimes with rich front vol and cheap back vol favor.
Call / put wall
Walls are the strikes carrying the most gamma-weighted open interest per side. They mark where dealer hedging is likely heaviest — candidate support/resistance into expiry, strongest when expiry is near and the OI is large. They move as positioning changes, so re-read after big moves.
Contango (term structure)
The term structure is IV plotted across expiries. Upward-sloping (contango) is the calm-market norm: more time, more uncertainty, higher IV. Inverted (backwardation) — front IV above back — signals near-term stress being priced. The slope itself is tradeable via calendars.
Delta (Δ)
Delta is the option's sensitivity to the underlying: a 0.30-delta call gains about $0.30 when BTC rises $1. Traders also read |delta| as a rough probability of finishing in-the-money — a "30-delta" option has roughly a 30% chance. Strikes are often described by delta instead of price for exactly that reason.
DTE
Days to expiry counts the time left in an option's life. Short-DTE options carry fast decay (high theta) and fast-changing risk (high gamma); long-DTE options are slower on both. Fractional DTE (0.7) appears on this site because dailies settle at a fixed 12:00 UTC.
Expected move (EM)
The expected move is the at-the-money straddle price divided by spot: the movement the options market is charging for over that expiry. It's the breakeven for movement itself — realized moves inside the EM favored sellers, outside it favored buyers. No model of ours is involved; it is the market's number.
Gamma (Γ)
Gamma is the rate of change of delta. High-gamma positions (near-the-money, near expiry) re-hedge themselves violently: small spot moves swing the position's directionality fast. For sellers gamma is the enemy near expiry; for buyers it's the payoff for owning options.
Gamma exposure (GEX)
Gamma exposure maps how much delta-hedging flow each strike would generate per 1% spot move, aggregated from OI and gamma. Around big-gamma strikes, hedging can pin price (dealers fade moves) or accelerate it (dealers chase) depending on who is long. In crypto the long/short split is genuinely unknown — this site shows the mass by side and says so, rather than pretending to know the sign.
Implied volatility (IV)
Implied volatility is the amount of future price movement an option's price implies, quoted as an annualized percentage. It isn't measured from charts — it's backed out of what people are actually paying for options right now. When traders expect turbulence they pay more for options, so IV rises; quiet expectations pull it down. IV is the closest thing options have to a price tag on uncertainty.
Iron condor
An iron condor sells an OTM call spread and an OTM put spread: the inner strikes collect premium like a strangle while the outer (bought) wings cap the worst case. The defined-risk version of range selling — smaller credit, but the tail can't ruin you.
IV percentile
IV percentile ranks the current IV against its own historical record — "richer than X% of past days." It converts a raw vol number into cheap/fair/rich context. On this site, BTC short-tenor and monthly percentiles rank against 2.2 years of reconstructed history plus the live record; younger series say so next to the number.
Max pain
Max pain is the settlement price that would minimize the total payout to option buyers across the whole chain, computed from open interest. Price sometimes gravitates toward it into expiry (pinning), though the effect is debated — treat it as a level of interest, not a magnet law.
Notional
Notional is the underlying exposure a position references: one BTC option lot on this venue controls 0.001 BTC, so 1,000 lots ≈ 1 BTC of notional. Fees and hedging math run on notional; your cash outlay (premium/margin) is usually far smaller.
Open interest (OI)
Open interest counts contracts that exist right now (opened and not yet closed or expired) — distinct from volume, which counts trades. Strikes with large OI are where hedging pressure and pinning effects concentrate, which is why walls and max pain are computed from it.
Probability of profit (POP)
POP integrates the position's payoff over a modeled price distribution (here: zero-drift lognormal at ATM IV) to estimate the chance of finishing profitable. It is only as good as the distribution — real markets have fatter tails than lognormal, so high-POP short-premium structures understate tail losses. Read POP together with max loss, never alone.
Profit factor (PF)
Profit factor divides the sum of all winning trades by the sum of all losing trades. PF > 1 means net profit; PF < 1 means the strategy lost money overall even if it won most of the time — the classic premium-selling trap where frequent small wins hide occasional large losses. Always read PF next to win rate.
Put/call ratio (PCR)
The put/call ratio divides put open interest by call open interest. High PCR means puts dominate — often read as hedging or bearish positioning; low PCR means call-heavy interest. It is a blunt gauge: use it as context, never as a signal on its own.
Realized volatility (RV)
Realized (or historical) volatility measures how much the price actually moved over a past window, annualized so it can sit next to IV. Comparing the two answers the seller's core question: "is the market paying more for movement (IV) than it delivers (RV)?"
Settlement (12:00 UTC)
Delta's BTC/ETH options settle at 12:00 UTC daily against the settlement price; gold (XAUT) settles 16:00 UTC. Everything on this site treats 12:00 UTC as the boundary of the trading day — a new option cycle starts there, which is why several studies anchor to it.
Skew
Skew is the tilt of the volatility smile: how much more (or less) IV out-of-the-money puts carry versus equivalent calls. Persistent put-over-call skew means the market pays up for crash protection. When calls trade over puts (common in crypto rallies), the market is paying for upside chase instead.
Straddle
A straddle holds a call and a put at the same strike and expiry. Bought, it profits if price moves far in either direction (direction-agnostic, needs movement beyond the combined premium). Sold, it collects the largest premium of any two-leg structure but loses on any large move — the purest bet that "not much happens."
Strangle
A strangle is a straddle with the legs moved out-of-the-money: an OTM call plus an OTM put. Sold, it keeps its credit while price stays between the strikes — a wider profit zone than the short straddle in exchange for less premium. The workhorse premium-selling structure.
Taker / maker
Every trade has a maker (whose order was resting in the book) and a taker (who crossed the spread to hit it). Flow analysis cares because the taker is the aggressor — taker-bought calls read bullish, taker-bought puts bearish. Fees also differ: takers pay more.
Theta (Θ)
Theta is the option's value lost per calendar day as expiry approaches, all else equal. It is the income stream premium sellers live on and the rent option buyers pay. Decay accelerates as expiry nears, which is why short-dated selling is high-theta and high-gamma at once.
Vega
Vega measures IV sensitivity: a vega of $9 means the position gains ~$9 if implied volatility rises one point (and loses the same if it falls). Sellers are short vega — a vol spike hurts even if spot never moves.
Volatility risk premium (VRP)
The volatility risk premium is implied volatility minus realized volatility. When positive, options are priced for more movement than the market delivers on average — the gap is the premium option sellers collect for carrying tail risk. It is persistent but not free money: it flips violently negative on crash days.
Definitions are educational simplifications — precise conventions (day counts, greeks at mark IV, settlement times) are documented on the methodology page. Nothing here is investment advice.