Glossary
Quick reference for the terms used across the dashboard, the MCP tools, and
the rest of these docs. Sorted by topic, not alphabetically — the order
follows how concepts depend on each other.
| Term | Meaning |
|---|
| OI (open interest) | Number of option contracts that exist for a given strike + expiry. One unit per side: a buy and a sell create one contract of OI. Closing trades reduce it. |
| Volume | Number of contracts traded in a session. Volume can spike without OI changing (closing trades). |
| Notional | The dollar value of the underlying that the contract controls. For a BTC option, one Deribit contract = 1 BTC of notional. |
| Term | Meaning |
|---|
| Delta (Δ) | How much the option's price moves per $1 move in the underlying. Calls have positive delta; puts negative. |
| Gamma (Γ) | How much delta itself changes per $1 move. Highest at-the-money, decays toward the wings. |
| Vega | How much the option's price moves per 1 vol point (1 percentage point) change in implied volatility. Highest at-the-money; longer-dated options have more. |
| Theta (Θ) | How much the option loses per day from time decay alone. Highest near expiry, accelerates in the last week. |
| Charm (dDelta/dTime) | How fast delta decays per day. Drives the pin effect near expiry: as time runs out, ITM/OTM options lose delta toward 1 or 0, mechanically pulling dealer hedges toward high-OI strikes. |
| Vanna (dDelta/dIV) | How much delta changes per 1 vol point move in IV. Matters when spot and IV move together — vol expansions can shift dealer hedging needs even without a price move. |
| Vomma (dVega/dIV) | Vega's own sensitivity to IV. Relevant for vol-of-vol exposure on long-dated options. |
| Speed (dGamma/dSpot) | How fast gamma changes with spot. Sharp near ATM close to expiry. |
| Term | Meaning |
|---|
| IV (implied volatility) | The volatility number that, plugged into Black-Scholes, would reproduce the option's market price. Forward-looking. |
| Realized vol | The volatility actually observed in the underlying over a window. Backward-looking. |
| ATM (at-the-money) | In crypto, usually means ATM-forward: the strike equal to the forward price for that expiry, not spot. On long-dated expiries with contango, ATM-forward and ATM-spot can differ meaningfully. |
| IV skew | The difference in IV across strikes. In crypto, calls usually trade at higher IV than puts (call skew). |
| RR25 (25-delta risk reversal) | IV of 25Δ call minus IV of 25Δ put. Measures directional skew: positive = calls richer (bullish positioning), negative = puts richer (hedging demand). Returned by get_term_structure as rr25d. |
| BF25 (25-delta butterfly) | Average IV of 25Δ wings minus ATM IV. Measures smile convexity / tail premium. Returned by get_term_structure as bf25d. |
| Term structure | IV plotted across expiries for a fixed moneyness (typically ATM). Upward-sloping = "normal" (longer-dated options price in more vol). Inverted / backwardated term structure (front-end higher) is a stress signal. |
| Term | Meaning |
|---|
| GEX (gamma exposure) | Sum of dealer gamma across strikes, expressed as dollar-flow needed per 1% move in the underlying. Negative = dealers short gamma; their hedging amplifies moves. |
| Gamma flip | The price at which net dealer gamma crosses zero. Crossing it changes the regime from suppressing to amplifying volatility (or vice versa). |
| Max pain | The strike that would minimize dealer payout if every contract expired worthless. Acts as a magnet pre-expiry. |
| Pin magnet | Any strike with concentrated OI that can attract spot near expiry through dealer hedging, not only the single max-pain strike. The dashboard surfaces multiple pin candidates ranked by magnetic strength; max pain is one specific calculation within that family. |
| GEX centroid | Open-interest-weighted average strike, weighted by absolute gamma exposure. A compact way to express "where dealer hedging activity is concentrated" as a single price level. Returned by get_timeline. |
| Dealer flow | The hedging activity dealers must do as price moves. The mechanical part of price action that has nothing to do with new directional opinion. |
| Term | Meaning |
|---|
| Funding rate | The periodic payment between perp longs and shorts that keeps the perp price tethered to spot. Positive = longs pay shorts. |
| Basis | The price difference between a futures contract and spot, usually annualized: ln(F/S) / T. Positive basis = contango (futures > spot); negative = backwardation. On crypto, basis reflects demand for leverage rather than storage / convenience yield. |
| Contango / Backwardation | Shape of the futures curve. Contango: dated futures price above spot, curve sloping up. Backwardation: dated futures below spot, sloping down. "Textbook contango" means a smooth, monotonically rising curve with moderate basis (~5–15% annualized) — a healthy bullish regime. |
| Carry | The yield captured by a delta-neutral spot-vs-futures trade (long spot, short futures, or the reverse). Approximately equal to basis minus borrow / funding costs. |
| Perp (perpetual swap) | A futures contract with no expiry, kept tethered to spot via funding. Dominant trading instrument on most crypto exchanges. |
| Liquidation cascade | A self-reinforcing sequence of forced closes — one liquidation moves price, triggering the next. |
| Spot index | The underlying reference price an option settles against. Deribit uses an index of multiple spot venues, not any single exchange. |
| Term | Meaning |
|---|
| Snapshot | A single timestamped sample of the OI / IV / spot state. The dashboard refreshes from snapshots taken every 5 minutes. |
| MCP | Model Context Protocol. The standard that lets AI agents talk to tools and data sources. GEX Lab exposes 30+ tools over MCP. |
| Paper trading | A simulated trading account. Same Black-76 pricing math as live; settlement and funding accrue automatically; no real money. |
| Black-76 | A variant of Black-Scholes used for options on futures and forwards rather than on spot. Correct for crypto options since Deribit settles against a forward, not spot. Paper trading and all pricing on GEX Lab use Black-76. |