The glossary
Every term the course uses, in plain English. Each one links to the lesson that teaches it.
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0DTE
Zero days to expiry: options that expire on the day they are traded, also called same-day options.
Institutional · N12: What does same-day (0DTE) flow do to the index?25 delta
An option that moves about a quarter as much as the underlying price for a small move.
Institutional · N03: Trading skew on its own: risk reversals25 delta risk reversal
The implied volatility of the 25 delta put minus that of the 25 delta call in the same expiry, quoted as the price of the skew.
Institutional · N03: Trading skew on its own: risk reversalsA
AM settlement
Settlement from the opening prices on expiration day, after trading in the option has already stopped.
Advanced · A14: How do index options differ?American style
An option the buyer can exercise on any day before expiry, so a seller can be assigned early.
Advanced · A14: How do index options differ?American-style
An option you can exercise on any day up to expiry, as with options on individual U.S. stocks.
Beginner · B13: What happens on expiry day, and should you sell or exercise?amplifying
Hedging that pushes moves further, buying rises and selling falls, so swings grow.
Institutional · N11: Dealer gamma: who damps the move and who amplifies it?approval levels
The tiers brokers sort accounts into, deciding which option trades, such as selling, you are allowed to place.
Beginner · B16: Why must a sold option be backed by shares or cash?ask
The lowest price someone will sell at right now, which is the price you pay to buy right away.
Beginner · B05: What does one contract actually cost?Assigned
When the option you sold is exercised against you, so a sold put makes you buy the shares at its strike.
Strategy Lab · S11: The wheelassignment
When a buyer exercises and you, as the seller of that option, must deliver.
Beginner · B17: What happens if you're assigned, including early?at the money
An option whose strike price equals the stock price, so all of its price is time value.
Beginner · B09: What are you actually paying for?automatic exercise
Options in the money by at least one cent at expiry are generally exercised for you, unless you tell your broker otherwise.
Beginner · B13: What happens on expiry day, and should you sell or exercise?B
Back ratio
A position that buys more options than it sells, here two calls bought for one sold.
Strategy Lab · S16: ZEBRA (zero extrinsic back ratio)backing
What stands behind a sold option: 100 shares behind a sold call, or the strike times 100 in cash behind a sold put.
Beginner · B16: Why must a sold option be backed by shares or cash?backspread
Selling one option and buying two further out, which loses most near the strikes and is paid by a big move.
Advanced · A23: Ratio spreads and backspreadsbacktest
Replaying a rule on past prices, trade by trade, as if it had been traded then.
Advanced · A17: How do you test a strategy honestly?backwardation
A volatility curve where near months cost more than later months, the shape of stress.
Advanced · A04: Why do different expiries price differently? Contango and backwardationbear call credit spread
Sell a lower-strike call and buy a higher-strike call with the same expiry, collecting cash, to profit if the stock does not rise.
Intermediate · I15: Bear call credit spreadBear call spread
You sell a call and buy another call with a higher strike and the same expiry, collecting cash and betting the stock does not rise.
Strategy Lab · S20: Bear call spreadBear put ladder
A bear put spread with one more put sold below it, which makes it cheaper and lifts the top but leaves that put uncovered.
Strategy Lab · S45: Bear put ladderbear put spread
Buy a higher-strike put and sell a lower-strike put with the same expiry, paying to open, to profit from a fall.
Intermediate · I13: Bear put spreadbend up / bend down
A bend up at a corner means an option was bought there, and a bend down means one was sold.
Advanced · A01: What does the shape of a payoff graph tell you?best execution
A broker's duty to get a good result for your order, which FINRA says payment for order flow may not get in the way of.
Advanced · A15: How do market makers and dealers change the picture?Bet on size
A trade that pays when the stock moves far enough, whichever way it goes.
Strategy Lab · S21: Long straddlebeta
How much a stock tends to move for each move in the index, measured from the past.
Advanced · A24: Hedging a portfolio against a crashbid
The most someone is offering to pay right now, which is the price you can sell at.
Beginner · B05: What does one contract actually cost?bid and ask
The price a market maker will buy at and the higher price it will sell at; the gap between them is its pay.
Advanced · A15: How do market makers and dealers change the picture?Bid-ask gap
The difference between the price buyers offer and the price sellers ask, which can be wider for in-the-money options.
Strategy Lab · S27: Long gutsbid-ask spread
The gap between the bid and the ask, which you pay when you trade in and out.
Intermediate · I06: Can you trade this option at a fair price?book
All the positions you hold, read together as one result.
Advanced · A10: How do you read a whole portfolio's risk?Borrowing fees
What your broker charges you to borrow shares while you are short them.
Strategy Lab · S08: Covered putbox spread
A call spread and a put spread at the same two strikes, which pays the strike gap whatever happens and so works as a loan.
Institutional · N17: Put-call parity, boxes and financingbreak-even
The stock price on the last day where you neither make nor lose money: strike plus premium for a call, strike minus premium for a put.
Beginner · B07: What does a call's graph tell you?break-even band
The daily move size at which what gamma pays equals one day of theta for a hedged option.
Advanced · A09: How far must it move to pay for theta?Broken-wing butterfly
A butterfly with uneven wings, so one side has no loss and the wider side carries the bigger risk.
Strategy Lab · S36: Broken-wing butterflybroker
The firm that places your trades for you.
Beginner · B05: What does one contract actually cost?Bull call ladder
A bull call spread with one more call sold above it, which makes it cheaper and lifts the top but leaves that call uncovered.
Strategy Lab · S44: Bull call ladderbull call spread
Buy a lower-strike call and sell a higher-strike call with the same expiry, paying to open, to profit from a rise.
Intermediate · I12: Bull call spreadbull put credit spread
Sell a higher-strike put and buy a lower-strike put with the same expiry, collecting cash, to profit if the stock does not fall.
Intermediate · I14: Bull put credit spreadBull put spread
You sell a put and buy another put with a lower strike and the same expiry, collecting cash and betting the stock does not fall.
Strategy Lab · S19: Bull put spreadBullish (long) seagull
The seagull build used here: buy a call, sell a higher call, and sell a lower put.
Strategy Lab · S48: SeagullC
calendar spread
Selling a near-dated option and buying a later one at the same strike, a bet on time.
Advanced · A20: Calendar spreadcall
The right to buy something at a set price, up to a set date; it gains as the stock rises.
Beginner · B03: What is a call?Call backspread
Sell one call and buy two calls at a higher strike, here collecting a small credit: a bet on a big rise with a valley at the higher strike.
Strategy Lab · S42: Call backspreadCall calendar
Selling a call that ends soon and buying the same-strike call that ends later, which gains most if the stock sits at the strike.
Strategy Lab · S52: Call calendarCall option
The right to buy 100 shares at a set price, the strike, any time before the option expires.
Strategy Lab · S01: Long callCall ratio spread
Buy one call and sell two calls at a higher strike: a cheap bet on a small rise with no limit on the loss if the stock jumps.
Strategy Lab · S40: Call ratio spreadcalled away
Having your shares sold at the strike price because you were assigned on a call you sold.
Beginner · B22: Covered call (strategy)capital per unit of edge
The capital a book needs divided by the edge it earns in a year; lower is better.
Institutional · N20: Portfolio margin, Reg-T and SPAN: capital per unit of edgecash settlement
Ending an option by paying cash for its value instead of delivering shares.
Advanced · A14: How do index options differ?cash-secured
Backing a sold put with the full strike times 100 in cash.
Intermediate · I10: What is margin, and what can it do to you?cash-secured put
Selling a put while setting aside the strike times 100 in cash to buy the shares if you're asked.
Beginner · B23: Cash-secured put (strategy)ceiling
The best result a capped position can reach, set by the sold call's strike.
Intermediate · I16: Collarcharm
How much an option's delta changes as days pass, even with the price and volatility unchanged.
Institutional · N08: Vanna, volga and charm in a real bookcheap
When an option or event is priced for a smaller move than the yardstick, measured the same way, suggests.
Institutional · N14: Pricing an event: earnings, FOMC and CPI against base volatilityChristmas tree butterfly
A butterfly built one, three, two: buy one call, skip a strike, sell three calls, buy two calls higher still, so its tent leans toward a small rise.
Strategy Lab · S39: Christmas tree butterflyclosing
Ending a sold option by buying the same option back, which ends your duty.
Beginner · B18: When do you close or roll a sold option?collar
Owning shares while buying a put below the price for a floor and selling a call above it for a ceiling.
Intermediate · I16: Collarcolor
How much gamma changes as one day passes, which piles gamma up at the strikes near expiry.
Institutional · N23: Speed, zomma and color: when gamma itself movescommission
A fee your broker may charge for each trade, which can apply on both the buy and the sell.
Beginner · B05: What does one contract actually cost?complex order
One order for a whole spread at one net price that fills all legs together or not at all.
Institutional · N13: Execution: complex orders, auctions and RFQscomplex order book
An exchange's book of spread orders, each quoted as one price for the whole spread.
Institutional · N13: Execution: complex orders, auctions and RFQsCondor body
The two sold strikes in the middle of a condor, here $95 and $105, which make its flat top.
Strategy Lab · S37: Long condorCondor wings
The outer bought calls of a long condor, here $90 and $110, past which you lose all you paid.
Strategy Lab · S37: Long condorcontango
A volatility curve where later months cost more than near months, the usual shape in calm times.
Advanced · A04: Why do different expiries price differently? Contango and backwardationcontract
The agreement an option is written on: what it's on, the strike price, the expiry date and the premium.
Beginner · B01: What is an option?contract size
A standard stock option contract covers 100 shares, so you multiply the quoted price by 100.
Beginner · B05: What does one contract actually cost?conversion
Owning the shares, buying a put and selling a call at one strike, which locks in the strike at expiry and works as lending.
Institutional · N17: Put-call parity, boxes and financingconvexity
The shape of a hedge that gains faster and faster as the move grows.
Institutional · N19: Tail hedging and a convexity budgetconvexity adjustment
The amount by which a variance strike sits above a volatility strike, which grows as the range of outcomes widens.
Institutional · N05: Variance and volatility swapsconvexity budget
A set share of the desk spent each year on protection, chosen by weighing the calm-year cost against the crash result.
Institutional · N19: Tail hedging and a convexity budgetcorner
A point where a payoff line changes direction; on a last-day graph every corner sits at a strike.
Advanced · A01: What does the shape of a payoff graph tell you?correlation
How much two prices move together, from one (always the same way) to zero (one tells you nothing about the other).
Institutional · N15: Dispersion and correlation tradingcost per day
An option's price divided by its days left, showing what each day of time costs you.
Intermediate · I03: Which expiry should you choose?covered call
Owning shares and selling someone the right to buy them from you at the strike price.
Beginner · B22: Covered call (strategy)Covered put
Shorting 100 shares and selling a put against them, which pays a premium but leaves the loss on a rise without a limit.
Strategy Lab · S08: Covered putCovered straddle
Owning 100 shares while selling a call and a put at the same strike, the current price.
Strategy Lab · S13: Covered straddleCovered strangle
Owning 100 shares while selling a call above the price and a put below it.
Strategy Lab · S12: Covered strangleCPI
The monthly US inflation report, a scheduled announcement that can move markets.
Institutional · N14: Pricing an event: earnings, FOMC and CPI against base volatilityCredit
Cash you receive when you open a trade because what you sell brings in more than what you buy, $29 in the repair.
Strategy Lab · S14: Stock repaircurve flip
A change from contango to backwardation, where the near months jump the most.
Advanced · A05: You sold an option, then the curve flipped: what happens?cushion
The money in your account not yet held as margin, which losses eat into.
Intermediate · I10: What is margin, and what can it do to you?D
damping
Hedging that leans against moves, selling rises and buying falls, so swings shrink.
Institutional · N11: Dealer gamma: who damps the move and who amplifies it?danger zone
The part of a payoff graph where the loss grows, often without limit.
Advanced · A23: Ratio spreads and backspreadsdealer
Any firm that holds options and hedges them, like a market maker.
Advanced · A15: How do market makers and dealers change the picture?dealer gamma
The total gamma that the dealers on the other side of customers' options are estimated to hold, which sets how their hedging pushes the index.
Institutional · N11: Dealer gamma: who damps the move and who amplifies it?deep in the money
An option whose stock price is far past the strike, with little time value left.
Beginner · B17: What happens if you're assigned, including early?deep in-the-money call
A call with a strike far below the stock price, mostly intrinsic value, which moves almost like the shares.
Intermediate · I17: Deep in-the-money call as a stock replacementDeep in-the-money stock replacement
Buying a call with a strike far below the current price so it moves almost like 100 shares for a fraction of the cost.
Strategy Lab · S15: Deep in-the-money stock replacementdelta
How much an option's price moves for a $1 move in the stock, and a rough guide to the chance it finishes in the money.
Intermediate · I01: What do the Greeks actually measure?delta hedge
Buying or selling shares so that small moves in the stock no longer change the value of the option position.
Institutional · N01: Implied against realized: where does the premium come from?delta hedging
Holding shares against an option so the combined delta is zero and the position has no bet on direction.
Advanced · A08: What is delta hedging?desk case
A made-up book run through a real market path, day by day, to see the decisions and results.
Institutional · N21: Desk case: a short-volatility book through a real spikediagonal spread
A spread with two strikes and two expiries, such as a long-dated deep call with a near-dated call sold against it.
Advanced · A21: Diagonal spreaddispersion trade
Selling an index's volatility and buying its members' volatility, a bet that they move together less than priced.
Institutional · N15: Dispersion and correlation tradingdividend
Cash that some companies pay out to the people who own their shares.
Beginner · B02: What's the difference between an option and a stock?drag on returns
A cost, such as buying protection again and again, that comes off your results in every year, good or bad.
Beginner · B21: Protective put (strategy)drawdown
The drop from a high point in the book's value.
Institutional · N22: Desk case: building and running a hedged bookDrawn crash scenario
The course's example, not a forecast, where XYZ falls from $100 to $80 in 3 trading days and volatility doubles to 60%.
Strategy Lab · S23: Short straddleE
early assignment
Being assigned before the end date, which can happen on any day with American-style options.
Beginner · B17: What happens if you're assigned, including early?Early exercise
When the buyer of an option uses it before the last day, which can happen to a deep in-the-money call you sold.
Strategy Lab · S38: Short condorearnings
A company's announcement of how much money it made.
Beginner · B11: What does volatility do to the price?edge
How far the odds lean your way; it says nothing about how much to risk.
Advanced · A16: How do you size risk across many trades?Effective purchase price
What the shares really cost you if assigned after counting the premium, such as $95 minus $1.41, which is $93.59.
Strategy Lab · S06: Cash-secured putES
The E-mini S&P 500 future, worth $50 a point; its options cover one ES contract.
Intermediate · I07: Is every option times 100?European style
An option that can only be exercised on its expiration date, so there is no early assignment.
Advanced · A14: How do index options differ?European-style
Another style of option with different rules on when it can be exercised.
Beginner · B13: What happens on expiry day, and should you sell or exercise?event step
The jump in total variance that one event day adds above the straight ramp of normal days.
Institutional · N14: Pricing an event: earnings, FOMC and CPI against base volatilityevent variance
The extra variance one day, such as earnings, carries above a normal day, pulled out of two expiries that both hold it.
Institutional · N04: Forward volatility and event premia between two expiriesex-dividend date
The date before which you must own the shares to get the dividend.
Beginner · B17: What happens if you're assigned, including early?exercise
Using the right in an option, so a call buys, or a put sells, the shares at the strike price.
Beginner · B13: What happens on expiry day, and should you sell or exercise?exercise cut-off
The latest time after the close that a holder can choose to exercise, which differs by broker and product.
Institutional · N10: Pin risk, assignment and weekend gammaexpected move
A rough guide to the size of move an option price assumes, read from the at-the-money call and put added together.
Intermediate · I05: How do earnings change option prices?expiry
The last day an option exists; after it, the option is gone.
Intermediate · I03: Which expiry should you choose?expiry date
The last day an option is good for; after that it is finished.
Beginner · B01: What is an option?Extrinsic value
Another name for time value, the part of an option's price above what it is already worth.
Strategy Lab · S16: ZEBRA (zero extrinsic back ratio)F
face value
The amount a loan such as a Treasury note pays back at the end.
Intermediate · I07: Is every option times 100?far put
A put with a strike well below today's price, often bought as insurance against a fall.
Advanced · A03: Why don't all strikes have the same volatility?FINRA
The US body whose published rules shape strategy-based and portfolio margin for brokers.
Institutional · N20: Portfolio margin, Reg-T and SPAN: capital per unit of edgeFlat bottom
The stretch between a strangle's two strikes where the last-day result is the same full loss of what you paid.
Strategy Lab · S22: Long strangleFlat top
The range of prices, here $95 to $105, where a long condor makes the same most-it-can-make result on the last day.
Strategy Lab · S37: Long condorflatten
When the skew's tilt shrinks, so puts lose volatility compared with calls.
Institutional · N03: Trading skew on its own: risk reversalsflip level
The index level where estimated dealer gamma crosses from short to long.
Institutional · N11: Dealer gamma: who damps the move and who amplifies it?floor
The worst result a protected position can reach, set by the put's strike.
Intermediate · I16: CollarFOMC
The Federal Reserve committee that sets US interest rates, whose scheduled announcements are market events.
Institutional · N14: Pricing an event: earnings, FOMC and CPI against base volatilityforward volatility
The volatility priced today for a stretch of days that starts later, found by taking a short expiry's block out of a longer one.
Institutional · N04: Forward volatility and event premia between two expiriesfull revaluation
Pricing every option in the book again at the new price and volatility instead of using the Greeks' estimate.
Institutional · N18: Spot-vol grids and stress testsfutures contract
A deal made today to buy or sell something on a later date at a price fixed now.
Intermediate · I07: Is every option times 100?G
gamma
How fast delta changes as the stock moves; it grows sharply near expiry around the strike.
Intermediate · I01: What do the Greeks actually measure?gamma curve
Gamma drawn across the price, here as the shares the hedge must change for each $1 move.
Institutional · N23: Speed, zomma and color: when gamma itself movesgamma exposure (GEX)
The estimated dollars of the index that dealers would trade for each 1% move, built from open interest and an assumption.
Institutional · N11: Dealer gamma: who damps the move and who amplifies it?gamma scalping
Owning gamma, hedging delta every evening and letting each re-hedge sell into rises and buy into falls.
Institutional · N06: Gamma scalping: how does a long-gamma book get paid?gamma spike
The sharp peak of a near-expiry option's gamma at its strike, with flat sides away from it.
Institutional · N12: What does same-day (0DTE) flow do to the index?gap
A jump in price between one close and the next open, with no trading in between.
Advanced · A13: What happens in a crash?Gap up
A jump in a stock's price overnight, for example on a surprise result or takeover offer, before you can act.
Strategy Lab · S03: Short callH
hedge
A position held to reduce the loss on other positions, such as bought puts under sold ones.
Advanced · A13: What happens in a crash?hedge band
A rule to re-hedge only when the shares you need leave a set range around your hedge, such as 5 delta.
Institutional · N09: How often should you hedge?hedging error
The money made or lost between re-hedges, when the shares held drift away from the shares the hedge needs.
Institutional · N09: How often should you hedge?historical shock replay
Applying a real dated move in the index and the VIX to a book as if it happened in one day.
Institutional · N18: Spot-vol grids and stress testsI
implied against realized
The comparison between the volatility an option's price assumed and the volatility that actually came.
Advanced · A09: How far must it move to pay for theta?implied correlation
How much an index's option price says its stocks will move together, read from index and member prices.
Institutional · N15: Dispersion and correlation tradingimplied move
The typical daily move built into an option's price, about $1.57 a day for XYZ at 30% volatility.
Institutional · N06: Gamma scalping: how does a long-gamma book get paid?implied volatility
The swing size an option's price assumes; an estimate, not a promise.
Beginner · B11: What does volatility do to the price?implied volatility percentile
The share of the past year's days on which implied volatility was lower than today.
Intermediate · I04: When is an option expensive?implied volatility rank
How far today's implied volatility sits between its lowest and highest of the past year, as a percentage.
Intermediate · I04: When is an option expensive?in the money
An option that is worth something if used now: a call with the stock above the strike, or a put with the stock below it.
Beginner · B09: What are you actually paying for?in-sample
The part of past data a rule is built and tuned on.
Advanced · A17: How do you test a strategy honestly?index
One number that tracks a whole basket of companies, such as the S&P 500.
Intermediate · I07: Is every option times 100?index point
A one-unit move in an index, such as from 6,000 to 6,001.
Intermediate · I07: Is every option times 100?index puts
Puts on an index such as SPX or XSP used to protect shares, which only work if the shares follow the index.
Advanced · A24: Hedging a portfolio against a crashintrinsic value
The part of an option's price you could collect right now by using it.
Beginner · B09: What are you actually paying for?iron butterfly
A put and a call sold at the same strike, with a bought wing on each side, paid most if the stock ends right at that strike.
Advanced · A19: Iron butterflyiron condor
A bull put credit spread and a bear call credit spread sold together, paid for the stock staying inside a range.
Advanced · A18: Iron condorJ
Jade lizard
A sold put below the price plus a sold call spread above it, collecting more than the call spread is wide so a rise can't lose.
Strategy Lab · S46: Jade lizardJade lizard rule
The credit collected must be larger than the width of the call spread, which removes the risk on the way up.
Strategy Lab · S46: Jade lizardL
Ladder butterfly
Another name for the Christmas tree butterfly.
Strategy Lab · S39: Christmas tree butterflylast-day line
The line on a payoff graph that shows your result on the option's last day, also called the expiry line.
Advanced · A01: What does the shape of a payoff graph tell you?leg
One of the options that together make up a spread or other combined trade.
Intermediate · I08: What is a vertical spread?legging
Trading the legs of a spread one at a time, which leaves a direction bet open between fills.
Institutional · N13: Execution: complex orders, auctions and RFQsLeland's idea
Economist Hayne Leland's point that paying trading costs on every hedge works as if you were hedging at a higher volatility.
Institutional · N09: How often should you hedge?limit order
An order that sets the most you will pay or the least you will accept, and may not fill.
Intermediate · I06: Can you trade this option at a fair price?local volatility
A model whose rule of thumb near the money is that every strike's volatility rises by the slope of the skew as the index falls, so the whole line lifts.
Institutional · N02: How does the whole surface move when the market moves?locked-in loss
A loss you keep because the trade was closed, even if prices later recover.
Advanced · A05: You sold an option, then the curve flipped: what happens?locking in a loss
Turning a loss on paper into a real one, for example when shares bought at $95 are called away at $75.
Beginner · B25: The wheel: what happens when it goes wrong? (strategy)long
Having bought something and holding it, so a long call is a call you bought.
Beginner · B19: Long call (strategy)long call
A call you bought and hold, used when you expect a stock to rise soon and want a fixed maximum loss.
Beginner · B19: Long call (strategy)Long call butterfly
Buying one call below the price, selling two at the price and buying one above it, to pay a small amount for a bet the stock ends near the middle strike.
Strategy Lab · S33: Long call butterflyLong combo
Another name for the risk reversal: sell an out-of-the-money put and buy an out-of-the-money call.
Strategy Lab · S49: Risk reversalLong condor
A four-call trade that buys a low call, sells two calls a little below and above the price, and buys a high call, paying up front for a wide flat top.
Strategy Lab · S37: Long condorlong gamma
Holding options so that the position gains from moves in either direction once delta is hedged.
Institutional · N06: Gamma scalping: how does a long-gamma book get paid?Long guts
You buy a call with a strike below the price and a put with a strike above it, so both start in the money, betting on a big move either way.
Strategy Lab · S27: Long gutslong put
A put you bought and hold, used when you expect a stock to fall soon and want a fixed maximum loss.
Beginner · B20: Long put (strategy)Long put butterfly
Buying one put above the price, selling two at the price and buying one below it, to pay a small amount for a bet the stock ends near the middle strike.
Strategy Lab · S34: Long put butterflylong straddle
Buying a call and a put at the same strike and expiry, to profit from a big move either way.
Intermediate · I18: Long straddle and stranglelong strangle
Buying an out-of-the-money put and an out-of-the-money call with the same expiry; cheaper than a straddle but needs a bigger move.
Intermediate · I18: Long straddle and stranglelook-ahead bias
Using information in a test that was not known at the time of the decision.
Advanced · A17: How do you test a strategy honestly?Lopsided V
A last-day line where one arm climbs twice as fast as the other, because one side has two options.
Strategy Lab · S25: Straploss limit
A loss, set before the trade, at which you close it; a price can jump past it.
Intermediate · I11: When do you close, roll or hold?M
mandate
The rules a desk must run by, such as a target return and a maximum loss.
Institutional · N22: Desk case: building and running a hedged bookmargin
Money your broker holds against what a sold position could lose.
Intermediate · I10: What is margin, and what can it do to you?margin call
A broker's demand to add cash or close positions when the cushion runs out; the broker can close them for you.
Intermediate · I10: What is margin, and what can it do to you?market maker
A firm that quotes a bid and an ask price all day and hedges the options it ends up holding.
Advanced · A08: What is delta hedging?market order
An order that trades straight away at whatever the current price is, the ask when buying.
Intermediate · I06: Can you trade this option at a fair price?Married put
A protective put bought at the same time as the shares: the same trade with the same shape.
Strategy Lab · S07: Protective or married putmaximum gain
The most a trade can make; on a vertical spread it plus the maximum loss equals the strike gap.
Intermediate · I09: Debit or credit spread?maximum loss
The most a trade can lose; for an option you buy, it is the premium you paid.
Beginner · B07: What does a call's graph tell you?maximum profit
The most a trade can make; for a bought put it is the strike minus the premium, times 100, because a stock can't fall below zero.
Beginner · B08: What does a put's graph tell you?MES
The Micro E-mini S&P 500 future, worth $5 a point, one tenth of ES.
Intermediate · I07: Is every option times 100?mid
The halfway point between the bid and the ask.
Intermediate · I06: Can you trade this option at a fair price?mixing picture
Drawing each stock as an arrow of weight times volatility, with correlation setting the angle, so the index is the arrow from start to end.
Institutional · N15: Dispersion and correlation tradingModel estimate
A value worked out by the pricing model, such as a calendar's day-30 result, that changes when volatility changes.
Strategy Lab · S52: Call calendarmultiplier
The number you multiply an option's price by to get what one contract really costs.
Intermediate · I07: Is every option times 100?N
natural price
The spread's price built from its legs by paying each leg's ask and selling at each leg's bid.
Institutional · N13: Execution: complex orders, auctions and RFQsnet buying price
The strike price minus the premium you received, if you're made to buy the shares from a sold put.
Beginner · B23: Cash-secured put (strategy)net credit
When a pair of trades brings cash in overall.
Beginner · B18: When do you close or roll a sold option?net debit
When a pair of trades sends cash out overall.
Beginner · B18: When do you close or roll a sold option?net Greeks
The Greeks of every position added together, giving one delta, gamma, theta and vega for the book.
Advanced · A10: How do you read a whole portfolio's risk?O
open interest
How many contracts have been opened and not yet closed.
Intermediate · I06: Can you trade this option at a fair price?option
A contract that gives you the right, but not the duty, to buy or sell something at a set price, up to a set date.
Beginner · B01: What is an option?option chain
The table of all option prices on one stock, sorted by expiry date and strike, with calls on one side and puts on the other.
Beginner · B06: How do you read an option chain?out of the money
An option that would get you nothing if used now, so all of its price is time value.
Beginner · B09: What are you actually paying for?out-of-sample
Past data locked away and used only once, to test a finished rule.
Advanced · A17: How do you test a strategy honestly?overfitting
Tuning a rule to luck in past data, so it looks strong but does not repeat.
Advanced · A17: How do you test a strategy honestly?P
payment for order flow
Money some market makers pay brokers for sending them customer orders.
Advanced · A15: How do market makers and dealers change the picture?Peak
The single highest point of a tent-shaped last-day line, where the trade makes the most.
Strategy Lab · S30: Iron butterflypin risk
The risk that the price closes right near the strike at expiry, leaving you unsure whether you will be assigned.
Institutional · N10: Pin risk, assignment and weekend gammaPit
The flat low middle of a last-day line, where a trade that bets on a move loses all it paid.
Strategy Lab · S31: Reverse iron condorPM settlement
Settlement from the closing prices on expiration day, with trading allowed until then.
Advanced · A14: How do index options differ?poor man's covered call
A diagonal that uses a deep in-the-money call in place of 100 shares under a sold call.
Advanced · A21: Diagonal spreadportfolio margin
A risk-based method that prices the whole book at a set of price moves and takes the worst loss as the margin.
Institutional · N20: Portfolio margin, Reg-T and SPAN: capital per unit of edgeposition sizing
Choosing how much of your account to put at risk on one trade.
Beginner · B14: How much should you risk?premium
What you pay for an option, which you don't get back, and the most you can lose when you buy one.
Beginner · B01: What is an option?present value
What money paid later is worth today, a little less because cash today can earn interest meanwhile.
Institutional · N17: Put-call parity, boxes and financingprice improvement auction
A short timed auction where other firms can answer an order with a better price than its limit.
Institutional · N13: Execution: complex orders, auctions and RFQspriced move
The size of move the options imply for an event, the square root of that event day's variance.
Institutional · N04: Forward volatility and event premia between two expiriespricing model
A formula that estimates an option's price; its numbers are estimates, not market prices.
Beginner · B12: How do you read a risk matrix?profit and loss graph
A picture with the stock price on the last day along the bottom and your profit or loss up the side.
Beginner · B07: What does a call's graph tell you?Protective call
Shorting 100 shares and buying a call, which puts a ceiling on the loss if the stock rises until the call expires.
Strategy Lab · S09: Protective callprotective put
Owning shares and buying a put on those same shares to put a floor under the loss.
Beginner · B21: Protective put (strategy)put
The right to sell something at a set price, up to a set date; it gains as the stock falls.
Beginner · B04: What is a put?Put backspread
Sell one put and buy two puts at a lower strike, here collecting a small credit: a bet on a crash with a valley at the lower strike.
Strategy Lab · S43: Put backspreadPut calendar
Selling a put that ends soon and buying the same-strike put that ends later; it wants the stock to sit still, not fall.
Strategy Lab · S53: Put calendarPut option
The right to sell 100 shares at the strike price any time before the option expires.
Strategy Lab · S02: Long putPut ratio spread
Buy one put and sell two puts at a lower strike: a cheap bet on a small dip that loses deeply in a crash.
Strategy Lab · S41: Put ratio spreadput spread
Buying one put and selling a cheaper one further down, which caps both the cost and the payout at a floor.
Institutional · N19: Tail hedging and a convexity budgetput-call parity
The rule that a call minus a put at one strike equals the stock minus the strike's value today, less expected dividends.
Institutional · N17: Put-call parity, boxes and financingR
ratio spread
Buying one option and selling two further out, so one sold option is uncovered.
Advanced · A23: Ratio spreads and backspreadsraw vega
Vega added up as if every expiry's volatility moved by the same number of points.
Advanced · A11: Weighted vega: why raw vega liesre-hedge
Trading shares to bring the position's delta back to zero after the price moves.
Institutional · N06: Gamma scalping: how does a long-gamma book get paid?realized volatility
How much a stock actually moved, measured from its daily moves as a yearly percentage.
Intermediate · I04: When is an option expensive?rebalancing
Resetting a delta hedge by buying or selling shares as the option's delta changes.
Advanced · A08: What is delta hedging?relative value
Comparing one market's price with another's, or with its own history, to find which is dear and which is cheap.
Institutional · N16: Cross-asset volatility: relative value between marketsrequest for quote (RFQ)
Sending a spread's details to market makers so they answer with a bid and an ask.
Institutional · N13: Execution: complex orders, auctions and RFQsreversal
The mirror of a conversion: short the shares, sell the put and buy the call, which works as borrowing.
Institutional · N17: Put-call parity, boxes and financingReverse iron butterfly
Buying a put and a call at the same strike right at the price and selling a cheaper put and call on either side, to pay a fixed amount for a bet the stock leaves that strike.
Strategy Lab · S32: Reverse iron butterflyReverse iron condor
Buying a put below the price and a call above it, and selling cheaper ones further out, to pay a fixed amount for a bet on a big move either way.
Strategy Lab · S31: Reverse iron condorReverse jade lizard
A sold call above the price plus a sold put spread below it, collecting more than the put spread is wide so a fall can't lose.
Strategy Lab · S47: Reverse jade lizardrich
When an option or event is priced for a bigger move than the yardstick, measured the same way, suggests.
Institutional · N14: Pricing an event: earnings, FOMC and CPI against base volatilityright, not a duty
The buyer of an option can use it or leave it, while the seller must follow through if asked.
Beginner · B01: What is an option?risk matrix
A grid of your profit or loss with days left down the side and the stock price across the top.
Beginner · B12: How do you read a risk matrix?risk per trade
The share of your account put at risk on one trade.
Advanced · A16: How do you size risk across many trades?Risk reversal
A sold put below the price paired with a bought call above it, which gains like shares above the call and loses like shares below the put.
Strategy Lab · S49: Risk reversalRisk to reward
How much a trade can lose compared with how much it can make, such as $387 to make $113.
Strategy Lab · S32: Reverse iron butterflyroll
Selling a new near-dated option against the same bought option once the old one has ended or been closed.
Advanced · A21: Diagonal spreadroll-down
The slide of a future priced above the VIX down to meet it by expiry.
Institutional · N24: What does it cost to hold VIX futures?rolling
Buying back an old option and selling a new one with a later date, a new strike, or both.
Beginner · B18: When do you close or roll a sold option?root mean square
Square each past move, average the squares and take the square root, so past moves are measured the same way as variance.
Institutional · N04: Forward volatility and event premia between two expiriesround trip
Buying and then selling the same option; with no move in the stock it costs you the spread.
Beginner · B05: What does one contract actually cost?ruin
Losing so much that you cannot come back.
Advanced · A16: How do you size risk across many trades?Rule 606
An SEC rule under which brokers publish reports on where they send options orders and what they are paid for them.
Advanced · A15: How do market makers and dealers change the picture?S
Same strike
When the call and the put you sell share one strike price, here $100.
Strategy Lab · S13: Covered straddleSeagull
In this lesson, a bull call spread paid for by selling a put below the price; the name is also used for other three-option builds, such as the bearish mirror.
Strategy Lab · S48: Seagullselling an option
Starting a trade by taking the premium up front, in return for the duty to deliver if the buyer asks.
Beginner · B15: What happens when you sell an option?selling short
Selling shares you borrowed, so you gain when the price falls and lose when it rises.
Advanced · A08: What is delta hedging?share
A slice of a company that you own, with no end date while the company lasts.
Beginner · B02: What's the difference between an option and a stock?shareholder vote
The say that share owners usually get on big company decisions, such as who sits on the board.
Beginner · B02: What's the difference between an option and a stock?Short butterfly
Selling one call below the price, buying two at the price and selling one above it, to be paid up front for a bet the stock will not end at the middle strike.
Strategy Lab · S35: Short butterflyShort calendar
Buying a call that ends soon and selling the same-strike call that ends later, which collects cash and wants a big move either way.
Strategy Lab · S54: Short calendarShort call
Selling a call option, collecting the premium now in return for having to sell 100 shares at the strike if asked.
Strategy Lab · S03: Short callShort condor
A long condor sold instead of bought, collecting money up front to bet that the stock breaks out of a band in either direction.
Strategy Lab · S38: Short condorshort gamma
The position of someone who sold options, who loses a little whenever the stock moves.
Advanced · A15: How do market makers and dealers change the picture?Short guts
Selling a call with a strike below the stock price and a put with a strike above it, so both start in the money, to bet the stock sits still.
Strategy Lab · S28: Short gutsShort put
Selling a put option, collecting the premium now in return for having to buy 100 shares at the strike if asked.
Strategy Lab · S04: Short putShort sale
Selling shares you have borrowed, which gains as the price falls and loses without limit as it rises.
Strategy Lab · S51: Synthetic short stockShort shares
Owing shares you do not own, which can happen when a call you sold is exercised against you and your own calls expire.
Strategy Lab · S35: Short butterflyshort straddle
Selling a call and a put at the same strike, paid if the stock sits still, with no limit to the loss on the upside.
Advanced · A22: Short straddle and strangle (uncovered selling)short strangle
Selling a call and a put at different strikes further out, collecting less than a straddle with the same open sides.
Advanced · A22: Short straddle and strangle (uncovered selling)Shorting
Borrowing shares, selling them, and hoping to buy them back cheaper later.
Strategy Lab · S02: Long putskew
The tilt of implied volatility across strikes, one volatility for each strike, usually rising toward the far puts.
Advanced · A03: Why don't all strikes have the same volatility?skew scenario
A stress test where far strikes' volatility rises more than near ones, which a flat grid misses.
Institutional · N18: Spot-vol grids and stress testsSkipped strike
A strike left out of a build, here $100, which makes one spread twice as wide as the other.
Strategy Lab · S39: Christmas tree butterflyslippage
The gap between your fill and the mid price when you decided to trade.
Institutional · N13: Execution: complex orders, auctions and RFQsslope
How steep the payoff line is step by step; one contract changes it by $100 for each $1 the stock moves.
Advanced · A01: What does the shape of a payoff graph tell you?sold wings
A book that has sold out-of-the-money puts and calls on both sides of the price.
Institutional · N08: Vanna, volga and charm in a real bookSPAN
The method used for futures options that prices a book in exchange-set scenarios of price and volatility moving together.
Institutional · N20: Portfolio margin, Reg-T and SPAN: capital per unit of edgespecial opening quotation
Cboe's single number built from each index stock's first trade on Friday morning, used to settle AM options.
Advanced · A14: How do index options differ?speed
How much gamma changes for each dollar the price moves, the slope of the gamma curve.
Institutional · N23: Speed, zomma and color: when gamma itself movesspot-vol grid
A table that prices every option in a book again at each pair of price move and volatility move.
Institutional · N18: Spot-vol grids and stress testsspread
The gap between the bid and the ask, which costs you money from the moment you buy.
Beginner · B05: What does one contract actually cost?SPX
Options on the S&P 500 index, worth $100 for each point of option price.
Intermediate · I07: Is every option times 100?square-root effect
The distance a stock can wander grows with the square root of time, so four times the time gives about twice the option price.
Beginner · B10: Why do you lose money when nothing moves?squeeze
When long-gamma hedging leans against moves and pulls the price toward the strike into the close.
Institutional · N12: What does same-day (0DTE) flow do to the index?steepen
When the skew's tilt grows, so puts gain volatility compared with calls.
Institutional · N03: Trading skew on its own: risk reversalssticky delta
A model where the whole skew line slides with the index, so options the same distance away keep their volatility.
Advanced · A12: How does skew move in a sell-off?sticky strike
A model where each strike keeps its volatility as the index moves, so the skew line stays still.
Advanced · A12: How does skew move in a sell-off?stock
The general word for the shares of a company; owning stock means owning part of the company.
Beginner · B02: What's the difference between an option and a stock?Stock repair
Adding one bought call and two sold calls at a higher strike to shares that have fallen, for about nothing, to bring the break-even down.
Strategy Lab · S14: Stock repairstock replacement
Using a deep in-the-money call to stand in for 100 shares.
Intermediate · I17: Deep in-the-money call as a stock replacementstraddle
One call and one put at the same strike and expiry.
Institutional · N06: Gamma scalping: how does a long-gamma book get paid?strangle
A put below and a call above the price, both sold or both bought, in the same expiry.
Institutional · N18: Spot-vol grids and stress testsStrap
A long straddle with an extra call, two calls and one put at the same strike, betting on a big move that leans up.
Strategy Lab · S25: Strapstrategy-based margin (Reg-T)
A method that works out each position's margin on its own with a fixed formula, giving no credit for hedges.
Institutional · N20: Portfolio margin, Reg-T and SPAN: capital per unit of edgestress limit
The most the worst cell or scenario may lose, used to set how big a book can be.
Institutional · N18: Spot-vol grids and stress testsstress loss
What a position would lose in a chosen bad case, such as realized volatility at double the priced level, used to size it.
Institutional · N01: Implied against realized: where does the premium come from?stretch
When short-gamma hedging pushes moves further, so the day runs away from where the news alone would take it.
Institutional · N12: What does same-day (0DTE) flow do to the index?strike
The price at which an option lets you buy (a call) or sell (a put) the stock.
Intermediate · I02: Which strike should you choose?strike price
The locked price in an option at which you can buy or sell.
Beginner · B01: What is an option?Strike width
The gap between the two strikes of a spread, times 100 shares, which sets the most the spread can be worth: $500 here.
Strategy Lab · S17: Bull call spreadstrip
A set of out-of-the-money puts and calls at every strike, each weighted by one over the strike squared, that together build a variance swap.
Institutional · N05: Variance and volatility swapsstrip of forwards
The forward volatilities for each stretch between expiries, laid out as a step line.
Institutional · N04: Forward volatility and event premia between two expiriessurvivorship bias
Testing only on what still exists today, which leaves out the losers that dropped off.
Advanced · A17: How do you test a strategy honestly?Synthetic long stock
A bought call and a sold put at the same strike and expiry, which together move like 100 shares.
Strategy Lab · S50: Synthetic long stockSynthetic short stock
A sold call and a bought put at the same strike and expiry, which together move like 100 shares sold short.
Strategy Lab · S51: Synthetic short stockT
T plus zero line
The blue line on the chart showing your result today, if you closed the trade right now.
Strategy Lab · S01: Long callT+0 line
The line that shows your result today, where T is time and zero means no days have passed.
Advanced · A02: What is the T+0 line, and what does volatility do to it?tail
The rare, far end of what can happen, such as a very large fall.
Institutional · N19: Tail hedging and a convexity budgettail hedge
Protection that pays when prices fall hard, bought to cut the loss in a crash.
Institutional · N19: Tail hedging and a convexity budgettake-profit level
A gain, set before the trade, at which you close it.
Intermediate · I11: When do you close, roll or hold?tent
The curved, peaked shape of a calendar or short straddle on its key date.
Advanced · A20: Calendar spreadterm structure
At-the-money implied volatility drawn across expiries, from near to far.
Institutional · N02: How does the whole surface move when the market moves?term-structure shock
A move in which near and far expiries' volatilities change by different amounts.
Institutional · N07: Vega bucketing by strike and expirythe wheel
A cycle that joins a cash-secured put and a covered call: sell puts until assigned, then sell calls until the shares are called away, then start again.
Beginner · B24: The wheel: how does it work? (strategy)theta
How much an option loses in one day with nothing else changing.
Intermediate · I01: What do the Greeks actually measure?time decay
Time value draining out of an option as the days pass, even when the stock doesn't move.
Beginner · B10: Why do you lose money when nothing moves?time value
The rest of an option's price, paid for the chance things get better before the end, and gone by the last day.
Beginner · B09: What are you actually paying for?total variance
Volatility squared times the days covered, drawn as a block as wide as the days and as tall as the volatility squared.
Institutional · N04: Forward volatility and event premia between two expiriesTrading costs
The costs of buying and selling each option, which add up when a trade has four options.
Strategy Lab · S33: Long call butterflytroy ounce
The weight used for gold, a little over 31 grams.
Intermediate · I07: Is every option times 100?twin builds
Two different sets of options that draw the same last-day shape, told apart by whether you paid or collected at the start.
Advanced · A01: What does the shape of a payoff graph tell you?typical miss
One standard deviation of the hedged result across many paths, the usual size of the hedging error either way.
Institutional · N09: How often should you hedge?U
ultima
How much volga changes when volatility moves.
Institutional · N23: Speed, zomma and color: when gamma itself movesUncovered (naked) call
A call sold with no shares behind it, so the loss has no limit if the stock rises.
Strategy Lab · S03: Short calluncovered (naked) selling
Selling options with no shares, cash or bought options set aside to cover them, so the broker holds margin.
Advanced · A22: Short straddle and strangle (uncovered selling)Uncovered call
A sold call with no bought call or shares behind it, so its loss on a big rise has no limit.
Strategy Lab · S40: Call ratio spreadUncovered put
A sold put that the shares you own do not cover, so assignment means buying 100 more shares with extra cash.
Strategy Lab · S12: Covered strangleUncovered selling
Selling options without owning the shares or setting the cash aside to back them, so your broker holds margin.
Strategy Lab · S23: Short straddleUneven wings
Wings set at different distances from the middle strike, here $5 above and $15 below.
Strategy Lab · S36: Broken-wing butterflyV
Valley
The dip in a backspread's last-day line, deepest at the bought strike, where a small move loses the most.
Strategy Lab · S42: Call backspreadvanna
How much an option's delta changes when volatility moves.
Institutional · N08: Vanna, volga and charm in a real bookvariance
Volatility multiplied by itself, which a desk draws as a square, so 30% volatility is a variance of 900.
Institutional · N01: Implied against realized: where does the premium come from?variance gap
Implied variance minus the variance that came, which is roughly what a hedged option seller keeps or pays.
Institutional · N01: Implied against realized: where does the premium come from?variance points
Volatility squared, so a strike of 20 is 400 variance points.
Institutional · N05: Variance and volatility swapsvariance strike
The fixed level a variance swap is agreed at, quoted in volatility terms.
Institutional · N05: Variance and volatility swapsvariance swap
A contract that pays realized variance minus a fixed strike agreed at the start, in one payment at the end.
Institutional · N05: Variance and volatility swapsvega
How much an option's price moves when implied volatility changes by one point.
Intermediate · I01: What do the Greeks actually measure?vega bucket
The vega of the options in one group, such as one expiry or one strike area, counted separately from the rest.
Institutional · N07: Vega bucketing by strike and expiryvega grid
A table of vega buckets with expiries down the side and strikes across the top, named by delta.
Institutional · N07: Vega bucketing by strike and expiryvega matching
Sizing two legs so each side carries the same vega, so a move in both markets together mostly cancels.
Institutional · N16: Cross-asset volatility: relative value between marketsvertical spread
Two options of the same kind and expiry, one bought and one sold, at different strikes.
Intermediate · I08: What is a vertical spread?veta
How much vega changes as one day passes.
Institutional · N23: Speed, zomma and color: when gamma itself movesVIX
A number Cboe works out from SPX option prices, showing the volatility they imply for the next 30 days.
Advanced · A04: Why do different expiries price differently? Contango and backwardationVIX call
A call option on the VIX that gains when the VIX rises, paying on volatility itself rather than on a price.
Institutional · N19: Tail hedging and a convexity budgetVIX future
A price agreed today for what the VIX will be on a later date.
Advanced · A04: Why do different expiries price differently? Contango and backwardationVIX futures
A separate market betting on where the VIX will be on a future date.
Institutional · N16: Cross-asset volatility: relative value between marketsVIX3M
Cboe's VIX measured for the next three months.
Institutional · N24: What does it cost to hold VIX futures?volatility
The size of the swings a stock is expected to make, written as a yearly percentage, saying how far but not which way.
Beginner · B11: What does volatility do to the price?volatility crush
The sudden fall in implied volatility right after news such as earnings, because the big unknown is gone.
Intermediate · I05: How do earnings change option prices?volatility curve across expiries
A line of implied volatility for each expiry date, read from the nearest date to the furthest.
Advanced · A04: Why do different expiries price differently? Contango and backwardationvolatility gap
One market's implied volatility minus another's, judged against that gap's own history.
Institutional · N16: Cross-asset volatility: relative value between marketsvolatility level jump
A rise in implied volatility at every strike at once, as seen in real sell-offs.
Advanced · A12: How does skew move in a sell-off?volatility risk premium
The gap by which implied volatility sits above the volatility that actually came, on average, paid to sellers for carrying crash risk.
Advanced · A06: What is the volatility risk premium?volatility surface
Implied volatility drawn for every strike and every expiry at once, with strike across, expiry going back and volatility as the height.
Institutional · N02: How does the whole surface move when the market moves?volatility swap
A contract that pays realized volatility minus its strike, with no squaring.
Institutional · N05: Variance and volatility swapsvolga
How much an option's vega changes when volatility moves, which makes losses on sold wings speed up in a spike.
Institutional · N08: Vanna, volga and charm in a real bookvolume
How many contracts traded today; it starts again from zero each morning.
Intermediate · I06: Can you trade this option at a fair price?W
weekend gamma
The risk of carrying a short option's gamma over a weekend, when the whole move arrives at once with no chance to re-hedge.
Institutional · N10: Pin risk, assignment and weekend gammaweighted vega
Vega multiplied by the square root of 30 over the days left, so expiries are compared on the same footing.
Advanced · A11: Weighted vega: why raw vega lieswing
An option away from the money on one side, such as the 25 delta put or the 25 delta call.
Institutional · N03: Trading skew on its own: risk reversalswings
The bought options on the outside of a condor or butterfly that put a floor under the loss.
Advanced · A18: Iron condorworst stretch
The biggest fall from a high on the way through a test, which an honest result must show.
Advanced · A17: How do you test a strategy honestly?worst-day sizing
Sizing the whole book so that a chosen crash day costs no more than a set share of the account.
Advanced · A16: How do you size risk across many trades?X
XSP
The Mini-SPX, tracking one tenth of the S&P 500, still worth $100 a point.
Intermediate · I07: Is every option times 100?Y
yardstick
The standard a volatility is measured against, such as its own realized volatility or the history of a gap between two markets.
Institutional · N16: Cross-asset volatility: relative value between marketsZ
ZEBRA
Zero extrinsic back ratio: buying two in-the-money calls and selling one at the current price so the time values nearly cancel.
Strategy Lab · S16: ZEBRA (zero extrinsic back ratio)zero-cost collar
A collar where the call pays about what the put costs, so no cash changes hands, though you give up the rise above the ceiling.
Intermediate · I16: Collarzomma
How much gamma changes when volatility moves one point, flattening the humps as volatility rises.
Institutional · N23: Speed, zomma and color: when gamma itself moves