Derivatives Trading Glossary
Twenty-five core concepts that show up on every modern volatility desk — written plainly, with formulas where they help and a worked example on every page. Written by the same desk that delivers the 180+ hour course.
These twenty-five terms are the day-to-day vocabulary of a derivatives desk. They're organised below by what they describe — the Greeks of an individual option, the structure of the volatility surface, the dealer-flow that drives intraday moves, the spreads that express the views, and the swaps that isolate vol from direction. Read them, internalise them, and then go see them traded live.
The Greeks
Sensitivities of an option's price to changes in spot, volatility, time and rates. The vocabulary of every derivatives desk.
Gamma
Second-order Greek — rate of change of delta. The engine behind every 0DTE squeeze.
Delta
First-order directional exposure. Also a market-implied probability of finishing ITM.
Vega
Sensitivity to implied volatility. The Greek that defines a vol book.
Theta
Time decay. The "rent" you pay to be long an option.
Vanna
Cross-Greek: delta sensitivity to vol. The engine of vanna-flow hedging.
Charm
Delta decay through time. Why options pin into expiration.
Volga
Vega convexity — the P&L of butterflies and the wings of a smile.
Rho
Interest rate sensitivity. Tiny on short equity, massive on LEAPS and FX.
Volatility
The price of uncertainty itself. Implied vs realised, the surface that connects them, and the slices that get traded.
Implied Volatility (IV)
The σ that reproduces an option's market price. The lingua franca of vol traders.
Realized Volatility
What the market actually delivered. The ex-post counterpart to IV.
Volatility Surface
The full 3D IV map across strike and expiry. The complete picture.
Vol Skew
Asymmetry of IV across strikes. The price of crash insurance.
Term Structure
IV across expiries. Contango in calm, backwardation in stress.
VIX
30-day forward-looking SPX vol index. Most quoted, most misunderstood.
Flow & Positioning
The hidden mechanical force behind intraday moves. Read the dealer book and you see the next hour before it happens.
Gamma Exposure (GEX)
Aggregate dealer gamma. Above the flip, range-bound. Below, violent breakouts.
Dealer Positioning
The aggregate options book of market-makers. The other side of every public trade.
Options Flow
Real-time tape of options trades, tagged by aggressor. The raw fuel of positioning models.
Put/Call Ratio
Simplest sentiment indicator. Useful when normalised, useless raw.
Open Interest
Total outstanding contracts. Where positions live, not where they're entered today.
Spreads & Strategies
How desks actually package directional, vol, skew and term-structure views into trades with defined Greeks.
Risk Reversal
Long OTM call / short OTM put (or reverse). The cleanest skew trade.
Butterfly
Three-strike convexity structure. Pure bet on smile shape and spot pinning.
Calendar Spread
Long-dated long, short-dated short. The canonical term-structure trade.
Dispersion Trading
Long single-name vol, short index vol. Trades the correlation risk premium.
Other
Pure-vol instruments and the structural patterns that define every real surface.
Stop reading definitions. Go see it traded live.
A glossary tells you what gamma is. The desk tells you what to do when gamma flips during a 0DTE squeeze at 14:55. The course shows it happening on a live book. The book lays out the framework end-to-end. The social channels give you a free preview of how the desk thinks.