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Documentation Index

Fetch the complete documentation index at: https://docs.backquant.com/llms.txt

Use this file to discover all available pages before exploring further.

The greek profile endpoints in v2 give you the dealer-aggregated greek exposure per strike for the four underlyings. Same idea as GEX but for the higher-order greeks that drive hedging flows the gamma profile alone misses.

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The five exposure profiles

GreekEndpointWhat dealer holdsWhat it drives
Delta (DEX)/v2/options/greeks/deltaNet directional exposure per strikeForced delta hedging in the underlying
Theta/v2/options/greeks/thetaTime-decay USD/day per strikeThe premium dealers earn passively
Vega/v2/options/greeks/vegaIV sensitivity per strikeP&L impact of vol moves
Vanna/v2/options/greeks/vanna∂Delta/∂IV per strikeDelta hedging adjustment when vol moves
Charm/v2/options/greeks/charm∂Delta/∂Time per strikeEOD / pre-expiry delta drift
All five share the same shape: 
{
  "greek": "vanna",
  "strikes": [60000, 62500, 65000, 67500, 70000, ...],
  "net_exposure": [-12000, -8000, 5000, 22000, 14000, ...],
  "call_exposure": [...],
  "put_exposure": [...],
  "total_exposure": 81000
}

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DEX — the workhorse

Net delta exposure tells you how much underlying dealers must hold right now to be neutral at each strike. Large positive DEX above spot = dealers long deltas there = they’ll sell into rallies. Large negative DEX below spot = they’re short = they’ll buy on dips. DEX is essentially the integral of GEX across price. Use both: GEX for “where will dealers turn the boat?”, DEX for “how big is their current position?”

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Vanna — the vol-rallies-the-tape effect

Vanna is dDelta/dVol. Positive vanna means: when IV rises, dealer delta increases (they need to buy underlying); when IV falls, dealer delta decreases (they sell). The classic “vol crush rallies the underlying” pattern is vanna in action. In crypto, vanna concentrates around 25Δ strikes (where vega is biggest). Watch for cliffs in the vanna profile near current spot — those are levels where a vol move triggers hedging flows that move price.

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Charm — the time-bleed delta drift

Charm is dDelta/dTime. As an option ages with no underlying move, its delta drifts (calls toward 0 or 1, puts toward 0 or -1). Dealers hedge that drift, which creates predictable end-of-day flows. Watch this in the last hour before close (especially before OPEX days) — large charm at strikes near spot means dealers will be adjusting deltas just from time passing, even if price doesn’t move.

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Vega — vol P&L geography

Where dealers will gain or lose if IV moves. Useful as a complement to the IV surface — high vega at a strike means a vol move there has outsized impact on the dealer book.

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Filtering the greek profiles

Each greek endpoint accepts:
  • ?exchanges=deribit,bybit,okx,binance — venue filter
  • ?moneyness_min=0.9&moneyness_max=1.1 — focus on ATM ±10%
  • ?dte_max=7 — recompute from raw chain limited to short-DTE contracts (cached 30s per (symbol, greek, dte_max) so repeated requests stay sub-millisecond)
The ?dte_max filter is particularly useful — the cached profiles span every expiry, but for intraday workflows you usually only care about 0DTE / weekly contributions.

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Surfaces — strike × time

Two endpoints expose the evolution of exposure over time: These are useful when you want to see where exposure is building over the day, not just the current snapshot.

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3D — strike × expiry for any greek

/v2/options/greeks/3d/surface?greek=gamma returns a Z matrix of Σ(greek × OI) per (strike, expiry) cell for any greek. Best for 3D visualisation; the matrix is downsampled around spot when the cell count exceeds 5000 to keep payload bounded.

What is GEX?

Gamma is the special case — start there before reading the higher order greeks.

Probability density

Vanna and charm shape how the implied PDF evolves.

OPEX calendar

Charm matters most pre-OPEX as time-decay flows accelerate.