Volume-Weighted Average Price (VWAP)
The true benchmark price of a security throughout the trading day, weighted by total volume executed at each level.
Institutional trading desks, pension funds, and algorithmic execution algorithms use VWAP to evaluate trade quality. Buying below VWAP represents institutional discount, while buying far above VWAP risks mean reversion.
CBA Rule: Never initiate momentum breakout longs when price is extended more than 2 standard deviations above intraday VWAP.
VWAP = ∑(Price × Volume) ÷ ∑Volume
Delta (Options Greek)
The expected dollar price change of an options contract per $1.00 move in the underlying security.
Delta also functions as a rough proxy for the probability that an options contract will expire in-the-money. Call options possess positive delta (0.0 to 1.0), while put options possess negative delta (0.0 to -1.0).
Theta (Time Decay)
The rate at which an option contract's premium decays with the passage of each calendar day.
Theta accelerates exponentially in the final 30 days prior to expiration. Option buyers suffer from negative theta, while option sellers profit from time erosion.
CBA Rule: When buying directional options, select contracts with at least 45–60 days to expiration to mitigate theta decay drag.
Gamma (Options Greek)
The rate of change in an option's Delta for every $1.00 move in the underlying asset.
High gamma creates rapid delta acceleration, meaning near-the-money options experience explosive price percentage gains or losses as the underlying price moves.
Implied Volatility (IV) & IV Crush
The market's forward-looking estimate of the underlying stock's volatility over the life of the option.
When major events (e.g. corporate earnings) approach, IV expands, inflating options premiums. Once the event passes, IV collapses instantly ('IV Crush'), causing options buyers to lose capital even if they guessed the direction correctly.
CBA Rule: Avoid buying unhedged options when IV Rank is above the 75th percentile to protect from catastrophic IV crush.
Dark Pools & Off-Exchange Volume
Private institutional electronic trading venues that do not publish bid/ask order quotes to the public tape.
Allows institutional asset managers to execute million-share block trades without causing immediate market panic or adverse price movement on lit public exchanges.
Quantitative Portfolio Diversification
Allocating capital across uncorrelated asset classes to minimize unsystematic portfolio variance.
True diversification is not holding 10 different technology stocks; it is allocating capital across equities, digital assets, sovereign treasury cash reserves, and gold with low or negative correlation coefficients.
S&P 500 Index (SPX / SPY)
The premier benchmark index tracking the market capitalization of the 500 largest publicly traded US companies.
Functions as the bellwether of global equity risk sentiment. Market makers, sovereign wealth funds, and CTA algorithms key execution bias off S&P 500 liquidity levels and ES mini futures volume.