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ALPHA TIER HISTORICAL

Historical VEX Data API

Query vanna exposure by strike at any minute since April 2018. Vanna captures how dealer delta hedges shift when implied vol moves — critical for understanding flows around vol spikes and crushes. Same shape as live /v1/exposure/vex.

Coverage
2018-04-16 → 2026-04-02
Granularity
1 minute
Tier
Alpha+
Format
JSON (REST)

Endpoint

GET /v1/exposure/vex/{symbol}?at=...
Host: historical.flashalpha.com Auth: X-Api-Key Tier: Alpha
NameInRequiredDefaultDescription
symbolpathyes—Underlying symbol
atqueryyes—As-of timestamp (ET)
expirationquerynoallFilter to a single expiry
 
curl -H "X-Api-Key: YOUR_API_KEY" \
  "https://historical.flashalpha.com/v1/exposure/vex/SPY?at=2020-03-16T15:30:00"

Response

{
  "symbol": "SPY",
  "underlying_price": 246.01,
  "as_of": "2020-03-16T15:30:00",
  "payload": {
    "net_vex": 152461756844,
    "vex_interpretation": "Vol up = dealers buy delta — downside dampened if vol spikes",
    "strikes": [ { "strike": 240, "call_vex": 218110.4, "put_vex": -88210.0, "net_vex": 129900.4 } ]
  }
}

What This Unlocks

  • Decompose vol-spike flows — measure how much dealer rebalancing came from VEX vs DEX during VIX shocks.
  • Identify "vanna squeezes" in the historical record — periods when a vol crush forces large mechanical buying.
  • Stress-test vol exposure against real historical regime shifts.