Vanna Exposure (VEX) API

What Is Vanna Exposure?

Vanna exposure (VEX) measures how much dealer delta changes in response to a shift in implied volatility (dDelta/dVol). When IV drops (vol crush), positive vanna means dealers gain delta and must sell shares to hedge — creating a tailwind for prices. When IV rises, the reverse happens. VEX is critical around events like FOMC, earnings, and VIX expiration, where implied volatility can move sharply. The endpoint includes an interpretation field that summarizes the directional implication in plain English.

Common Use Cases

• Pre-event positioning — anticipate how an IV crush or spike after earnings/FOMC will trigger dealer hedging flows
• Vol regime analysis — positive VEX in a declining-vol environment is a bullish signal (dealers buying the underlying)
• VIX correlation trades — combine VEX with VIX levels to time entries around volatility mean-reversion
• Portfolio hedging timing — use VEX to gauge when vol-driven flows will push the underlying in your favor
• Multi-greek dashboards — pair VEX with GEX and CHEX for a complete picture of second-order dealer flows

When to Use This Endpoint

Use VEX when implied volatility is the key driver — before earnings, FOMC, or any scheduled vol event. For price-driven hedging flows, use GEX. For time-driven flows, use CHEX. The Summary endpoint returns all four exposures at once if you need the full picture without separate calls.

Endpoint

curl -H "X-Api-Key: YOUR_API_KEY" \
  "https://lab.flashalpha.com/v1/exposure/vex/SPY"

import requests

resp = requests.get(
    "https://lab.flashalpha.com/v1/exposure/vex/SPY",
    headers={"X-Api-Key": "YOUR_API_KEY"}
)
data = resp.json()
print(f"Net VEX: ${data['net_vex']:,.0f}")
print(f"Interpretation: {data['vex_interpretation']}")

const resp = await fetch(
  "https://lab.flashalpha.com/v1/exposure/vex/SPY",
  { headers: { "X-Api-Key": "YOUR_API_KEY" } }
);
const data = await resp.json();
console.log(`Net VEX: $${data.net_vex.toLocaleString()}`);
console.log(`Interpretation: ${data.vex_interpretation}`);

Response

{
  "symbol": "SPY",
  "underlying_price": 597.505,
  "as_of": "2026-02-28T16:30:45Z",
  "net_vex": 1200000000,
  "vex_interpretation": "Positive vanna — benefits from vol compression",
  "strikes": [
    {
      "strike": 575.0,
      "call_vex": 2300000,
      "put_vex": 1800000,
      "net_vex": 4100000
    }
  ]
}

Key Response Fields