New to vanna exposure? Vanna & Charm Guide explains how second-order Greeks drive dealer flows.

Works with CME index futures. Pass ES=F or NQ=F and URL-encode the = as %3D - e.g. /v1/exposure/vex/ES%3DF. Options-on-futures are priced with Black-76 using the CME multiplier ($50/pt ES, $20/pt NQ); CME index futures are Growth-tier. See the futures hub.

Endpoint

GET /v1/exposure/vex/{symbol}

Auth required (X-Api-Key) Rate Limited: Yes Basic+

Parameters

Name	In	Required	Default	Description
`symbol`	path	yes	-	Underlying symbol
`expiration`	query	no	`all`	Filter by expiry date `yyyy-MM-dd`, or `0dte` for same-day only

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}`);

API Key

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

Field	Type	Description
`symbol`	string	Underlying symbol
`underlying_price`	number	Current price of underlying
`as_of`	string	ISO 8601 timestamp
`net_vex`	number	Aggregate net vanna exposure in dollars
`vex_interpretation`	string	Plain-English directional interpretation of vanna exposure
`strikes`	array	Per-strike breakdown
`strikes[].strike`	number	Strike price
`strikes[].call_vex`	number	Call vanna exposure at this strike
`strikes[].put_vex`	number	Put vanna exposure at this strike
`strikes[].net_vex`	number	Net (call + put) vanna exposure

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

Position ahead of vol events - read net_vex before earnings/FOMC to anticipate how an IV crush or spike will trigger dealer hedging flows
Trade the vol-regime tailwind - positive net_vex in a declining-vol environment means dealers buy the underlying as IV falls; a bullish bias signal
Confirm with the interpretation field - use vex_interpretation for a plain-English directional read before sizing a vanna-driven trade
Time VIX mean-reversion - combine net_vex with VIX levels to time entries around volatility reversals
Locate vanna-heavy strikes - scan strikes[].net_vex to see where a vol move will force the largest hedging and which levels it will defend
Build a second-order dashboard - pair net_vex with GEX and CHEX for a complete view of dealer flows beyond delta

Complementary endpoints

Gamma Exposure (GEX) - hedging acceleration that vanna reshapes as vol moves
Charm Exposure (CHEX) - the time-decay counterpart to vanna's vol sensitivity
Delta Exposure (DEX) - the directional tilt that vanna shifts when IV changes
Advanced Volatility / SVI - the IV surface that drives vanna flows

Vanna Exposure (VEX) API