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Vanna Exposure (VEX)

See how dealer hedging shifts with implied volatility. Vanna measures the sensitivity of delta to IV changes — when vol drops, positive vanna pushes dealers to buy, supporting prices.

Vanna exposure analysis reveals vol-sensitive dealer positioning by strike price. Enter any symbol to see net VEX, call/put walls, and the vanna interpretation — updated with live options data.

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Symbol

Expiry

What can you do with VEX?

Vol Regime Sensitivity

Understand how dealer positioning reacts to implied volatility changes. When vol compresses, vanna flows can create powerful support as dealers buy the underlying to stay hedged.

Vanna Flows

Identify strikes where dealers accumulate vol-sensitive hedges. Large vanna concentrations mark levels where IV shifts trigger outsized delta-hedging activity.

VIX Impact

See how VIX moves trigger delta hedging through the vanna channel. A VIX crush forces dealers to re-hedge, creating directional flows that move the underlying.

Get this via API

curl

# Single expiry (free tier)
curl -H "X-Api-Key: YOUR_API_KEY" \
  "https://lab.flashalpha.com/v1/exposure/vex/SPY?expiration=2026-03-07"

# All expirations (Growth+ tier)
curl -H "X-Api-Key: YOUR_API_KEY" \
  "https://lab.flashalpha.com/v1/exposure/vex/SPY"

Python

import requests

r = requests.get(
    "https://lab.flashalpha.com/v1/exposure/vex/SPY",
    params={"expiration": "2026-03-07"},  # yyyy-MM-dd
    headers={"X-Api-Key": "YOUR_API_KEY"}
)
data = r.json()
print(f"Net VEX: {data['net_vex']}")
print(f"Interpretation: {data['vex_interpretation']}")

Full API docs → Try in playground →

Get VEX via API

Single-expiry VEX is included on the free Starter plan (5 requests/day). Full-chain VEX across all expirations available on Growth (1,000/day) and Pro (unlimited).

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How Vanna Exposure Is Calculated

Vanna exposure quantifies how much delta-hedging dealers must perform when implied volatility changes. For a single option contract:

$$\text{VEX}_i = \text{Vanna}_i \times OI_i \times 100 \times S \times 0.01$$

Where:

$\text{Vanna}_i = \frac{\partial \Delta}{\partial \sigma}$ is the option's vanna (cross-derivative of price with respect to underlying and volatility)
$OI_i$ is the open interest at that strike
$S$ is the current underlying price
The factor $100$ converts to shares per contract, and $0.01$ normalizes for a 1% vol move

Vanna and the Black-Scholes Model

Under Black-Scholes, vanna for a European option is:

$$\text{Vanna} = \frac{\partial \Delta}{\partial \sigma} = -\frac{\phi(d_1) \cdot d_2}{\sigma}$$

Where $\phi(d_1)$ is the standard normal PDF evaluated at $d_1$, $d_2 = d_1 - \sigma\sqrt{T}$, and $\sigma$ is implied volatility. Vanna is largest for options that are slightly out-of-the-money and have meaningful time to expiration.

How Vanna Drives Dealer Flows

When implied volatility drops (e.g., VIX crush), options with positive vanna see their deltas increase. Dealers who are short these options must buy shares to stay delta-neutral. This creates a supportive flow — vol compression drives buying pressure.

Conversely, when vol rises, the same mechanism works in reverse: deltas decrease and dealers sell, amplifying the move down. This is the vanna channel through which VIX moves transmit into equity flows.

Net VEX and Interpretation

Positive net VEX means vol compression (falling IV) supports prices — dealers are pushed to buy as vol drops. Negative net VEX means vol expansion amplifies moves — rising IV forces dealers to sell, accelerating downside.

$$\text{Net VEX} = \sum_{i} \text{VEX}_{i}^{\text{call}} + \sum_{i} \text{VEX}_{i}^{\text{put}}$$

Limitations

Dealer assumption — VEX assumes standard dealer positioning conventions. Real-world positioning may differ for institutional hedging books.
OI is T-1 — open interest is reported end-of-day by the OCC and reflects the previous session's close.
Complementary signal — VEX is most powerful when combined with GEX (gamma exposure). Gamma tells you the hedging magnitude; vanna tells you how it changes with vol.