Options Analytics
SPY Vanna Exposure
Analyze how dealer delta hedging needs change as market implied volatility changes.
Net Vanna Exposure
Aggregated call and put vanna across strikes. Shows how dealer delta positioning will shift if implied volatility increases or decreases.
Put & Call Vanna Exposure
Breaks out vanna by puts vs calls. Because Vanna is mathematically identical for calls and puts at the same strike, this highlights which side has more open interest.
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Understanding Vanna Exposure
What is Vanna?
Vanna measures how sensitive an option's Delta is to changes in Implied Volatility (IV). In other words, if volatility spikes or drops, Vanna tells you how much dealer delta hedging needs will change as a result.
For traders, Vanna Exposure is crucial because volatility expands when the market drops and compresses when the market rallies. Positive Vanna implies that as IV drops (during a rally), dealers must buy delta to stay hedged, accelerating the rally.
Practical Applications
- Anticipate dealer flows caused by volatility crush events (like after earnings or FOMC).
- Identify if market making positioning will amplify or dampen a "volatility expansion" selloff.
- Combine with Gamma exposure to get a 3D view of dealer risks.