How DealerEdgecalculates VEX.

Vannais how much an option's delta changes when implied volatility changes. Dealers hedge their delta, so when implied vol moves, the hedge a dealer needs moves with it, even if the stock has not. Vanna exposure (VEX) adds that effect up across the options chain, strike by strike and expiration by expiration, to show where a change in implied volatility would force the most re-hedging.

It is the volatility counterpart of gamma exposure. GEX asks "what happens to dealer hedging when price moves?" VEX asks "what happens when implied vol moves?" That second question matters most around scheduled events such as CPI, FOMC and earnings, where implied vol often builds into the release and drops right after it. For the concept in depth, read Vanna vs. Gamma.

How it is built

VEX is built from the same live options chain snapshot, and the same pipeline, as DealerEdge's GEX. The GEX methodology covers the shared parts in detail. In short:

• Per-contract vannacomes from each contract's implied volatility, strike, time to expiration and the live spot price. Time to expiration is measured to that day's close, so same-day contracts decay through the session instead of sitting at a full day.
• Sign convention. Calls count positive and puts count negative, the same dealer-positioning convention we use for gamma. It is an assumption about typical customer flow, not an observation of dealer books.
• Weighting. Each contract is weighted by open interest first, falling back to day volume when a contract has no reported open interest yet.
• Aggregation. Contributions are summed into the same strike-by-expiration grid the GEX heatmap uses, so the two lenses line up cell for cell.

DealerEdge shows each cell as the estimated dollar delta per 1 point of implied volatility: roughly how many dollars of the underlying dealers would need to buy or sell if implied vol moved one point at that strike. Treat it as a relative map. Compare VEX magnitudes inside our own charts, not against another platform's numbers: vendors use different windows, weights and units.

• One of four lenses.DealerEdge shows GEX, Volatility, VEX and Charm on the same grid. There is no separate "vanna" lens; VEX is the vanna view.
• Expiration views. The heatmap can show every expiration in the model, only the next expiration, or only the monthlies. The compact Pro and Greeks views show the nearest expiration.
• Coverage. Every DealerEdge ticker: 300 pre-computed names plus any optionable US ticker on demand.
• Platforms. Web, plus the native iOS and Android apps.
• Updates. VEX refreshes on the same real-time schedule as GEX; see update timing.

VEX is a profile only. DealerEdge does not derive a vanna level, a vanna rating or vanna alerts from it. The GEX Rating, Flip Point, Anchor and Defense Lines come from gamma, and the Charm Anchor comes from charm.

Reading VEX

The sign. Under the dealer-positioning convention above:

• Positive VEX at a strike means a drop in implied volatility would push dealers to buy the underlying there, and a rise in implied vol would push them to sell.
• Negative VEX is the reverse: falling implied vol pushes dealers to sell, rising implied vol pushes them to buy.

That is why a post-event vol crush on a board dominated by positive VEX tends to add dealer buying. It is an estimate of hedging pressure, not a price forecast, and it depends on the sign convention holding.

Read VEX by where it concentrates and how that compares with gamma at the same strikes:

• Large VEX near spot marks strikes where a change in implied volatility would force the most re-hedging. Those matter most into and right after scheduled events.
• VEX and GEX stacked at the same strike means both a price move and a vol move would lean on that level. VEX concentrated where GEX is thin means vol, not price, is the bigger hedging driver there.
• Watch how it shifts. Switch to the next expiration only to see near-term vanna, which reacts fastest around a release, then back to all expirations for the larger picture.

Charm is the time counterpart: how delta changes as expiration gets closer. It dominates late in the session and into expiry, while vanna dominates when implied vol moves sharply. See The Charm Lens.