What is Options Vanna? | SpotGamma

Options Vanna is a popular term in options trading, which shows us how options hedging changes as implied volatility shifts. We break this down to the basics and show how you may gain an edge from this metric.

We also show our S&P500 Vanna Model which gives our subscribers visibility into how options market makers' hedging could impact the price of the SPX / ES futures.

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Here at SpotGamma we use the options market to forecast the stock market. Knowing the drivers behind market movement is key to establishing, managing or exiting positions. We provide actionable daily options flow data to traders and investors.

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*Note: This presentation is intended for general information and entertainment purposes only. No mention of company names, trading strategies or illustrative examples constitute investment advice. SpotGamma advises you to seek investment advice from a licensed professional.

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Futures and forex trading contains substantial risk and is not for every investor. An investor could
potentially lose all or more than the initial investment. Risk capital is money that can be lost without
jeopardizing ones’ financial security or life style. Only risk capital should be used for trading and only
those with sufficient risk capital should consider trading. Past performance is not necessarily indicative of
future results.

Hypothetical performance results have many inherent limitations, some of which are described below.
No representation is being made that any account will or is likely to achieve profits or losses similar to
those shown; in fact, there are frequently sharp differences between hypothetical performance results
and the actual results subsequently achieved by any particular trading program. One of the limitations of
hypothetical performance results is that they are generally prepared with the benefit of hindsight. In
addition, hypothetical trading does not involve financial risk, and no hypothetical trading record can
completely account for the impact of financial risk of actual trading. for example, the ability to withstand
losses or to adhere to a particular trading program in spite of trading losses are material points which
can also adversely affect actual trading results. There are numerous other factors related to the markets
in general or to the implementation of any specific trading program which cannot be fully accounted for
in the preparation of hypothetical performance results and all which can adversely affect trading results.

[louisvuitton]

Thanks, this is the most useful description I have ever seen.

[paulvosho]

Thanks, could you as well elaborate about vanna timing, as Cem often says vanna goes on vacation, and what makes her leave and come back? thx

[albertmate]

Thanks Brent and the SG team for al the hard work that goes into your charts !

[sarahvandistel]

Thank you Brent & team! Recent subscriber here and I have a (perhaps very basic) question... If I correctly understood your explanation, would it be fair to say that, once the region of minimum vanna-adjusted delta is reached (around 4135 on your figure), there is a natural tendency for the spot price to trigger down movements as it "tries" to take distance of that value (to one side or the other), due to the dynamic hedging by non-retail traders?

[ammarmian]

As always awesome Video Brent. I dont see QQQ and SPY vanna models on the website. The only one available is for SPX. Also the one on SPX does not show Time Adj line.

[Dreamin]

Question! Achieving Delta neutral, in the spy chart, was done using the red delta skew curve line as the baseline, however for the second chart of qqq, he’s using a straight line as the baseline to achieve delta neutral. So, I’m a bit confused as to how to determine the baseline… is it the delta curve vs canna curve, or a horizontal, flat baseline and if so, how to determine where that is… thank you to whomever might answer my question and apologies if it is a silly question.

[mycallshurt]

8:50 (that's just a timestamp for me, love the videos I use the HIRO indicator daily.)

[saccanana]

Hi, I am a bit lost on understanding shorting futures when the market moves up or down. To me, it makes sense that when the market goes down, the market makers will need to short futures to hedge their position. The reverse is true when the market goes up, naturally they should BUY futures. But you were saying they short the futures when it goes up. Do I miss something here?

[seaneltanany]

Thank you. This lesson was very very much needed!

[bleacherz]

Can one use the 5 day trail at the highest tier and downgrade to lower tiers on the monthly subscription?

[spaces]

i didn't see Vanna Adj. Delta, time Adj T+1 under Vanna Model charts. only (current + next expiration) am i click the wrong page :(

[turdfurg]

Do you ever do this calculation for Russells?

[akalksander]

This reminds me of the daily rebalancing of leveraged ETFs which can result in selling low & buying high to get that daily return of the index it follows.

[AdithiaKusno]

What happens if OI remains unfilled? Let say a dealer gamma hedge their position using BS model on Vanna and Charm. If they sell puts or buy calls to keep their position hedged what would happen if no one buy their puts or sell their calls? In other words Vanna/Charm still has counterparty risk, no?

[azswaggastupid]

Dealer would be short put and long calls. I get that as the market goes down the IV goes up which would cause an increase in delta for the long calls, but wouldnt the fact that the market is moving further from the calls decrease the delta?