The SpotGamma Vanna Model

Vanna measures the change in delta for a given change in implied volatility. SpotGamma's vanna model uses a sophisticated implied volatility model to help forecast how changes in implied volatility may move the underlying market.

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At SpotGamma, our mission is to empower traders to make confident decisions by pairing precise data with clear insights. We do this by monitoring the options market and publishing actionable metrics for traders and investors at all levels.

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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.

[brothachromatid]

This is beautiful. For me personally, I wasn't very sure how to interpret the vanna model, but now this is something I can apply to the trade plan. I appreciate all your work SG Team.

[tonydundas-lucca]

Curious if you have any insight into watching the various index Vanna models relative to one another for clues into positioning in one index vs another. In a market like this where rotation has been so critical to keeping things from crashing, I feel like your models could be a good tool to help identify which index(es) is/are positioned to lead vs lag. I think of the NDX strength that led us higher out of the recent banking mess. Would these models have presented any clues into what ended up transpiring? I'm asking as a member looking to put to use these models in a meaningful way.