Flow
Flow combines vanna with Swings: Vol-Crush — Swings shrinking against positive vanna — market makers' hedging tends to buy. Cascade — Swings growing against negative vanna — market makers' hedging tends to sell. Mixed — No documented pattern for this combination — no direction.
What it combines
Vanna says how strongly market makers' hedging reacts to a change in volatility; Swings says which way volatility moved since the open. Together they give a direction.
The four combinations
Only Vol-Crush and Cascade get a direction, because they are the two patterns with a well-documented mechanism in market commentary. The direction follows those patterns; it is not derived from a formula.
Limits
- Estimated from options positioning, not observed trades.
- The sign of vanna assumes market makers are long calls and short puts. If that is wrong for a ticker, both directional badges flip.
- A Swings reading carried from an earlier session shows grey, and Flow built on it fades.