Vanna
Vanna: How strongly market makers' hedging reacts when swings change. Its direction shows only in Flow.
What vanna is
When expected volatility changes, the value of every option changes with it — and so does the amount of stock market makers hold to hedge. Vanna measures that link. On its own it has no direction: whether hedging buys or sells depends on which way volatility moves. That combination is Flow.
How it is shown
Shown as a share of the ticker's average daily trading: 0.5% means a 2% move forces market makers to trade 1% of a normal day's volume.
When the average daily trading is unknown, only the sign is shown: V+ or V−.
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, the sign flips.
- The size of vanna is a rough scale, not yet checked against published readings.