Vanna

Vanna captures the cross-sensitivity between an option's delta and implied volatility. When IV moves, every option's delta moves, and that means dealers' net delta moves — which forces hedging flow in the underlying.

The classic vanna setup is the post-FOMC unwind. Pre-event, options demand pushes IV up. After the event resolves and IV collapses, dealer short-put deltas shrink — leaving dealers over-hedged short, which they cover by buying the underlying. The result is the well-known post-Fed rally that has nothing to do with the announcement itself.

ChartGEX computes vanna at the strike level and presents both signed totals and a Vanna Center-of-Gravity (CoG). When the CoG sits well above or below spot, an IV move will produce a directional dealer-hedging flow in the corresponding direction.