What is vanna?
Vanna measures how an option's delta changes when implied volatility changes. Equivalently, it shows how vega changes when the index moves. It is called a cross-Greek because it ties the index and volatility together.
Why it matters: option hedgers keep their delta close to neutral. If IV jumps, the delta of out-of-the-money options shifts, so hedgers must buy or sell the underlying to stay balanced. That rebalancing is the flow vanna describes.
Vanna exposure (VEX)
Vanna exposure aggregates the vanna of every strike, weighted by open interest and contract size, and applies an assumed volatility shock to estimate the size of the potential hedging flow in rupees. Large positive or negative VEX at a strike means that strike is more sensitive to an IV repricing.
Like every positioning-based model, VEX relies on assumptions about who holds the contracts, so different providers and sign conventions give different values. Read it as structure, not as a standalone signal.
IV shocks and hedging flow
- IV rising quickly: hedging adjustments grow, which can add to instability in the index.
- IV falling quickly: adjustments run the other way, which can calm moves.
- Which way the flow points depends on the sign of net vanna, and that depends on the positioning assumption.
The effect is usually most relevant around events and expiry windows, when IV reprices fast.
What the volatility trigger marks
On the JustTicks page the volatility trigger is the estimated index level where net gamma exposure crosses zero, also called the gamma flip. Above it the modelled option book tends to dampen moves; below it, hedging can reinforce them. The page offers three calculation methods and a sweep chart so you can see how sensitive the crossing is.
The trigger is a regime line, not a trade signal. Crossing it says the hedging behaviour may change, not that price will move in a given direction. Vanna exposure is shown alongside as the IV-shock overlay, so you can see where a volatility repricing would matter most relative to the trigger.
Terminology varies: some providers use "volatility trigger" for a level derived from the distribution of gamma rather than a simple zero-cross, so compare definitions before comparing numbers across platforms.
Reading the Volatility Trigger page
- Vanna profile: net VEX by strike; the largest positive and negative bars are the structural poles.
- Trigger sweep: net gamma against index level, with the zero-cross marked.
- VEX density: all strikes, to find clusters rather than only the selected window.
- Regime shift: spot, trigger and aggregate net gamma through the session.
- Strike desk: the top strikes by absolute net VEX with IV, open interest and distance from spot.
Limits and common misreads
- Modelled positioning. Holders are assumed, so the sign convention can invert the picture.
- Data quality. Stale IV on untraded strikes and thin open interest distort VEX.
- The trigger moves. IV, open interest, spot and time all shift it during the session.
- Not a forecast. Neither the trigger nor VEX predicts direction.
This guide is educational and is not investment advice.