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Vanna exposure

Vanna measures how an option’s delta changes when implied volatility changes, with spot and other pricing inputs held constant. Net Vanna aggregates that sensitivity by strike under TanukiTrade’s call-minus-put convention.

Delta can change even when the underlying has not moved. Vanna describes the IV contribution to that change. It differs from vega, which measures how IV affects the option’s value, and from charm, which measures delta’s sensitivity to time.

From option vanna to strike exposure

For each included option, TanukiTrade weights vanna by open interest × 100 × underlying price, sums the contributions at the strike, and subtracts the put-side sum from the call-side sum:

Net Vanna = weighted call vanna − weighted put vanna

A positive value means that this signed difference is positive; a negative value means the reverse. Vanna itself can have either sign. More call open interest therefore does not automatically produce positive Net Vanna, and the sign does not identify which side dealers own.

Read it alongside IV, GEX, and DEX

Compare the same symbol, expiration, aggregation method, and snapshot time. Gamma describes delta’s response to spot; vanna describes its response to IV. Read it with Net DEX and the selected expiration’s volatility context, rather than treating it as a forecast that IV or spot must move.

For an individual long option with positive vanna, a small IV rise increases delta locally; an IV fall has the opposite effect. Negative vanna reverses that relationship. Applying the intuition to the net chain statistic requires its signed weighting and position assumptions. A net value alone does not establish a dealer’s hedge direction.

Keep volatility units consistent: an IV move from 20% to 21% is one percentage point. Do not interpret the weighted API value as a cash flow for that move without the Greek’s volatility scaling and an explicit scenario. Different strikes’ IVs need not move equally.

Use the API or MCP endpoint

Strike net vanna documents POST /api/v1/gamma/strikes/net-vanna and the MCP tool list_gamma_strikes_net_vanna. Supply symbol and expiry. Choose method: standalone to isolate one expiration; the default is cumulative.

Each data.items row has a strike and exposure value. Read the chain’s snapshot_at, and follow meta.next_cursor when present. value is the dollar delta change for a 1 volatility point rise in IV. The header’s value_total sums every strike of the slice, not only the page. These are latest snapshots only; the API has no strike-level vanna history. The endpoint reference contains the request examples, fields, and errors.

For the underlying Greek, see NAG’s vanna definition (§3.7). Continue with vertical and horizontal skew and Charm exposure for the other inputs to a delta review.

TanukiTrade documentation. Levels are context, not a recommendation. tanukitrade.com