Articles written by Jason DeLorenzo - Benzinga

Dealer Vanna And Gamma Exposure In Options Expiration Week: Greeks For The Week, September 11-15

Dealer Vanna And Gamma Exposure In Options Expiration Week: Greeks For The Week, September 11-15

Welcome to September options expiration week! Using the individually categorized methods available in the Volland dashboard, let’s review option dealer positioning to analyze dealers’ hedging behavior on the S&P 500 Index.

Dealer Vanna Exposure In Options Expiration Week: Greeks For The Week, August 14-18

Dealer Vanna Exposure In Options Expiration Week: Greeks For The Week, August 14-18

Welcome to August options expiration week! Using the individually categorized methods available in the Volland dashboard, let’s review option dealer positioning to analyze dealers’ hedging behavior on the S&P 500 Index (^SPX).

Volatility Outlook On Earnings Q2 2023: How Are People Positioning?

Volatility Outlook On Earnings Q2 2023: How Are People Positioning?

There has been a lot of noise made over the possibility that earnings will decline rapidly this quarter. I reviewed 16 different large-cap company earnings coming up by using the tools in Volland (https://www.vol.land) and ORATS (https://orats.com/).

Dealer Vanna Exposure In Options Expiration Week: Greeks For The Week, July 17-21

Dealer Vanna Exposure In Options Expiration Week: Greeks For The Week, July 17-21

Welcome to July options expiration week! This week has an interesting dynamic. July options expire and create a little bit more of a vanna vacuum. However, a lot of the August hedging is already completed, so options expiration doesn’t reduce much.

Options Dealer Vanna Exposure And Event Impacts: Greeks For The Week, June 12-16, With CPI, FOMC, ECB, And BoJ

Options Dealer Vanna Exposure And Event Impacts: Greeks For The Week, June 12-16, With CPI, FOMC, ECB, And BoJ

Using the individually categorized methods available in the Volland dashboard, let’s review option dealer positioning to analyze dealers’ hedging behavior on the S&P 500 Index (^SPX).

Option Greeks For The Week: Analyze The Hedging Behavior Of Option Dealers For The Week Of June 5-9

Option Greeks For The Week: Analyze The Hedging Behavior Of Option Dealers For The Week Of June 5-9

Using the individually categorized methods available in the Volland dashboard, let’s review option dealer positioning to analyze dealers’ hedging behavior on the S&P 500 Index (SPX).

What Vanna Is Telling Us About Markets In June: A Look At SPX, SPY, and QQQ Hedging Requirements

What Vanna Is Telling Us About Markets In June: A Look At SPX, SPY, and QQQ Hedging Requirements

What Is Vanna, And What Can It Tell Us About Markets? Vanna is the relationship between an option's delta (the number of underlying shares a dealer must hedge for the derivative position) and its implied volatility.

Near-Term Volatility: Will Option Dealers Sell? Implications Of Debt Ceiling On Dealer Positive Vanna

Near-Term Volatility: Will Option Dealers Sell? Implications Of Debt Ceiling On Dealer Positive Vanna

Yesterday was a relatively flat day, as the markets cruise to the upside in monthly options expiration (opex) week. I have been saying that markets support a slow move up through June opex, which is seemingly what we are getting. However, there is a lot of positive vanna underneath.