Vanna & Charm Exposure Heatmap

What is a Vanna Exposure Heatmap?

A vanna exposure heatmap displays modeled net vanna across strike prices and expiration dates in a color-coded grid. Each cell is net vanna at a strike for one expiration. Green cells are positive vanna. Purple cells are negative vanna. Color intensity reflects magnitude.

Unlike a single vanna chart that collapses expirations, the heatmap keeps the expiration breakdown so you can see which dates contribute the most vanna and how the vanna flip shifts further out in time.

What is a Charm Exposure Heatmap?

Charm measures how option delta changes as time passes with price and implied volatility held still. The charm exposure heatmap sits below the vanna grid and uses the same rows and columns, so you can read the two Greeks strike for strike. Blue cells are positive charm and amber cells are negative charm.

Charm concentrates in the nearest expirations because time decay accelerates into expiry. Large charm cells mark strikes where dealer delta hedges must be adjusted every session even if the underlying does not move.

How to Read the Vanna and Charm Heatmaps

Strike prices sit on the vertical axis and expiration dates sit along the top of both grids. A simple read of the bright cells:

• Bright purple vanna cells: Support on the downside when implied volatility rises.
• Bright green vanna cells: Slow vanna drift targets in a stable or decreasing IV regime.
• Bright charm cells: Strikes where passing time alone forces the most delta re-hedging, strongest in the front expirations.
• Key Levels sidebar: Total vanna, total charm, the vanna flip, and the net vanna regime across the displayed expirations.
• Net by Expiry: Net vanna and net charm for each expiration column.

Stronger color marks larger modeled exposure. Compare those cells with spot and with the vanna flip row.

How the exposures are calculated

For every listed contract, QuantWheel approximates vanna from the chain's own Greeks (gamma times vega, divided by the absolute delta), multiplies it by open interest and the 100-share contract size, and nets calls against puts at each strike and expiration. Charm is approximated from theta and gamma the same way and scaled to one day. The grid is a model of the listed options book, not observed dealer inventory, and it says nothing about direction.

The vanna flip is the price level where the book's net vanna changes sign when the same open contracts are repriced at other spot levels with the implied volatility surface held still. The net vanna regime is the sign of the book's total vanna for the displayed expirations. Both are calculation output for the data shown, not targets.

What positive and negative vanna mean for price

With positive net vanna, dealers sell as implied volatility rises and buy as it falls. Implied volatility usually rises when price falls and falls when price rises, so both a drop and a rally get pushed further. With negative net vanna the hedging runs the other way, dealers buy as implied volatility rises and sell as it falls, so both moves are damped. The regime beside the grid states which case applies to the displayed expirations, and the flip marks where it would change.

Gamma, vanna and charm side by side

The three run on different clocks. Most sessions gamma dominates; around volatility events vanna does; into expiration charm does. How to read vanna and charm in the app walks through the GEX AI charts, and options Greeks explained covers the first-order Greeks these build on.

Frequently Asked Questions