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Introducing VannaCharm: Dealer Gamma, Vanna, and Charm Exposure Analysis

•Chris
optionsexposurelaunchanalysis

After months of development (years if we consider how long I've procrastinated!), I'm finally launching VannaCharm today. It's a tool that displays dealer gamma, vanna, and charm exposures from options open interest data.

If you've been following my work over at The Wheel Screener or read my posts on options market structure, you already know I'm a bit obsessed with understanding how market makers and dealers move markets through their hedging activity. VannaCharm is the next evolution of that obsession.

What Really is VannaCharm?

Let's start with what it does right now, before I get ahead of myself with the roadmap.

At its core, VannaCharm calculates dealer exposures based on open interest data across all strikes and expirations. We're talking gamma exposure (GEX), vanna exposure (VEX), and charm exposure (CEX) - the three Greeks that arguably have the most significant impact on how dealers hedge and, consequently, how markets actually move.

If you've ever wondered why SPY seems to "pin" around certain strikes near monthly expiration, or why volatility spikes seem to accelerate moves in certain directions, you're asking the right questions. Dealer positioning is often the answer, and VannaCharm gives you the tools to visualize and understand it.

Why Did I Build This?

Honestly? Because I needed it for myself.

I've spent the last few years trading options and building algorithmic systems around options flow, and the more I learned about gamma exposure mechanics, the more I realized most retail traders (and frankly, many institutional traders) are flying blind. Sure, there are platforms out there doing this - SpotGamma, SqueezeMetrics, a handful of others - and each are excellent tools with their merits, but they're often prohibitively expensive to newcomers, overly complex, or locked behind institutional walls.

I wanted something I could use to make better trading decisions. Something that showed me, clearly and simply, where the big gamma walls were, where vanna exposure might amplify or dampen moves based on volatility changes, and how charm was eating away at dealer hedging requirements as time passed.

The Technical Stuff (For the Nerds)

Under the hood, VannaCharm ingests open interest data and calculates exposure profiles across the entire options chain. We calculate:

  • Gamma Exposure (GEX): The sensitivity of dealer hedging to changes in spot price. Positive gamma means dealers stabilize the market by buying dips and selling rips. Negative gamma means they exacerbate moves.

  • Vanna Exposure (VEX): How changes in implied volatility affect dealer delta. When IV drops after a Fed announcement or earnings, vanna can explain sudden directional moves that have nothing to do with fundamentals.

  • Charm Exposure (CEX): Time decay's impact on dealer positioning. As options approach expiration, charm drives hedging flows throughout the trading day.

The calculations themselves aren't trivial. You're dealing with aggregating exposures across dozens of strikes per ticker, and add to that the fact that this can be done for any given option expiration date, and it gets computationally intensive quickly. I've optimized the algorithms to run efficiently, but there's still a lot of number crunching going on behind the scenes.

The tech stack is a mix of Go for the backend computation (because it's fast and handles concurrency beautifully), TypeScript/React for the frontend, and PostgreSQL for storage. Nothing groundbreaking, but it works, and it's fast enough to update in near real-time as open interest data changes.

What's Next?

Right now, VannaCharm is focused on calculating dealer exposures from open interest - the foundational building block. But I have bigger plans:

  • Live Data Integration: Real-time updates as the market moves and open interest shifts intraday. Log in with your broker and let our system calculate realtime dealer positioning.
  • Spot Price Scenarios: Visualizing how changes in the underlying price, underlying volatility, or underlying time change affect dealer exposures across all strikes - essentially showing an 'if this then that' scenario analysis.
  • Greeks Waterfall Charts: Showing how delta, gamma, vanna, and charm all interact as spot and volatility change simultaneously.
  • Simultaneous Mark Price Per Strike Analysis: Are calls at a certain strike being overpriced for the current session? Maybe IV is too low vs recent realized vol? What is going behind the scenes that traders are betting on?
  • Historical Backtesting: Correlating past exposure levels with realized volatility and price action.

The goal is to build a solid and reliable dealer positioning tool for retail traders. Something that doesn't cost $500/month but still gives you real, actionable insights into market structure.

Built By a Trader, For Traders

Look, I'm not going to pretend this is for everyone. If you're passively investing in index funds and checking your portfolio once a quarter, VannaCharm probably isn't for you. And that's totally fine.

But if you day trade options, futures, or stock, and if you care about understanding why markets move the way they do, or if you've ever been stopped out of a perfectly good trade because the market went nuts into monthly OpEx (guilty) - then yeah, this might be worth your time.

Dealer positioning is a great weay to develop edge in the market. It's structural, mechanical, and broadly predictable (broadly 😁). When dealers are forced to buy or sell to hedge their books, they're not making a fundamental call on the economy or company earnings - they're just maintaining delta neutrality. And that creates patterns we can exploit.

Give It a Try

VannaCharm is live at vannacharm.com. I'm offering a free tier that gives you access to a few tickers, with paid tiers for more advanced features and real-time data.

I'm genuinely curious to hear what people think. Are there features you'd like to see? Hit me up on X.

If you made it this far, thanks for reading. Now go check out the charts!

Until next time, good luck out there in these crazy markets!

-Chris