Vega Exposure Leaders (+ Vanna, Charm, Vomma)
As of April 21, 2026 (end-of-day snapshot). Pages update daily after the market close.
Names with the largest dealer net vega exposure — where hedging flows are most sensitive to IV moves. Table also shows vanna (cross spot × IV), vomma (vol-of-vol), and charm (delta × time decay), all sortable. Vega, vanna, and vomma are the IV-sensitivity cluster; charm is a time-decay cross-Greek that matters most around macro-event windows. Sibling to the gamma- and delta-exposure screeners.
Top 50 by Net Vega
The live vega-family exposure leaderboard loads after the page hydrates. Default sort by absolute net_vex; client-side sort by vanna, charm, or vomma is available.
Methodology
Computed per-ticker from the full by-strike aggregate during daily ORATS import. All four follow the same dealer-hedging convention. Default sort by |net_vex| descending; frontend allows re-sort by |net_vanna|, |net_charm|, |net_vomma|. Filters: total_oi ≥ 50,000, spot ≥ $5.
Frequently Asked Questions
Why group these four Greeks?
Vega (dP/dIV), vanna (cross spot × IV), and vomma (vega × IV, vol-of-vol) are the IV-sensitivity cluster. Charm (delta × time decay) is technically a time-decay cross Greek rather than an IV-sensitivity Greek, but it's lumped in with the others because all four drive non-linear dealer-book behavior around macro events and earnings. Gamma and delta get their own pages; this is the remainder.
What does high net vega tell me?
Dealers carry significant vega exposure. Short-vega inventory creates pressure to buy options into vol expansions (amplifying the move). Long-vega creates pressure to sell into spikes (dampening).
When does vanna matter most?
During macro-event windows — FOMC, earnings, macro prints — where spot and IV can move in opposite directions. Vanna-driven hedging produces flows that look unrelated to price action but follow from IV moves.
Is charm just theta?
Distinct. Theta is option dollar-value decay. Charm is delta decay — how the spot hedge needs to adjust from time alone. Charm is strongest on short-dated books, especially around FOMC weeks.