The Vanna Model depicts how delta changes based on changes to implied volatility per each of the six indices and ETFs. The x-axis reflects the underlying asset price for the select Index or ETF and the y-axis reflects the delta notional value for the selected Index or ETF. The gray line shows the Delta exposure for a given change in the underlying asset price, without changing implied volatility. The purple line is based on a complex SpotGamma implied volatility model, wherein we shift implied volatility along with the underlying asset price. You can also click on the last two days to see how these models are changing by clicking the button in the upper right.

The greater the value of the deltas, the more positive exposure the dealers and market makers have to the index or ETF. So, the higher we go on the y-axis, the higher the notional equity exposure. By isolating the areas on the chart where there is a gap between the gray delta line and the purple delta line, you can visualize where implied volatility is a larger driver of market price. The larger of a gap between the purple and gray lines - the larger the estimated vanna impact.

SpotGamma Subscribers can access this chart for the SPX, SPY, NDX, QQQ, RUT and IWM.