get_vex
Retrieve Vanna and Charm Exposure (VEX) for a ticker, showing how dealer delta shifts with implied volatility and time. Ideal for analyzing options flow and end-of-day drift.
Instructions
Vanna & Charm Exposure (VEX) — the second-order dealer Greeks. Vanna is how dealer delta shifts as implied volatility moves (∂Delta/∂IV); Charm is how it shifts as time passes (∂Delta/∂Time, i.e. delta decay). These are the flows behind OPEX drift and end-of-day drift, sitting one layer beneath GEX.
Plan: Pro and up.
Args: symbol: Underlying ticker. expiration: Unix timestamp of a specific expiry, or "all". Omit for the nearest expiry.
Returns VEXResponse JSON: symbol, spotPrice, timestamp, totalNetVEX ($ delta shift per +1% IV move), totalNetCharm ($ delta shift per day), and strikes[] with callVEX/putVEX/netVEX and callCharm/putCharm/netCharm.
Input Schema
| Name | Required | Description | Default |
|---|---|---|---|
| symbol | Yes | ||
| expiration | No |