Dealer exposure: GEX and VEX

Dealer exposure estimates how much delta a market's option dealers have to re-hedge when the underlying moves 1%, split across a gamma channel (GEX) and a vanna channel (VEX). Both are signed dollar amounts, denominated identically so they sum into one figure. Read the honesty first: neither number is readable from the Signal language, and neither is open interest, the raw input both channels depend on. This page describes how the two are estimated and what the combined figure means. Neither has an accessor; the closing section states the exact state.

The dealer-positioning convention

Both channels rest on the standard dealer-positioning convention: dealers are assumed net long calls and net short puts. That fixes the sign of each contract's contribution, calls +1 and puts -1, before anything else is computed. Both channels carry the same sign rule and the same per-1%-move dollar denomination, which is what lets them add.

The sign is the whole point of the convention, so be precise about where it lives. Whether dealer hedging stabilizes or amplifies the market is a property of the net summed exposure, never of any single contract:

• Net positive gamma exposure means dealers are net long gamma. They hedge by selling into rallies and buying into dips, which dampens realized volatility.
• Net negative gamma exposure means dealers are net short gamma. Their hedging chases the move, which amplifies realized volatility.

A single contract's signed contribution tells you nothing on its own. The stabilize-versus-amplify read only exists after you sum across the surface.

The gamma channel (GEX)

GEX is the re-hedging a dealer must do because a spot move directly changes their delta through gamma. Per contract:

gex = sign * gamma * open_interest * 100 * S^2 * 0.01     (sign = +1 call, -1 put)

Read the factors left to right. Gamma here is per-share, so open_interest * 100 is the number of shares the position represents, at 100 shares per contract. S^2 * 0.01 dollarizes a 1% spot move: one factor of S converts share delta to dollar delta, and S * 0.01 is the dollar size of a 1% move. The result is signed dollars of delta the dealer must re-hedge per 1% spot move.

The vanna channel (VEX)

VEX is the re-hedging a dealer must do because a spot move is accompanied by an implied-vol move, which changes their delta through vanna. Vanna is a vol sensitivity, not a spot one, so expressing it per 1% spot move takes one bridging assumption: a fixed spot-vol relationship. The convention maps a +1% spot move to a -10% relative change in implied vol, so the vol move accompanying the spot move is -0.10 * mid_IV. Per contract:

vex = sign * vanna * (-0.10 * mid_IV) * open_interest * 100 * S     (sign = +1 call, -1 put)

Note the two differences from GEX. There is one factor of S, not S^2, and there is no extra 0.01. The 1% move enters through the spot-vol bridge (-0.10 * mid_IV) rather than through S * 0.01, and the single S dollarizes the share re-hedge. Because GEX and VEX carry the same per-1%-move dollar denomination, they add directly into a single combined dealer-exposure figure that captures both hedging channels at once. The +1% spot to -10% mid IV bridge is a fixed, surface-wide rule of thumb, not a value fitted per name, and it is the one modeling choice inside VEX. GEX carries no equivalent assumption. Both channels exclude 0DTE contracts at the time floor from the aggregate.

Missing-data and 0DTE rules

Both channels follow the same rules, applied in lock-step so GEX and VEX stay row-aligned for the combined figure:

The last rule is the load-bearing one. A 0DTE option in its final minutes has an artificially exploded gamma and vanna, a side effect of the 1-minute time floor rather than a real reading. Including it would let one clamp artifact dominate the aggregate, so the row is dropped from both channels even though the per-contract greek is still published with its flag. GEX and VEX apply the exclusion identically, which keeps them summable into one figure without one channel carrying a contract the other dropped.

How to read it

Sum across contracts, then interpret the net. Add gex over every contract for market-level gamma exposure, add vex for vanna exposure, add the two for the combined figure, and divide by 1e9 to read the result in billions of dollars.

The sign carries the meaning, not the magnitude of any one contract. On the net gamma (GEX) figure, a positive net says dealers are positioned to dampen the move and a negative net says their hedging amplifies it. That is the same stabilize-versus-amplify read from the dealer-positioning convention, now attached to a number you can track across days. VEX is the vanna hedging channel layered on top, not a second stabilize-versus-amplify signal, and the combined figure adds the two channels of re-hedging rather than restating the gamma read.

What you read

Nothing. Neither dealer-exposure figure has a Signal-language accessor, and neither does open interest, the raw input both channels depend on. Vanna, the input to VEX, is also not readable; the exposed greeks are delta, gamma, theta, vega, and rho.

So this page describes data a Signal-language user cannot read. The methodology above is built and runs against the option surface; GEX, VEX, open interest, and vanna have no accessor.