Index vol & positioning intelligenceThe market-maker vanna and vega profile at every close over the last two years of proprietary data: what vanna is, where the position sits on the strike axis, which expiries carry it, and how the latest close ranks against the record.
Vanna is the rate at which an option position's vega changes as the underlying moves and, equivalently, the rate at which its delta changes as implied volatility moves.
Every option carries vega, the sensitivity of its value to a one-point change in implied volatility. That vega is not fixed: it is largest near the money and fades as the option moves away from its strike. So when the index moves, the vega of a position moves with it, and vanna is the size of that change per index point. Summed across every SPX series in the market-maker category's position, it says how much vega the position picks up or sheds for each point the index travels.
The same number reads the other way. Delta depends on implied volatility as well as on spot, so a change in vol changes the futures hedge a position needs. That is why vanna matters for vol-driven hedging: when implied volatility rises or falls, a position with vanna needs to buy or sell futures even though the index has not moved.
On this page the profile is drawn by SPX level: dollar vega and dollar vanna re-marked at every strike node from 15% below spot to 10% above, frozen time, sticky strike. Reading the vega line left to right shows how short or long vol the position becomes on the way down and on the way up; the vanna line is its slope. Explorer A plays that profile through time against the index, Explorer B splits the latest close by days to expiry, and the standing section ranks the latest readings against every close in the record, so a number can be read as ordinary or unusual rather than as large or small.
Our position record is the market-maker category's net position in every listed SPX series, modeled from the last two years of proprietary data and marked on the quote surface at each close. The profile is that position's dollar vega and dollar vanna re-marked at every SPX level from 15% below spot to 10% above, frozen time, sticky strike.
Vega is quoted in $mm per vol point and vanna in $bn per vol point, both dealer-signed. The greeks are the position's own; nothing is assumed about how any participant will hedge.
Positive dealer vanna means dealer vega rises with spot, so it falls as spot falls: dealers get shorter vega on the way down, which is the setup often called "negative vanna" from the point of view of the vol that has to be bought. Positive dealer vanna also means the position gains delta as vol rises, so dealers sell futures into vol-up moves. We keep the dealer sign throughout and say which way it cuts in words.
Drag the playhead or press play. The top chart is the SPX cash close; the bottom chart is the dealer profile at that close, drawn on a fixed strike axis so the position sits where its strikes are and the market moves across it. The dashed line and the yellow dot mark where the index was trading that day.
The Sep 29, 2026 close split by days to expiry. Switch tenors off to isolate the ones you care about, or view them as separate lines. The percentile columns rank each tenor's reading against that tenor's own history of closes.
| Tenor | Open lines | Vanna at spot$bn per vol pt | Percentileof the record | Vega at spot$mm per vol pt | Percentileof the record | Vega at 90%$mm per vol pt | Slope to 90%$mm per vol pt | Percentileof the record |
|---|---|---|---|---|---|---|---|---|
| 1-7 DTE | 2,427 | -0.13bn | 25th | +3mm | 38th | -9mm | -12mm | 26th |
| 8-21 DTE | 4,188 | +0.33bn | 70th | -6mm | 10th | -23mm | -17mm | 45th |
| 22-45 DTE | 3,224 | +0.02bn | 34th | +14mm | 79th | +14mm | -1mm | 68th |
| 46-90 DTE | 4,842 | -0.30bn | 12th | -46mm | 10th | -60mm | -15mm | 46th |
| 91-180 DTE | 5,111 | +0.02bn | 37th | -42mm | 30th | -61mm | -18mm | 44th |
| 181-365 DTE | 8,513 | +0.82bn | 89th | -50mm | 23rd | -103mm | -53mm | 32nd |
| 365+ DTE | 3,991 | -0.12bn | 3rd | -74mm | 15th | -61mm | +12mm | 90th |
| All tenors | 32,296 | +0.64bn | 25th | -200mm | 3rd | -304mm | -103mm | 61st |
Each reading from the Sep 29, 2026 close ranked against every session close over the last two years of proprietary data. The percentile is the share of closes with a smaller value, so a high number means the reading is more positive than most closes, whatever its size.
One page: what the sign means for the hedge, how to read the profile above, and what to look at into an event.
Vanna is how an option's delta changes when implied vol changes. On a position it is dollars of delta per +1 vol point. We measure it on every SPX option the market makers hold, at every strike and expiry, marked on the live surface, and sum it across index levels.
Positive dealer vanna: a vol rise adds delta to the dealer position, so they sell futures to re-hedge; a vol fall removes delta and they buy. Spot down with vol up compounds; spot up with vol down compounds the other way.
Negative dealer vanna: the opposite. A vol rise has them buying futures. This damps a selloff and is where the inversions (up-up, down-down days) show up.
The common state is positive: customers own puts below the market and dealers are short them, and a short put has positive vanna for the dealer.
The full position line is the headline. Tenors and expiry dates are shares of it; they sum exactly to it at every level.
A zero crossing is where the hedge flips direction as the index moves. Below a crossing that goes negative, a vol spike has dealers buying, not selling.
Crossings inside 45 days matter most into an event: those are the positions that re-mark hardest on a vol move.
Read it with vega: short vega means a vol rise deepens the short as it happens (volga).
| Ask | Read |
|---|---|
| Sign at spot | Positive: vol up means futures sold. Negative: vol up means futures bought. |
| Nearest crossing below spot | The level where the near-dated put hedges go in the money and the hedge flips. |
| Nearest crossing above spot | Where the sold call spreads and upside hedges flip the sign the other way. |
| Which expiry has the crossing | The event-day series, the monthly, or the back; each re-marks differently on a vol move. |
| Vega and volga | Short vega plus short volga: a vol rise deepens the short. Size the vanna move accordingly. |
| Pair with gamma | Vanna sets the vol channel; gamma sets the spot channel. Both signs at spot, then the flips. |
Long vanna dealers plus a vol spike: the hedge flow extends the selloff. Structures that own the vol move (and the spot move with it) pay; short-premium structures need the crossing below them.
Where the profile crosses negative below the market, dealer buying on a vol pop is a natural place for a stop, a wing, or a scale.
A vol crush after the event pulls delta out of a long-vanna dealer position: they buy futures. That is the post-event drift.
Framework, not advice. Positioning sets the size and shape of the hedge, never the direction of the news.
Every SPX print is tagged with the participant that opened or closed it (Cboe open/close data). We net those into signed positions per strike and expiry for market makers, firms and customers, mark each line on the live surface, and re-price across index levels. Nothing is inferred from open interest.
This page is provided for informational and educational purposes only. It is impersonal, is not tailored to the circumstances of any recipient, and does not constitute investment, financial, legal, tax or accounting advice, nor a recommendation, offer or solicitation to buy or sell any security, option, futures contract or other instrument, or to pursue any strategy.
Positions, marks and derived greeks are model-based estimates built from third-party data believed reliable but not guaranteed. Profiles are Black-Scholes re-marks of the market-maker category's net position on each close's quote surface, frozen time, sticky strike. Errors and omissions are possible and figures may be revised without notice.
The market-maker position is the category's cumulative net position over the last two years of proprietary data, so it is a cumulative view of trading over that window rather than a dealer inventory, and positions opened before the window are outside it.
Options involve substantial risk and are not suitable for all investors. Past patterns do not guarantee future results. Consult your own licensed financial advisor before making any investment decision.
© 2026 VolSignals. All rights reserved.
Index vol & positioning intelligence · Sep 29, 2026 · Data via Cboe · Modeling via VS3D/VolSignals · volsignals.com · @VolSignals · Informational only, not investment adviceThe same two years of market-maker vanna, this time split by days to expiry and played back one close at a time. The faint line behind the bars is the index, left to right through time. When the VS Trapdoor, our proprietary read of market state and positioning, reaches its trigger tier, a red window is cast forward over the next 21 sessions: be on guard here. Amber ticks mark sessions on the separate watch condition.
QUIET, WATCH and PRESSURE are the only outputs. PRESSURE casts a window; WATCH is a caution flag and casts nothing. Shading scales with the strength of the reading and overlapping windows compound. In-sample, over the last two years of proprietary data, PRESSURE sessions ran about twice the baseline odds of a 1% or deeper SPX drawdown inside five sessions.
The conditions behind the tiers and behind the watch flag are not disclosed here, and nothing on this tab lets you reconstruct them. The composite warmed up through the summer of 2024, so no window existed for the August 2024 shock, and the June 2026 window was a false alarm. This is a positioning read, not a forecast.