Vanna Model | SpotGamma
1.4 هزار بار بازدید -
11 ماه پیش
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The Vanna Model depicts how
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.
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At SpotGamma, our mission is to empower traders to make confident decisions by pairing precise data with clear insights. We do this by monitoring the options market and publishing actionable metrics for traders and investors at all levels.
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*Note: This presentation is intended for general information and entertainment purposes only. No mention of company names, trading strategies or illustrative examples constitute investment advice. SpotGamma advises you to seek investment advice from a licensed professional.
###
Futures and forex trading contains substantial risk and is not for every investor. An investor could potentially lose all or more than the initial investment. Risk capital is money that can be lost without jeopardizing ones’ financial security or life style. Only risk capital should be used for trading and only those with sufficient risk capital should consider trading. Past performance is not necessarily indicative of future results.
Hypothetical performance results have many inherent limitations, some of which are described below. No representation is being made that any account will or is likely to achieve profits or losses similar to those shown; in fact, there are frequently sharp differences between hypothetical performance results and the actual results subsequently achieved by any particular trading program. One of the limitations of hypothetical performance results is that they are generally prepared with the benefit of hindsight. In addition, hypothetical trading does not involve financial risk, and no hypothetical trading record can completely account for the impact of financial risk of actual trading. for example, the ability to withstand losses or to adhere to a particular trading program in spite of trading losses are material points which can also adversely affect actual trading results. There are numerous other factors related to the markets in general or to the implementation of any specific trading program which cannot be fully accounted for in the preparation of hypothetical performance results and all which can adversely affect trading results.
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.
Get our Daily Insights. Click here: https://bit.ly/3zj11ZO
###
At SpotGamma, our mission is to empower traders to make confident decisions by pairing precise data with clear insights. We do this by monitoring the options market and publishing actionable metrics for traders and investors at all levels.
Click here for SpotGamma pricing: https://bit.ly/3zj11ZO
SUBSCRIBE on YouTube ➡ https://www.seevid.ir/c/spotgamma?s...
—
STAY CONNECTED TO SPOTGAMMA
Website: https://spotgamma.com/
Academy: https://academy.spotgamma.com/
YouTube: https://www.seevid.ir/c/spotgamma?s...
Twitter: Twitter: spotgamma
—
Get started with SpotGamma today: https://spotgamma.com/subscribe-to-sp...
*Note: This presentation is intended for general information and entertainment purposes only. No mention of company names, trading strategies or illustrative examples constitute investment advice. SpotGamma advises you to seek investment advice from a licensed professional.
###
Futures and forex trading contains substantial risk and is not for every investor. An investor could potentially lose all or more than the initial investment. Risk capital is money that can be lost without jeopardizing ones’ financial security or life style. Only risk capital should be used for trading and only those with sufficient risk capital should consider trading. Past performance is not necessarily indicative of future results.
Hypothetical performance results have many inherent limitations, some of which are described below. No representation is being made that any account will or is likely to achieve profits or losses similar to those shown; in fact, there are frequently sharp differences between hypothetical performance results and the actual results subsequently achieved by any particular trading program. One of the limitations of hypothetical performance results is that they are generally prepared with the benefit of hindsight. In addition, hypothetical trading does not involve financial risk, and no hypothetical trading record can completely account for the impact of financial risk of actual trading. for example, the ability to withstand losses or to adhere to a particular trading program in spite of trading losses are material points which can also adversely affect actual trading results. There are numerous other factors related to the markets in general or to the implementation of any specific trading program which cannot be fully accounted for in the preparation of hypothetical performance results and all which can adversely affect trading results.
11 ماه پیش
در تاریخ 1402/06/01 منتشر شده
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