Vanna exposure
A modeled estimate of how dealers' delta hedges may change when implied volatility changes, based on vanna across strikes.
Vanna is the sensitivity of an option’s delta to a change in implied volatility. Vanna exposure, or VEX, applies that sensitivity across open interest with an assumption about dealer positioning, in the same way gamma exposure does for price moves.
When implied volatility falls, for example after an event, the deltas of out-of-the-money options shrink, and dealers hedging those options may buy or sell the underlying as a result. Like GEX, VEX is a model output that depends on assumptions about who holds which side.
Illustrative example (hypothetical numbers, not a real trade): an out-of-the-money put has a delta of -0.30, and its delta moves 0.01 closer to zero for each one-point drop in IV. If IV falls 5 points, its delta is about -0.25. On 1,000 contracts, that is a 5,000 share change in the hedge held against them.