This calculates Vex per 1% move in the underlying volatility. Based on open interest.
(Currently it only works for option contracts in the current month.)
The VEX is displayed in millions.
Vanna Exposure = Open Interest * Contract Size * Vanna * Spot Price * Underlying Volatility
Total VEX = Call VEX + Put VEX
To install:
- Click the Trade tab then All Products.
- Enter SPY and press enter.
- Click Layout then Customize.
- Click the scroll icon next to one of the Custom indicators.
- Give it a name Column name: VEX
- Click thinkScript Editor
- Paste the code. Select Apply and Ok.
- Select the Add Items button. Then Ok and done.
**** Make sure D (Day) is selected. To the right of the column name.
