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chiraagbalu / dealergammaexposure

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VEX Exposure #1

Open brandonros opened 1 year ago

brandonros commented 1 year ago

Vanna exposure (VEX): An option dealer's delta sensitivity to changes in options' implied volatility

https://squeezemetrics.com/download/The_Implied_Order_Book.pdf

What would adding this look like?

chiraagbalu commented 1 year ago

adding the implied orderbook or adding VEX?

i'd be happy to take a look at trying to add VEX, but feel free to implement something yourself off a fork if you'd like!

brandonros commented 1 year ago

https://github.com/picklenerd/market_analyzer/blob/06653e060737c72fed084bd6704327b6a016205d/src/math/bs.rs if you need it