3min snip

INSIGHT

VANA and Charm Flows

VANA and Charm, significant metrics in options positioning, are heavily influenced by skew (downside options relative to upside options).
Dealers often short puts and long calls, especially in index options and towards expirations, creating potential energy for skew to decrease and generating short delta (potential demand).
This potential demand becomes real as expirations approach, leading to measurable VANA (volatility-related) and Charm (time-related) flows.
These flows, which can represent 20-60% of daily market flows, are crucial for understanding supply and demand dynamics and should not be overlooked.

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