Macro Tourist Wants To Talk About Vanna White (And Also Volatility)

Read more from The Macro Tourist   Do you ever hear the "cool kids" in the option world talking about "vanna" and wonder what they are referring to?  They seem obsessed with Vanna's moves.  Thinking it was strange they were so interested in a game show host, I did a little research. My conclusion?  If you ever hear anyone making jokes at Wheel of Fortune's Vanna White's expense, they are idiots.  This woman has got it all figured out.  She works four days a month, makes somewhere

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2 thoughts on “Macro Tourist Wants To Talk About Vanna White (And Also Volatility)

  1. Kevin, thanks for the clear explanations and examples. Very helpful to those of us out here with limited access to real info from the front lines.

  2. Macro-Man, I have been reading H-Man posts on McElligott about the same topic but everything was flying over my head. Gamma flipping, spot changing, weak on the wings, you get the drift. You did a nice job of explaining that when dealers have to hedge that book, they have to sell into falling market to square the books which is quite a negative feedback loop. More like a death spiral. And they have to do a lot of selling to get hedged correctly. Thanks again for the insight.

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