AtlasVEX VWAP
Where vanna exposure is centred on the option board, drawn on the Atlas chart as a centre line with an optional band and envelope.
VEX VWAP is the vanna twin of GEX VWAP. It runs the same centre-and-band fold, minute by minute, but over the vanna (VEX) board instead of the gamma board. The centre line marks where the board's vanna weight sits. The upper and lower lines rerun that same average over the strikes above and below the centre.
Vanna exposure tends to lean toward downside strikes, so the VEX centre usually sits well below the GEX centre. Running both on one chart shows where gamma weight and vanna weight agree and where they pull apart. Like GEX VWAP, it's built from positioning data, not traded volume. It is not a price VWAP.
Adding the indicator
Open the chart settings panel and use the Add button in the Indicators section. VEX VWAP sits in the Overlay group right after GEX VWAP. Each instance gets its own settings cog, and you can run more than one with different settings.
Settings
| Setting | Options | What it controls |
|---|---|---|
| Expirations | Front only (default), 1W, 1M, 3M, 6M, All | Which expirations of the board feed the lines. Wider windows fold in further-dated exposure. |
| Nodes | All (default), P60, P50, P40, P30, P25, P20, P15, P10 | Which strikes feed the lines. A P-value keeps only the strikes whose exposure is at least that percent of the largest node. |
| Sign | All nodes (default), Positive only, Negative only | Fold only the positive or only the negative nodes. With a P-value set, each sign is measured against its own largest node. |
| Band | Band + centre (default), Centre only | Show the upper and lower lines, or the centre alone. |
| Envelope | Off (default), Opening window, Session | Two levels at the extremes the band has reached. Opening window covers the first N minutes after the 09:30 ET open and then freezes. Session runs from the open and only widens. |
| Window (min) | 15 (default), 8 to 60 | The length of the Opening window envelope. |
| Lines | Colour, width, style, opacity per line | Centre is solid at width 2, upper and lower are dashed, envelope lines are dotted. |
| Label | Always (default), On hover, Off | The price-axis badge and the name on the chart. |
On SPXW you also get Combine: None (default) or Trinity, which folds SPY and QQQ exposure into one SPX-priced board, plus a QQQ coef field (default 0.5) for the QQQ coefficient used in that blend.
Reading notes
- Confluence is the point of stacking them. Add a GEX VWAP and a VEX VWAP, maybe one of each sign. When several of those lines sit on the same side of price, the board's weight is lined up in one direction.
- Each minute stands alone. The lines come fresh from that minute's board with no smoothing, so a big repositioning moves them right away. A minute with no board data is a gap, not a stale value.
- The Opening window envelope needs at least 8 minutes of data inside its window. Without that, it draws nothing rather than a misleading range.
- It's a map of positioning, not a target. The centre shows where the vanna weight sits so you can see how far price is from it and how that gap changes through the day.
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