Arbetsdokument · CrossVol Research · Published 2026-07-15 · SSRN 7122218
On a quiet trading day the spot VIX and the volatility of the VIX tell opposite stories: the level says near-term equity risk is subdued, while the price of convexity in VIX options says participants are paying richly to be protected if it is not. We resolve the contradiction through the inventory that option dealers are forced to warehouse. We name the metric Vega Exposure (VEX) and apply it, through a transparent and reproducible estimator, to the aggregate open interest of the VIX options complex on a single date, 15 July 2026. The book is 2.64 times more heavily weighted to calls than to puts; the dealer community is short vega by roughly 5.4 million units and, on gamma, marginally long and close to neutral. We read this as a conditionally stable regime and organize it with a suppression-squeeze taxonomy: short vega pays dealers to sell volatility rallies and hold realized volatility down, but a near-neutral gamma on a call-heavy book flips a seller of rallies into a forced buyer once the move is large enough. The evidence is one cross-section, and we are explicit about what a snapshot cannot establish. The natural extension, which we flag rather than attempt, is to build VEX through time and test whether this configuration systematically precedes realized volatility spikes.
BibTeX citation
@techreport{djouad2026vex,
title = {Vega Exposure (VEX): Dealer Inventory and Volatility Suppression in the VIX Options Complex},
author = {Djouad, Djellal},
year = {2026},
month = {7},
url = {https://ssrn.com/abstract=7122218},
institution = {CrossVol Research},
}