This seems like a prescient time to talk about options vanna and a vanna type rally. Vanna measures the change in delta for a change in IV.
Long calls + short puts = Long Vanna
We view options market makers as typically long vanna. When volatility crushes they therefore must buy stock back to reduce their hedges. In our opinion this is what fuels “V” shape rallies that occur after large negative gamma induced market drawdowns.
