Let's talk a little bit about vanna, vomma and zomma, and their effects on the distribution. Vanna is the risk reversal/skew channel linking the spot and vol hedges. If dealers are long vanna, a fall in spot makes their vega shorter. Buying vol to restore that vega pushes IV higher. Higher IV then makes delta longer through the same vanna exposure, requiring underlying sales. This creates a loop between falling spot, vol buying and further spot selling. (Long gamma supplies an opposing flow because the spot decline itself calls for underlying purchases. The full shadow book determines which response wins.) MM short vanna is the inverse of this spot/vol response, thats when customers are basically short skew... Vomma changes how much further vol buying that loop requires. With dealers long vomma, rising IV adds vega back to the book, partly replacing the vega lost as spot fell. The need to keep buying vol therefore diminishes. With dealers short vomma, rising IV removes more vega, so restoring the hedge can require additional vol buying providing even more convexity. This is how vol convexity can compress or amplify the IV response. In my tests, the same 10 bp sell impulse in a simulated book, long vomma reduced the IV rise by about 40% relative to zero vomma; short vomma increased it by about 51%. That can alter the fourth moment when the wings are damped or amplified differently from the centre. Zomma feeds that IV change back into gamma. In a long-zomma zone, rising IV contributes to making gamma longer or less short. If the full shadow hedge becomes stabilising, the dealer buys into the decline and absorbs part of the selling, this is why I often call it as "synthetic circuit breaker" (although its strength depends on the hedge flow relative to incoming selling and the available market depth...) Through that feedback, zomma directly influences the IV/RV relationship, which matters particularly to vol traders. Remember, that IV is the price you pay and RV is the movement subsequently delivered for that price. For a delta hedged long vol position, that movement generates gamma-scalping gains against the option’s carry. The relevant realised value depends on when and where the movement occurs, because your gamma changes along the path. Take the long-vanna setup for example... Spot falls, dealer vega becomes shorter, so they are buying vol to restore the hedge pushes IV higher. Higher IV also makes dealer delta longer through vanna, requiring underlying sales. Initially, the two hedges can reinforce the decline. But if spot enters a sufficiently long zomma zone, the IV rise also makes gamma longer. If that turns the full shadow hedge stabilising, subsequent declines attract dealer buying. The same IV rise that accompanied the selloff now strengthens the flow absorbing it... This is a bearish long-vol trap. Traders pay higher IV for further downside and continued movement, while the evolving dealer book increasingly suppresses that continuation. IV can remain bid while subsequent local RV falls short of what the premium requires. Negative spot/vol correlation can persist throughout. A directional put can still profit from the initial decline, and a long vol position can benefit from further IV appreciation, but buyers arriving after the repricing may receive too little subsequent movement for the price paid. Also I must mention speed... Speed is the gamma-to-spot fuction. When dealers are short speed, falling spot makes their gamma longer. If the full shadow gamma is positive, each further decline can require more underlying purchases. The dealer contribution to liquidity therefore becomes more supportive as spot moves lower. If gamma remains negative, the selling can weaken while dealers continue to sell into declines. This is how speed can affect both local RV and the asymmetry of the realised return distribution. Stronger absorption on the downside can thin the left-tail, while weaker absorption on the upside allows the right-tail to stretch. Overall dispersion can remain almost unchanged even though the distribution becomes positively skewed. Vanna describes the spot/IV hedge connection while speed describes how gamma changes across spot levels. Their dominant horizon depends on the expiry mix, exposure concentration and hedge frequency. Speed shapes the dealer liquidity response across prices, which can influence where intraday volume accumulates. ☝️But the chicken still comes before the egg. It is not the tail that wags the dog. The relationship is reflexive, because customers go long liquidity where their calculations suggest liquidity could increase. These expectations, which I call the “implied liquidity structure”, can be read from positioning data. We can even calculate the implied distribution and its associated probabilities, which is particularly useful for developing strategies, sizing positions and interpreting the volume profile. Where customers repeatedly sell downside options, dealers become short speed. If that region also carries long dealer zomma, rising IV adds another contribution towards longer gamma. Long vomma dampens the accompanying vega-hedging feedback. Together, these exposures build the supportive profile behind the “synthetic circuit breaker”, provided the hedge demand is strong enough relative to incoming selling and market depth. This is what we keep seeing, and that I keep flagging when I foreshadowed upside grind and supported downside while most ppl where bear-panicking... So, ▫️Long speed shifts realised skew negative and short speed shifts it positive, acting immediately on spot moves and persisting across intraday, weekly or longer horizons according to the expiry mix. Through this channel, one side of the distribution becomes more compressed while the other becomes more extended. Speed therefore describes how effective hedging liquidity changes as price travels through different levels. ▫️Vanna reshapes realised skew through state-dependent spot/vol feedback, with the direction determined by the full exposure surface and effects ranging from intraday adjustments to persistent monthly or quarterly positioning. It changes the distribution’s left–right asymmetry and therefore its skewness. A symmetric response can change dispersion without changing skewness. Vanna consequently helps determine which price regions become easier or harder to traverse as volatility changes. ▫️Long dealer vomma acts as a brake on the spot/vol feedback loop, reducing the additional hedging pressure that would otherwise amplify a move. This can suppress flow-driven acceleration and reduce kurtosis when extreme moves are damped disproportionately relative to ordinary moves. The braking comes from weaker feedback; uniformly compressing returns reduces their dispersion while leaving standardised kurtosis and return autocorrelation unchanged. ▫️With IV rising on sell-offs and falling on rallies, long dealer zomma strengthens downside gamma damping and weakens upside damping, compressing the left side of the realised distribution relative to the right and shifting skewness positively, while short dealer zomma reverses these effects.