Vanna
Vanna is a second-order options Greek that measures how much an option's delta changes for a one-point change in implied volatility, or equivalently, how much vega changes for a one-point change in the underlying's price.
Vanna belongs to the cross-Greek category because it links two different first-order sensitivities — delta and vega. Mathematically, it is the mixed partial derivative of the option's price with respect to both the underlying price and implied volatility, and the value is identical whether you approach it as the change in delta per unit of volatility or the change in vega per unit of price movement.
A positive vanna on a long call means that as implied volatility rises, delta increases — the option behaves more like the underlying stock. This interaction matters significantly around earnings announcements, Federal Reserve decisions, or any event that simultaneously moves both price and volatility. When a stock gaps up sharply on strong earnings while implied volatility is elevated, vanna amplifies the delta increase beyond what a simple delta estimate would suggest.
Professional options desks at U.S. broker-dealers track vanna as part of a broader sensitivity framework. When IV is high — as measured by the CBOE Volatility Index (VIX) — vanna exposure across large portfolios can create self-reinforcing feedback loops. If a market selloff simultaneously lowers prices and spikes volatility, vanna causes delta to fall on long calls held by institutional hedgers, forcing them to sell more underlying shares as a hedge, which in turn pressures prices further. This vanna-driven cascade is one mechanism sometimes cited in academic literature to explain sharp intraday moves during volatility events.
For a standard equity option, vanna is typically largest for out-of-the-money contracts close to expiration, where small changes in implied volatility have an outsized effect on the probability of the option finishing in the money. Deep in-the-money and deep out-of-the-money options have relatively low vanna because their delta is already near its extreme values of 1.0 or 0 and is less sensitive to volatility shifts.
Most retail traders never need to manage vanna directly. However, understanding vanna helps explain why options behave differently than a simple delta model predicts during volatile market sessions — particularly when both price and implied volatility move in the same direction simultaneously.