Options Greeks
What is Vanna and how does it measure the change in Delta relative to a change in Implied Volatility?
By Easy Money Scanner · Educational reference · Not investment advice
The short answer
Vanna measures the rate of change of an option's delta with respect to a change in implied volatility, a second-order Greek linking volatility shifts to directional exposure changes.
How it works
Vanna is particularly relevant for market makers managing hedged books, since a volatility spike can simultaneously shift aggregate delta exposure across many strikes without any stock price movement.
An example
If implied volatility rises sharply, an OTM option's delta can increase even though the stock price has not moved, an effect attributable to positive vanna.
Risk & limitations
Vanna effects are complex and model-dependent, making them more relevant to institutional hedging desks than typical retail directional option strategies.
Examples are hypothetical, not trade recommendations. US contract and regulatory references do not automatically apply in Canada. Rules, margin requirements and broker policies can change; confirm them with the relevant authority and your broker.