Vanna
Vanna is a second-order option greek: the change in an option's delta for a change in implied volatility, or equivalently the change in vega for a move in the underlying. It matters to hedgers because a volatility shift alone can force a delta adjustment even when spot has not moved.
Senzoukria · Glossary · Updated September 2026
A cross-sensitivity, not a direction
Delta depends on implied volatility as well as on spot. For an out-of-the-money option, higher implied volatility raises the chance of finishing in the money, so its absolute delta grows; lower volatility shrinks it. Vanna is that rate of change. Because it links two inputs, it has no single sign across a chain: out-of-the-money calls and puts, in-the-money options and at-the-money options each behave differently, and the sign for a dealer depends on which side of each position the dealer holds.
Why hedgers watch it
- A book kept delta-neutral must rebalance when implied volatility moves, not only when spot moves. Vanna sizes that rebalance.
- Around volatility events, a fall in implied volatility can change the delta of many strikes at once, producing a hedge flow with no price trigger.
- Vanna exposure aggregates vanna across positions with the same sign and multiplier conventions used for gamma exposure, so it inherits the same positioning assumption.
How it differs from gamma and charm
| Greek | Delta changes because of | Typical trigger |
|---|---|---|
| Gamma | A move in the underlying | Price moves through strikes |
| Vanna | A change in implied volatility | Volatility repricing, event pass |
| Charm | The passage of time | Approach to expiry, overnight decay |
In Senzoukria
On the GEX module's Surface page, the Value plotted control includes Vanna exposure alongside Gamma exposure, Charm exposure, Open interest and Implied volatility, drawn across every strike and every expiry. The page's note reminds the reader that gamma, vanna and charm are model output computed from the assumptions above, while open interest and implied volatility come from the chain as published. When only part of the chain returned, the regime panel shows a warning that vanna and charm rest on a stated percentage of the legs and should be read with care. All of this requires a configured options data source; the module does not estimate vanna without a chain.
Common mistakes
- Reading vanna exposure as a directional forecast. It describes a conditional hedge adjustment, not where price goes.
- Assuming vanna flow is visible on the futures tape. A hedge may pass through other instruments or be netted inside a book.
- Using a vanna value computed on a partial chain as if the missing legs were zero.
Related
This page in other languages
Frequently asked questions
- Does vanna matter when the market is not moving?
- Yes, that is the case where it matters most. If implied volatility falls while spot is flat, the delta of out-of-the-money options shrinks and a delta-neutral hedger must adjust. Gamma alone would predict no adjustment because spot did not move.
- Is vanna exposure more reliable than gamma exposure?
- Neither is more reliable; they answer different questions under the same assumptions. Both are model outputs that depend on the volatility surface, the pricing model and a dealer positioning convention that nobody publishes. Vanna adds a further dependency on how implied volatility itself is expected to move.
- Why does Senzoukria warn about vanna on thin chains?
- Because vanna is aggregated across legs, and a leg that failed to load cannot be replaced by zero without biasing the total. The warning states the percentage of legs the value rests on so the reader can decide whether the figure is usable. The same caveat applies to charm.