Vanna

Q: What is vanna?

Vanna measures how delta changes when implied volatility moves. It's the cross-greek between spot and vol.

Q: How does vanna affect stock prices?

When aggregate dealer vanna is positive, a drop in IV pushes dealer deltas in a direction requiring them to buy shares, creating vol compression support.

Q: Why does Vanna matter for trading?

Vanna is the vol-spot cross-link that drives most of the interesting behaviour in options flow. It's why big put-side positioning amplifies selloffs, why OPEX cycles matter, and why vol regimes can be self-reinforcing. Dealer-flow traders live in the vanna space.

Q: When is Vanna good versus bad for a trader?

Long vanna (or positive VEX) is supportive in vol rallies. Short vanna (negative VEX) is the classic crash-amplifier and is bad in stress regimes but good for vol buyers looking for convex payoffs. Vanna-flat positions avoid the vol-spot cross but also miss its convex opportunities.

Canonical definition, formula, interpretation, and API reference.

Definition

Delta sensitivity to implied volatility changes. The greek behind VEX. Drives vol-coupling hedging flows.

Formula

Vanna = dDelta/dVol

Second-order cross-partial of option value with respect to spot and implied vol.

Inputs

deltaimplied volspot

Output

vanna value

Interpretation

Positive vanna: vol compression pushes delta toward dealers (supportive)
Negative vanna: vol spike amplifies moves
Most relevant during events where IV shifts sharply

API Reference

Endpoint

GET /v1/pricing/greeks

Tier

Free

Response field

second_order.vanna

Why Vanna Matters for Trading

TL;DR

Vanna is delta's sensitivity to vol. It's the single most important second-order Greek on index options — the whole VEX story runs on vanna.

What it measures: ∂Δ/∂σ — how delta changes when IV changes.
What it signals: How much of a spot rehedge a vol shock will force on dealers.
Why we measure it: Most crash mechanics require vanna. Rising vol makes puts more delta-sensitive, which forces selling, which pushes spot lower, which re-raises vol.
Who uses it: Vol traders, dealer-flow quants, VIX desks.

How to read Vanna

Long vanna (structural)

Delta grows when vol rises
Supportive for dealers in vol rallies
Dampens crash feedback
Common post-OPEX

Good for: vol-supportive dealers

Short vanna (structural)

Delta shrinks when vol rises
Dealer selling amplifies vol spikes
Crash-feedback channel
Pre-OPEX risk

Bad for: stress — good for: vol buyers

Vanna-flat

Near-ATM vanna is small
Vol and spot decouple
Pure delta / gamma regime
Typical on dry tape

Decoupled

Rules of thumb

Vanna peaks at wings. OTM puts and calls have the highest vanna. ATM vanna is small.
Negative vanna is the crash-amplifier. The key ingredient in 'vol-of-vol' spikes.
Aggregates to VEX. Chain-wide vanna is the VEX number most traders actually look at.
Unwinds at OPEX. Large vanna concentrations on OPEX-dated options unwind into expiry.
Pair with skew. Vanna is what puts the 'skew' into skew. Vanna and skew move together.