Vanna
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.
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