Glossary term
Vanna
A second-order Greek measuring how an option's delta changes as implied volatility changes — a key driver of dealer hedging when vol moves but price does not.
Vanna is a second-order Greek measuring how an option's delta shifts when implied volatility changes (equivalently, how vega shifts as the underlying moves). It matters most for out-of-the-money options: when call buyers push implied vol up, vanna raises their deltas and can force dealers to buy the underlying even when spot has barely moved — adding fuel to a rally. The effect runs in reverse when vol falls, withdrawing hedge-driven support. See Greeks 101 and Charm.