Skip to main content

Vanna

Vanna measures the sensitivity of delta to changes in implied volatility. Equivalently, it measures how vega changes with spot price.

Interactive Vanna Curve​

Explore how vanna varies across spot prices. OTM options have the highest vanna magnitude.

Option Type:
Days to Expiry30d
1d90d
Implied Volatility50%
10%150%
Vanna measures how delta changes when IV changes. OTM calls have positive vanna — delta increases when vol rises.
ATM (vanna ≈ 0)OTM (+vanna)ITM+0-$70kStrike $100k$130kSpot PriceVanna
Spot Price
$100.0k
Vanna
+0.034
Moneyness
ATM
Vol Effect
Strong
Vanna = +0.034 → If IV rises 10%, delta increases by ~0.341. In a selloff with rising vol, this call becomes more sensitive to spot.

Key Properties​

Highest at: OTM options
Near zero at: ATM and deep ITM
Sign: Positive for OTM calls, negative for OTM puts

Vanna by Position​

Option
Vanna
Effect When Vol Rises
OTM Call
+
Delta increases
OTM Put
−
Delta becomes more negative
ATM
~0
Delta stable with vol
Deep ITM
~0
Delta already at extreme

Why Vanna Matters​

Spot-Vol Correlation

The vanna effect

  • Spot and vol are negatively correlated
  • Spot drops → Vol rises → Vanna kicks in
  • OTM calls: delta increases as vol rises
  • Amplifies exposure during selloffs

Hedging Impact

Delta drift

  • Large vanna = delta changes with vol
  • Delta hedge wrong after vol moves
  • Need to re-hedge or accept drift
  • Consider vanna when setting hedge frequency
💡

In a market selloff, vol typically spikes. If you're long OTM calls with positive vanna, your delta increases just as the market is falling. Combined with gamma, this can significantly amplify your exposure.

Practical Applications​

Scenario
Vanna Effect
Long OTM calls in selloff
Delta increases as vol spikes — more downside exposure
Long OTM puts as hedge
Delta becomes more negative — hedge becomes stronger
Vol crush after event
OTM options lose delta sensitivity
Skew trading
Vanna exposure drives P&L from spot-vol correlation

Related:

  • Volga — How vega changes with vol
  • Charm — How delta changes with time
  • Delta — What vanna measures the change of