Option Greeks - Vanna

Calvin Lin contributed

This wiki is incomplete.

The vanna of an option is the rate of change of delta with respect to volatility.

$\text{ Vanna} = \frac{ \partial \Delta } { \partial \sigma } = \frac{ \partial^2 V } { \partial \sigma \partial S } = \frac{ \partial \nu } { \partial S }$

It is sometimes also known as "D Del V".

Contents

Vanna of option
Graph of Vanna

Vanna of option

Graph of Vanna

Cite as: Option Greeks - Vanna . Brilliant.org. Retrieved 05:21, April 5, 2025, from https://brilliant.org/wiki/option-greeks-vanna/