Vanna —
How Delta changes with volatility (and Vega changes with price).
Quick Answer
Vanna measures how an option's Delta shifts when implied volatility changes — equivalently, how Vega shifts when the underlying moves — a cross-Greek that matters most for skew-sensitive and Delta-hedged positions.
Vanna is one of the option Greeks — how Delta changes with volatility (and Vega changes with price). OptionsGyan teaches the options fundamentals; the complete reference for Vanna — the plain-English meaning, formula, original diagram, a worked Nifty example, common mistakes and FAQ — lives on GreeksGyan, our dedicated option-Greeks site.
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Vanna (—) — the full guide
Meaning, formula, diagram, Nifty worked example, misconceptions and FAQ.
All the option Greeks
Delta, Gamma, Theta, Vega, Rho and the second-order Greeks, in one reference.
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Published 1 July 2026. Educational content only — not investment advice.