title: What Is Vanna in Options? description: Vanna is the options Greek that measures how dealer gamma changes as implied volatility moves. Learn what vanna is, why it drives intraday acceleration, and how to read vanna flips. date: 2026-08-03 category: Options Market Structure related: [gamma-exposure, volatility-skew, charm]

What Is Vanna in Options?

Vanna is a second-order Greek that measures the change in delta (or gamma) as implied volatility changes. It is a subtle force, but it is one of the reasons option markets behave the way they do during vol spikes.

What vanna captures

When implied volatility rises, the value of every option changes — and so does the hedging obligation of the dealer on the other side. Vanna quantifies that sensitivity. Practically, it means:

• Rising vol shifts dealer hedging flow in a predictable direction.
• Falling vol shifts it the opposite way.
• The effect is strongest when there is significant open interest at strikes far from the current price.

Vanna and direction

The relationship between vanna and price is asymmetric. Large vanna concentrations often align with so-called "vanna flips" — levels where a volatility shock can produce sharp, one-directional moves as dealers re-hedge en masse.

Related terms

• Gamma Exposure
• Volatility Structure

Understanding vanna helps explain why the market accelerates when vol spikes — knowledge most retail traders never get. DealerFlow Terminal visualizes vanna and charm alongside gamma so you can see the full picture.