The shallow understanding treats Vanna as an individual Greek for a single option. The deeper understanding treats Vanna as a between two of the most powerful forces in finance: realized price moves and implied volatility.
Vanna's personal life has been the subject of much interest over the years. She has been married twice, first to television personality and director, John Jacques, and then to former NBA player, Jack White. The couple has two children together, Sami and Christian.
Vanna is also dedicated to various charitable causes, including: deeper vanna
How much will my volatility exposure (Vega) change if the stock price moves? For most standard options:
"I don't get it," Elias admitted, defeated. "My delta hedging is perfect. I’m neutral to the market direction." The shallow understanding treats Vanna as an individual
Elias turned back to his terminal. He didn't adjust his delta. Instead, he pulled up a volatility surface chart. He began to calculate the cross-gamma, the sensitivity of the sensitivity.
She stood up, straightening her jacket. "The market is a complex system. It doesn't just move; it breathes. Vanna is the measure of that breath. Inhale, exhale. Volatility expands, contracts. If you want to survive, you have to hedge the breath, not just the heartbeat." She has been married twice, first to television
Elias frowned, visualizing. "The raft?"
He sold some of his short-dated calls and bought longer-dated puts to balance the Vanna exposure. He was building a hedge that would adapt as the market's "water level" changed.
Mathematically, Vanna is the derivative of Delta with respect to volatility, or equivalently, the derivative of Vega with respect to the underlying price. It answers two critical questions for a trader: