Vanna
Vanna is the cross-sensitivity of an option’s value to changes in the underlying price and volatility; it is commonly defined as the partial derivative of Delta with respect to volatility (dDelta/dVol), and equivalently as the derivative of Vega with respect to the underlying price (dVega/dS).
Example: If the underlying price moves while implied volatility changes, Vanna helps describe how the option’s Delta is expected to shift in response to those dual changes.
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