Vanna（Delta 对波动率的敏感度）

中文解释

Vanna 衡量隐含波动率变化时，期权 Delta 会如何变化。当 IV 上升或下降时，即使标的价格没有明显移动，做市商对冲需求也可能发生变化。交易者会把 Vanna 作为理解波动率环境与 Gamma 结构互动的一个输入，尤其关注大指数到期和事件驱动波动阶段。

English definition

Vanna measures the sensitivity of option delta to changes in implied volatility. When volatility rises or falls, dealer hedge demand can shift even without a large spot move. Traders use vanna as one input for understanding how volatility regimes may interact with gamma exposure, especially around major index expirations and event-driven volatility changes.

在 Nightwatch 里怎么看

Dealer Heatmap 可以切换到 VEX（Vanna 敞口）视图，按「行权价 × 到期日」查看做市商 Vanna 敞口集中在哪些位置，并标出短时间内的明显变化。仅作市场结构参考，不构成买卖建议。

Dealer Heatmap can switch to a VEX (vanna exposure) view that shows where dealer vanna exposure concentrates across strike and expiry, with markers for notable short-term changes. It is market-structure context, not financial advice.