Nightwatch Glossary

Vanna

Vanna measures how option delta changes when implied volatility changes.

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.

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。

How Nightwatch uses this term

Nightwatch uses Vanna as one market-structure input alongside price, implied volatility, options flow, and dealer-positioning context. It should be read as analytical context, not financial advice.