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Definition · updated 2026-10-21
Vanna
Vanna is how an option's delta changes when implied volatility changes, and equivalently how vega changes with price. For dealers it means a drop in IV forces them to buy stock against the puts they are short, which is the vanna flow behind the slow grinds higher that follow a volatility collapse.
See it live: today's GEX levels by ticker.
Why it shows up after OPEX and VIX spikes
When IV falls, out-of-the-money puts lose delta, so dealers short those puts are suddenly over-hedged and buy back stock. The effect is largest when put open interest is heavy, which is why rallies after a fear spike often feel mechanical.
Frequently asked questions
- Is vanna bullish?
- Falling IV with heavy put open interest produces dealer buying, which is supportive; rising IV produces the reverse. It is a flow, not a direction call.
- Does OptionScout compute vanna?
- Not yet. The GEX pages cover gamma; vanna and charm are explained here so the terms are not a mystery when other services cite them.