vanna en · NOUN
Etymology
Made up to sound like a Greek letter, probably beginning with "v" to be similar to vega.
Meanings
- (uncountable) A second-order measure of derivative price sensitivity, expressed as the rate of change of vega with respect to changes in the spot price, or equivalently the rate of change of delta with respect to changes in the volatility of the underlying asset.
Deriveds
Hypernyms
Greeks (measure of derivative price sensitivity)