As we have seen in previous articles of this series, analysing the role of individual Greeks in derivatives and structured products is an important part of risk management.
In this article, we continue our exploration of different Greeks and examine Vanna, a second-order Greek, defined as the rate of change of Delta with respect to volatility, or equivalently, the rate of change of Vega with respect to the underlying spot. Vanna is important because spot and volatility are arguably the two pricing parameters that require the most dynamic hedging Vanna is a useful Greek for traders as part of their risk management toolkit as it gives insight into the relationshi