The implication of Vanna

Vanna; most commonly referred to as DvegaDspot (more rarely as DdeltaDvol). It´s a second order derivative of the option value, once to the underlying spot price and once to volatility.

Vanna is useful as a convexity measurement for options- and other non linear portfolios with embedded convexity features. When maintaining a delta- or vega-hedged portfolio, Vanna helps the operational manager to anticipate changes to the effectiveness of a delta- or vega hedge towards changes in implied volatility. 

In short, Vanna benefits from increased volatility, both underlying and implied. Most assetinvestments and exposures do not, ie, they have a concave riskprofile. This makes long Vanna a desired feature and complement for asset exposures with a concave volatility pay off. Such a non linear risk management profile generates a competitive advantage for the customer.

Vanna Capital strives to achieve similar and other competitive advantages for its customers. Creating an allweather position of strenghth.