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Vanna

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Vanna
The Vega of an Option is not constant. Vega changes as Spot changes and as Volatility changes. The vanna of an Option measures the change in Vega for a change in the Underlying Spot. As Spot moves deeper Out-of-the-money for a Vanilla option the Vega is lower. If Spot and Volatility movements are positively correlated the Holder of an Option with positive vanna Will be expected to profit from this Correlation.

See also Vega
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