Business and Personal Finance Dictionary

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• VANNA
  
  The sensitivity of vega (also known as kappa) to a change in the underlying price. Hence, (a) the first derivative of vega (kappa) with respect to a change in the underlying, (b) the first derivative of delta with respect to a change in volatility, and (c) the second derivative of option value with respect to a changes in volatility and underlying.
  
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