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What is Vanna?

Vanna measures how an option's delta changes when implied volatility (IV) changes. Aggregated across the board (the platform calls it VANX), it tells you how much dealer re-hedging a volatility move will trigger — even if price itself barely moves.

That makes vanna the bridge between two markets: the index and its volatility.

Why it matters most at the open

The morning is when implied volatility moves hardest:

• Overnight event risk expires at the bell, and IV usually gets crushed in the first minutes of trading.
• When IV falls, the deltas of out-of-the-money options shrink. Dealers hedging those options suddenly hold too much hedge — and must unwind it.
• That unwind is a mechanical flow, typically supportive of price on vol-crush mornings ("vanna tailwind").

The reverse happens when fear returns intraday: IV spikes, OTM deltas balloon, and dealers must hedge more — usually pressuring price in the direction of the fear move.

Reading vanna like a trader

1. First 45 minutes: treat vanna as the dominant force. Price action at the open often follows the IV move rather than any chart pattern.
2. IV falling + market holding — vanna flow is a tailwind; early dips are often mechanical shakeouts that recover.
3. IV rising during the session — the vanna tailwind is gone; expect hedging flows to amplify downside and take structural levels less seriously.
4. Late day: vanna's influence fades as time runs out and charm takes over as the dominant time-based flow.

Next: CEX — Charm and time decay, the silent drift that accelerates into the close.