Vanna Scenarios — Delta Changes from IV Moves
Vanna (dΔ/dIV) shows how dealer delta hedges shift when IV changes — correlation risk
Scenario 1 · Price Up + IV Up — Dealer Buys (Amplify)
Rising price + rising IV: vanna forces dealers to buy delta — adds fuel to rally
⚡ Positive vanna + up move + IV spike = reflexive buying
Scenario 2 · Price Up + IV Down — Dealer Sells (Dampen)
Rising price + falling IV: vanna causes dealers to shed delta — caps the rally
🛡 Vanna headwind — IV crush dampens up moves
Scenario 3 · Price Down + IV Up — Dealer Buys (Dampen)
Falling price + rising IV: vanna forces delta buying — cushions the decline
🛡 IV spike into sell-off triggers vanna bid
Scenario 4 · Price Down + IV Down — Dealer Sells (Amplify)
Falling price + falling IV: vanna forces delta shedding — amplifies the decline
💥 IV crush + sell-off = reflexive vanna selling
Price
IV
Dealer flow (amplify)
Dealer flow (dampen)