A set of greeks that measure the sensitivity of an option‘s value (also a warrant‘s value) to one of the relevant risk factors (underlying price, underlying volatility, etc ). Hence they are also known as cross sensitivity measures. Cross greeks are: cross gamma, cross vomma, cross zomma, cross speed (speed), cross volga, correlation sensitivity, ultima, and vanna.

For example, vanna (a second-order cross greek) measures the absolute monetary change in delta for a 1 point change in volatility (also known as skew greek). In other words, it is the sensitivity of vega (or kappa) to a change in the underlying price. Alternatively it is expressed as the first derivative of vega with respect to a change in the underlying or the first derivative of delta with respect to a change in volatility or also the second derivative of option value with respect to a joint movement in the underlying and volatility. Vanna is also known as volatility’s cross greek.