A tool that measures the changes in vega resulting from changes in volatility (vol) levels. Vega, per se, captures the amount of change in the price of an option in response to a 1% change in volatility (implied volatility) of the underlying price price or rate. DvegaDvol denotes the percentage change in the vega for 1% change in volatility based on ATM volatility. Mathematically, DvegaDvol is the partial derivative of vega with respect to volatility.

DvegaDvol is analogous to gamma for options and convexity for bonds. It shows how vega changes as volatility changes, just as gamma captures the change in delta as the underlying price changes (and convexity tells how duration or DV01 changes as yield changes). Investors or traders use this tool to determine how quickly the required change in a hedge position responds to a given change in the underlying risk factor.

DvegaDvol is also known as vanna or volga (though volga is typically referred to as DgammaDvol).