A second-order cross greek that measures the absolute monetary change in delta for a 1 point change in volatility. It reflects 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.
It is also known as vanna.
