Vanna, charm and vomma, and whether you need them
Second-order Greeks measure how the first-order Greeks change. Vanna is delta moving when volatility moves, charm is delta moving as time passes, and vomma is vega moving when volatility moves. None of them is necessary to trade one contract well, and all three explain something you have already noticed.
The straight answer first, because most pages on this topic bury it: if you sell a few contracts a month, you do not need these. Read the page for the explanations, not for a new input to your process.
What they are good for is naming three effects that otherwise feel like the model misbehaving.
Vanna: your delta moves when volatility does
The UBER $72.50 call, 42 days out. Vanna is 0.0062 delta per volatility point.
Check it. At 32 percent implied volatility, delta is 0.3309. Push implied volatility to 37 percent, leave the stock at $68.40, and delta becomes 0.3585. That is 0.0276 of movement. Vanna predicted 0.031.
Not exact, because vanna is itself a local derivative and five points is not a small step. Close enough to see the effect.
Why you have felt this. Volatility spikes and your short call is suddenly shorter than it was, without the stock having moved. A rise in implied volatility widens the distribution, which makes every out-of-the-money strike more reachable, which raises its delta. Your position got more directional because the market got more nervous.
For a short-premium book this compounds badly. Volatility rises in a selloff, so short puts pick up delta and get longer precisely as the stock falls.
Charm: your delta moves as time passes
Also called delta decay. Charm on this contract is -0.0027 delta per day.
Check it. Delta at 42 days is 0.3309. Hold everything still and roll forward seven days: delta is 0.3095. A drop of 0.0214, against a charm prediction of 0.019.
An out-of-the-money option drifts toward zero delta as time runs out, because there is less time to reach the strike. In-the-money options drift the other way, toward 1.00.
Why you have felt this. A position you hedged on Friday is not hedged on Monday. And charm gets much larger near expiry: on this contract it goes from -0.0027 a day at 42 days to -0.0172 at seven days, six times faster. Over a long weekend that is a real change in your exposure arriving from the calendar alone.
Vomma: your vega moves when volatility does
Vomma is $0.063 of vega per volatility point here, which is small, and the reason it is small is the interesting part.
Vomma is near zero at the money and largest in the wings. An at-the-money option has roughly linear vega. A far out-of-the-money option does not: its vega grows as volatility rises, so it gets more volatility-sensitive the more volatile things become.
Why you have felt this. Far out-of-the-money options are the ones that go up ten times in a crash. Positive vomma is a large part of why cheap wing options behave the way they do, and why being short a lot of them is a different risk from being short one at-the-money contract with the same total vega.
The pattern across all three
| Days left | Vanna, delta per vol point | Charm, delta per day | Vomma, vega per vol point |
|---|---|---|---|
| 42 | 0.0062 | -0.0027 | $0.063 |
| 21 | 0.0075 | -0.0062 | $0.085 |
| 7 | 0.0073 | -0.0172 | $0.088 |
| 2 | 0.0016 | -0.0127 | $0.019 |
Same shape as everything else in this cluster. The second-order effects intensify into the final two weeks and then collapse once the strike is out of reach. Gamma does exactly this too, and for the same reason.
So who actually needs them
Market makers. Running thousands of positions and hedging continuously, second-order terms are the difference between a hedge that holds overnight and one that does not.
Anyone short size in the wings. If your book is far out-of-the-money short options, vomma is describing a real feature of your tail and it is not visible in vega alone.
Nobody selling covered calls and cash-secured puts. The effects are real and they are second order for a reason. Your outcome is decided by strike selection, position size and whether you picked a stock you can hold, and no amount of vanna changes any of those.
The useful takeaway is not a number. It is that the Greeks on your screen are a snapshot of a surface that is itself moving, so a delta from this morning is an approximation of an approximation. Which is an argument for margin of safety in sizing, not for a more elaborate dashboard.
OptionsKing scores every candidate strike on a deterministic 0 to 100 scale, blends that score with the return on the capital the trade ties up, and shows you the highest-ranked handful. There is no minimum score. How it works covers what the ranking does and does not tell you.
Questions people actually ask
What is vanna?
The rate delta changes when implied volatility changes. On the UBER $72.50 call, pushing implied volatility from 32 to 37 percent moved delta from 0.331 to 0.359 with the stock unchanged.
What is charm in options?
Delta decay, the rate delta changes as time passes with everything else held still. The worked contract lost 0.021 of delta over seven days, and the effect runs six times faster at seven days to expiry than at 42.
What is vomma?
The rate vega changes when implied volatility changes. It is near zero at the money and largest in the wings, which is a large part of why far out-of-the-money options can multiply in value during a volatility spike.
Do retail option sellers need second-order Greeks?
No. They explain effects worth understanding, but strike selection, position size and picking an underlying you can hold decide the outcome. Market makers hedging continuously are the people who need to compute them.
Sources
Rules and thresholds above were checked against these documents on August 4, 2026. Exchange and broker rules change. Confirm anything you are about to act on with your own broker.
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Every price in this article is an illustrative worked example, not a quote. Read The Greeks for the rest of the series, and the disclaimer before you act on any of it. Selling options carries real risk of loss, and the loss can be far larger than the premium you collected.