Vanna of the call changes sign near its strike, so a rise in volatility moves delta up on one side and down on the other

Vanna of the call changes sign near its strike, so a rise in volatility moves delta up on one side and down on the other20 days left: from 0.0137 at 22,078 to −0.0136 at 24,402, high 0.0166 at 22,441, low −0.0154 at 24,083. 10 days left: from 0.00661 at 22,078 to −0.0076 at 24,402, high 0.0164 at 22,674, low −0.0156 at 23,836. 2 days left: from 0.00000278 at 22,078 to −0.00000948 at 24,402, high 0.0162 at 22,993, low −0.0158 at 23,516.20 days left10 days left2 days left−0.01000.00000.010022,50023,00023,50024,000Level of the futureFuture 23,240Strike 23,250
Vanna of the at the money NIFTY call on the 10 Jun 2026 chain for the 30 Jun 2026 expiry, against the level of the future, with twenty, ten and two days left. Vanna is the change in delta for a one point rise in volatility, with the same Black 76 inputs as the delta chart. Source: NSE end of day data, computed by RupeeCase. As of 10 Jun 2026.

Delta is the first order sensitivity to the future. Vanna and charm are the cross effects: vanna is the change in delta for a one point change in volatility, and charm is the change in delta as one calendar day passes. A position that is delta neutral at one close can carry a different delta at the next open with no move in the index.

For a call, vanna is positive while the future is below the strike and negative above it, with the sign changing just above the strike, where d2 in the Black 76 formula is zero. The chart draws vanna for the at the money call on the 10 Jun 2026 chain. In practice a rise in volatility lifts the delta of a call that is out of the money and lowers the delta of one that is in the money.

Charm matters into expiry. An out of the money option's delta falls toward zero as time passes, and an in the money option's delta drifts toward one in size (minus one for a put), so a hedge sized in the morning can be wrong by the close. The effect is strongest in the last sessions before expiry, and the gamma and dealer flow page sets out the argument that hedgers' trades follow it.

Vanna and charm flows are not observed in India. No exchange publishes dealer hedging by strike, so any flow estimate rests on a stated assumption about who hedges, which is why the gamma exposure pages show each convention side by side. Read this page as a sensitivity map, not as a forecast of any day's flow.

Before you trade. Derivatives trading carries a high risk of loss. SEBI's study "Profitability of Individual Traders in the Equity Derivatives Segment (FY25 to FY26)" (August 2026) found that 87.7% of individual traders in equity F&O made net losses in FY26, with aggregate net losses of Rs 91,685 crore. Read the SEBI study