Vanna explains why a position that looks delta neutral can become directional after a volatility shift. Raise implied-volatility and out-of-the-money options gain delta, because a wider distribution makes reaching the strike more plausible.
It matters most for skewed books. A trader short out-of-the-money puts is short vanna: when the market falls, volatility rises, and their put deltas grow faster than the price move alone would suggest. Losses arrive from two directions at once.
Example: you are short the XYZ $45 put at 0.18 delta with implied-volatility at 25%. A sharp drop takes IV to 35% while XYZ falls only to $49. Delta is now 0.24 despite the small move — vanna added exposure you never chose.
Related: second-order-greeks, charm, volatility-skew, vomma