Examining Volga and Vanna from the perspective of Vega's first derivative is quite beneficial. Volga = ∂Vega/∂Sigma, Vanna = ∂Vega/∂S Volga corresponds to the Vega at the Vol level. Vanna corresponds to the Delta at the Vol level. As the underlying asset moves, the two can offset each other, suggesting a mutual transformation. Trading Vanna is quite exciting, as it allows for a sense of betting on price movements while maintaining a delta-neutral position. When you establish your position, you might think it has no Vanna, but once the underlying moves, it appears. And it can be quite significant.