The first-order Greeks — delta, gamma, theta, vega — measure an option’s sensitivity to price, time, and volatility. Second-order Greeks measure how those sensitivities themselves change. They’re where the dealer-flow story gets interesting.

The key second-order Greeks

Vanna — how delta changes with volatility. Charm — how delta changes with time (delta decay). Vomma — how vega changes with volatility (vol convexity). Veta — how vega changes with time. Each captures a way your first-order exposure drifts as conditions move.

Why they matter

Dealers hold enormous options books and must hedge all these exposures, not just delta. So when volatility or time moves, second-order Greeks force real hedging flows — buying and selling that pushes price with no news. Vanna flows and charm-driven pins are the two most visible on the tape, especially around OPEX and vol resets.

First-order Greeks tell you your exposure now; second-order Greeks tell you how it drifts — and drifting exposure is what forces dealers to trade, moving the tape.

What it means for a scalper

You don’t calculate these, but understanding them demystifies moves that look random — drift after a vol crush, pinning into the close. There are even third-order Greeks (color, speed, zomma) for the truly deep. For 0DTE specifically, see higher-order Greeks for 0DTE. NoVo maps the result — the dealer levels these flows build.