The story
Made up to sound like a Greek letter.
Etymology from Wiktionary, CC BY-SA 4.0.
Today it means: A third-order measure of derivative price sensitivity, expressed as the rate of change of vanna with respect to changes in the spot price, or equivalently the rate of change of gamma with respect to changes in the volatility of the underlying asset. Full definition →
Made up to sound like a Greek letter.
Etymology from Wiktionary, CC BY-SA 4.0.