Henry has yet to appear in a game this season because of an ankle sprain. He averaged 4.3 points in 38 games as a rookie last season with Memphis.
The Kansas product was acquired by the Hornets on January 4 as part of a three-team trade involving the Grizzlies and 76ers.
Vasquez is averaging 5.6 points, 3.1 assists and 2.1 rebounds in 17 games with the Hornets this year. He averaged 3.6 points in 70 games with the Grizzlies in 2010-11.
The former Maryland standout was dealt to New Orleans in December.