Charm measures how delta changes with time. It drives end-of-day rebalancing flows and is the core input for CHEX calculations.

How does charm affect dealers?

Dealers rebalance delta hedges as charm shifts deltas overnight. Positive aggregate charm means time decay pushes dealers to buy shares (supportive).

Why does Charm matter for trading?

Charm is one of the few hedging flows that happens on a predictable clock. As expiry approaches, dealer charm grows sharply - forcing hedge flows that concentrate into the closing hour. OPEX traders and 0DTE specialists watch charm because it's the most forecastable flow in options.

When is Charm good versus bad for a trader?

Positive chain charm is good for late-day longs; negative is good for late-day shorts. Off-peak (midweek) charm is background noise. 0DTE expiry days amplify charm - the last hour is dominated by it.

Charm

Canonical definition, formula, interpretation, and API reference.

Definition

The rate at which delta changes with time. The greek behind CHEX. Drives end-of-day dealer rebalancing.

Formula

Charm = dDelta/dTime

Second-order cross-partial of option value with respect to spot and time.

Inputs

deltatime to expiryspotIV

Output

charm value (per day)

Interpretation

Positive charm: time decay pushes delta toward zero
Drives end-of-day dealer rebalancing flows
Core input for CHEX (Charm Exposure) calculations

API Reference

Endpoint

GET /v1/pricing/greeks

Tier

Free

Response field

second_order.charm

Why Charm Matters for Trading

TL;DR

Charm is delta decay over time. It's why dealer flows concentrate into the last hour of OPEX week - charm is the flow scheduler.

What it measures: ∂Δ/∂t - how delta changes purely from the passage of time, all else equal.
What it signals: Predictable time-driven hedging flow. Most visible Thu-Fri of OPEX week.
Why we measure it: Most hedging flow is price- or vol-driven. Charm is time-driven, which makes it the rare flow you can predict without a signal.
Who uses it: 0DTE traders, OPEX specialists, intraday flow quants.

How to read Charm

Positive chain charm

Dealers buy into EOD
Supports late-session rallies
Peaks on OPEX Thu/Fri
Reinforces pins

Good for: late-day longs

Negative chain charm

Dealers sell into EOD
Pressure on closes
Common after large call-OI
Fade-rally setups

Good for: intraday shorts

Low charm (midweek, far from OPEX)

Time-decay flow minimal
Normal hedging regime
No charm edge
Trade on other factors

Off-peak

Rules of thumb

Charm blows up into expiry. ∂Δ/∂t grows as T→0. 0DTE charm is an order of magnitude larger than 7DTE.
Check CHEX for aggregate. CHEX is chain-wide charm exposure - the number traders actually use.
Weekends carry charm. Fri → Mon = 3 calendar days of delta drift. Monday open reflects it.
Concentrates in last 60 minutes. Charm flow mostly hits the closing auction.
Pair with OI concentration. Large charm + dense OI = strong intraday pin.

Related Concepts

Learn More

Deep-dive article

Vanna & Charm Guide

API documentation

GET /v1/pricing/greeks

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