Charm

Q: What is charm?

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

Q: 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).

Q: 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.

Q: 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.

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.