Charm Exposure (CHEX)
Canonical definition, formula, interpretation rules, and live API reference for dealer charm exposure (delta decay).
The net dealer charm exposure derived from time decay of delta across the option chain. Measures how dealer delta hedges drift overnight as options lose time value, creating directional pressure independent of any price or volatility movement.
Where charmᵢ is the partial derivative of delta with respect to time (dΔ/dt) for contract i, OIᵢ is open interest, S is spot price, sign is +1 for calls and −1 for puts, and the sum spans the entire option chain.
- Positive CHEX: overnight time decay causes dealer deltas to shrink, forcing them to buy shares to re-hedge. Creates upward opening pressure.
- Negative CHEX: overnight time decay causes dealer deltas to grow, forcing them to sell shares to re-hedge. Creates downward opening pressure.
- Magnitude matters: CHEX accelerates near expiration, especially for 0DTE and weekly options where charm is largest.
Live Example: SPY
Live SPY CHEX data temporarily unavailable. See /stock/spy/gamma for current values.
Get CHEX via API
symbol(path, required) — underlying ticker, e.g.SPYexpiration(query, optional) — filter to single expiry (yyyy-MM-dd)
{
"symbol": "SPY",
"underlying_price": number,
"net_chex": number,
"chex_interpretation": "buying pressure" | "selling pressure",
"strikes": [
{ "strike", "call_chex", "put_chex", "net_chex",
"call_oi", "put_oi" }
]
}curl -H "X-Api-Key: YOUR_KEY" \
https://lab.flashalpha.com/v1/exposure/chex/SPYWhy CHEX Matters for Trading
CHEX shows how dealer delta changes just from the passage of time. Peaks in the final days into expiry — that's when dealer charm flow pins or releases price.
- What it measures
- Net dealer charm exposure across the chain. Charm is ∂Δ/∂t — how delta decays as time passes, all else equal.
- What it signals
- Time-driven hedging flow. Positive CHEX = dealers accumulate long delta into the close of each session; negative CHEX = they distribute.
- Why we measure it
- Charm flow is one of the few predictable intraday flows — it happens on a clock. Understanding it turns the last hour of trading into a non-random process on OPEX week.
- Who uses it
- 0DTE traders, OPEX specialists, discretionary intraday traders, and closing auction participants.
How to read CHEX
- Dealers buy into EOD to stay hedged
- Supports late-session rallies
- Strongest effect Thu/Fri of OPEX week
- Often reinforces pin at max pain
- Dealers sell into EOD
- Pressure on the last hour
- Common after large call-OI accumulation
- Fade-the-rally setups
Rules of thumb
- CHEX is strongest Thu–Fri of expiry weeks. Charm is ∂Δ/∂t and blows up as T→0. Tue/Wed it's background noise.
- Pair with OI concentration. High CHEX + dense OI at one strike = strong pin. See OI concentration.
- Weekend charm is real. Fri→Mon carries 3 days of decay. Monday opens often reflect Friday-evening charm-driven repositioning.
- Use CHEX for the last 60 minutes. Charm flow concentrates into the closing auction, not the midday tape.
- 0DTE amplifies CHEX. Same-day expiry makes charm dominate over vanna and vega into the close.
How to Read CHEX
Charm is the second-order Greek that measures how delta changes with the passage of time. While GEX tells you how dealer hedges shift with price movement, CHEX tells you how they shift just from the clock ticking. This is why CHEX is sometimes called "delta bleed" — it quantifies the directional drift in dealer books that accumulates overnight.
Positive CHEX means the passage of time is causing dealer delta positions to decrease. To maintain their hedge, dealers must buy the underlying. This creates buying pressure at the open, often visible as an upward gap with no fundamental catalyst. The effect is strongest heading into weekends and holidays where multiple days of charm accumulate.
Negative CHEX means time decay is increasing dealer delta, forcing them to sell shares. This creates selling pressure. Negative CHEX environments often coincide with negative gamma regimes, compounding the directional stress.
CHEX is most extreme near expiration — especially for 0DTE options where charm accelerates dramatically in the final hours. The interaction between CHEX and GEX gives a complete picture: GEX sets the intraday regime, CHEX sets the overnight drift.
Related Concepts
Net dealer gamma exposure — how dealer hedges change with price. The intraday sibling of CHEX.
Net dealer delta exposure — the first-order directional position that CHEX modifies over time.
How delta changes with implied volatility — the vol-coupling Greek that complements charm.
The price where net GEX crosses zero. CHEX drift can push spot through the flip overnight.
Learn More
Full endpoint reference with parameters, response schema, and tier limits.
GEX covers the price dimension; CHEX covers the time dimension. Read both for the complete picture.
Per-strike exposure visualisation including GEX, DEX, VEX, and CHEX for any US equity or ETF.
Understand the dealer hedging model that underpins all Greek exposure metrics including CHEX.