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Charm Exposure (CHEX)

See how time decay shifts dealer deltas. Charm measures the sensitivity of delta to time — as time passes, dealer deltas change automatically, triggering hedging flows even without price or volatility moves.

Charm exposure analysis shows strike-level dealer delta decay. Enter any symbol to see net CHEX, the charm interpretation, and call/put walls — updated with live options data.

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Symbol

Expiry

What can you do with CHEX?

Expiration Flows

Charm intensifies as expiration approaches — critical for 0DTE. See which strikes will generate the largest automatic delta shifts as contracts decay.

Time Decay Hedging

See which strikes will trigger the largest dealer hedging from time passing alone — no price or vol move required.

Into-the-Close Bias

Charm flows often accelerate into market close, revealing late-day directional bias. Use CHEX to anticipate end-of-day hedging pressure.

Get this via API

curl

# Single expiry (free tier)
curl -H "X-Api-Key: YOUR_API_KEY" \
  "https://lab.flashalpha.com/v1/exposure/chex/SPY?expiration=2026-03-07"

# All expirations (Growth+ tier)
curl -H "X-Api-Key: YOUR_API_KEY" \
  "https://lab.flashalpha.com/v1/exposure/chex/SPY"

Python

import requests

r = requests.get(
    "https://lab.flashalpha.com/v1/exposure/chex/SPY",
    params={"expiration": "2026-03-07"},  # yyyy-MM-dd
    headers={"X-Api-Key": "YOUR_API_KEY"}
)
data = r.json()
print(f"Net CHEX: {data['net_chex']}")
print(f"Interpretation: {data['chex_interpretation']}")

Full API docs → Try in playground →

Get CHEX via API

Single-expiry CHEX is included on the free Starter plan (5 requests/day). Full-chain CHEX across all expirations available on Growth (1,000/day) and Pro (unlimited).

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How Charm Exposure Is Calculated

Charm (also called delta decay or DdeltaDtime) measures the rate at which an option's delta changes as time passes. For dealers holding large options positions, charm tells us how much their hedging obligation shifts each day purely from the passage of time — no price or volatility move required.

$$\text{Charm} = -\frac{\partial \Delta}{\partial t} = -\frac{\partial^2 V}{\partial S \, \partial t}$$

Where:

$\Delta$ is the option's delta (first derivative of price with respect to underlying)
$t$ is time to expiration
$V$ is the option price, $S$ is the underlying price

Net CHEX and Dealer Positioning

Charm exposure aggregates the charm across all open interest at each strike, weighted by the dealer convention (short calls, long puts):

$$\text{Net CHEX} = \sum_{i} \text{Charm}_{i}^{\text{call}} \times OI_{i}^{\text{call}} - \sum_{i} \text{Charm}_{i}^{\text{put}} \times OI_{i}^{\text{put}}$$

Positive net charm means time decay is pushing dealers to buy the underlying (supporting price). Negative net charm means time decay is pushing dealers to sell (pressuring price lower).

Charm and Expiration

Charm is most powerful near expiration. As $T \to 0$, delta for near-the-money options changes rapidly, and charm spikes. This is why 0DTE options create massive charm flows — the time-decay-driven hedging can dominate intraday price action.

$$\text{Charm}_{\text{call}} = -\phi(d_1)\left[\frac{2(r-q)t - d_2 \sigma\sqrt{t}}{2t\sigma\sqrt{t}}\right]$$

Where $\phi(d_1)$ is the standard normal PDF, $r$ is the risk-free rate, $q$ is the dividend yield, and $\sigma$ is implied volatility.

Why CHEX Matters for Traders

While gamma exposure tells you how dealers hedge when price moves, charm exposure tells you how dealers hedge when nothing happens except time passing. This is critical because:

Expiration acceleration — charm flows intensify exponentially as expiration approaches, especially for near-the-money strikes.
Into-the-close flows — as the trading day progresses, the effective time to expiration shrinks, causing charm-driven hedging to accelerate into the close.
Directional bias without a catalyst — positive charm creates natural buying pressure; negative charm creates natural selling pressure — all from time alone.

Limitations

Dealer assumption — CHEX assumes dealers are short calls and long puts. In practice, some OI is inter-dealer or institutional hedging, which may have different sign conventions.
OI is T-1 — open interest is reported end-of-day by the OCC and reflects the previous session's close.
Model-dependent — charm calculations depend on the pricing model and implied volatility inputs, which can vary across providers.
Not a crystal ball — CHEX describes the mechanical time-decay hedging landscape, not future direction. Use it alongside price action, not as a standalone signal.