title: What Is Charm in Options? description: Charm (delta decay) is the options Greek that measures how dealer gamma changes with time. Learn what charm is, how time decay reshapes dealer positioning, and why it drives end-of-day behavior. date: 2026-08-03 category: Options Market Structure related: [gamma-exposure, gamma-flip, vanna]

What Is Charm in Options?

Charm (delta decay) is a second-order Greek that measures how delta changes as time passes. It answers a specific question: if price stays still, how does the dealer's hedging obligation change between now and expiration?

What charm reveals

Every day, theta eats away at option value. As that happens, the gamma and delta of outstanding positions change — even with zero price movement. Charm captures this time-driven reshaping of dealer flow.

Why it matters

• Near expiration, charm accelerates dramatically, which is why the last hours of a trading day can behave differently from the open.
• Large charm concentrations explain end-of-day drift and the tendency for markets to close near key dealer levels.
• Combined with vanna, it explains intraday convexity that pure gamma analysis misses.

Related terms

• Gamma Exposure
• Gamma Flip

DealerFlow Terminal tracks charm so you know when time decay is about to reshape dealer positioning — before the market makes it obvious.