Charm¶
Charm — formally delta decay, written ∂Δ/∂t — is the second-order option Greek measuring how an option's delta changes as time passes, holding the underlying price and implied volatility constant. A call with charm of −0.02 loses 0.02 of delta per calendar day from time alone, independent of any price move. Charm is why an out-of-the-money option's delta bleeds toward zero and an in-the-money option's delta drifts toward 1.00 as expiration approaches.
HOW IT WORKS¶
Charm is largest in absolute terms for at-the-money options close to expiration — exactly where delta is most unstable. OTM calls carry negative charm (delta decaying toward 0); ITM calls carry positive charm (delta drifting toward 1). Because charm is a continuous-time derivative, weekends deliver three days of decay simultaneously, concentrating rehedging flows at Monday's open. Market makers must rebalance delta overnight even when the underlying never moves, making charm a source of measurable order flow into expiration — one driver of end-of-week pinning near high open-interest strikes.
IN TAPEBOARD¶
Tapeboard surfaces charm at the position and portfolio level so your delta exposure updates reflect overnight decay before the market opens. The Greeks ladder displays per-strike charm alongside delta and theta, letting you see which legs of a spread are most exposed to time-driven delta bleed. For 0DTE and weekly positions, the charm column updates intraday as expiration-day decay accelerates, helping you anticipate rehedging needs without waiting for a price move to reveal the shift.