Vanna & charm

Hedging that fires without price moving at all

Gamma explains the hedging a price move forces. But a dealer's delta also changes when implied volatility moves and when time passes — and those two channels have names.

Vanna

Vanna is the sensitivity of delta to implied vol. When IV falls, out-of-the-money options shed delta, and dealers hedging them must adjust — typically buying the underlying as vol comes in. This is the engine of the classic “vanna rally”: a quiet tape where IV bleeds lower and dealer re-hedging supplies a steady bid, no news required.

Charm

Charm is the sensitivity of delta to time. As expiry approaches, out-of-the-money deltas decay toward zero and in-the-money deltas toward one, forcing hedge adjustments on a clock rather than on a move. Into big expiries — and every afternoon in the 0DTE era — charm flow is a scheduled, predictable pressure that has nothing to do with new information.

Why show them at all

Because gamma alone over-explains. A pinned market might be long-gamma dampening — or charm flow into the close. A drift higher on falling IV is vanna doing the lifting. The terminal renders vanna and charm fields behind the gamma ladder so the three flows can be read together on any archived session, minute by minute. Start with what GEX is if these are new terms.