What are vanna and charm exposure?
By Faizan Ahmad. Updated .
Vanna exposure estimates how much stock options dealers would have to buy or sell to stay hedged when implied volatility moves, with the price unchanged. Charm exposure estimates how much they would have to buy or sell simply because time passes. Both come from the same fact: an option's delta, and so the hedge behind it, drifts even when the stock doesn't move. When customers hold out-of-the-money puts, falling volatility and passing time both shrink those puts' deltas, so dealers buy back the stock they sold short to hedge; that is the "vanna and charm" support traders talk about around monthly expiration and after a volatility drop. Tradytics shows vanna and charm exposure, alongside gamma and delta, by strike and by expiry for about 2,500 stocks and ETFs, recomputed every five minutes.
What is vanna?
Vanna is how much an option's delta changes when implied volatility changes. (Read the other way, it is how much the option's vega changes when the price moves; it is the same number.) Out-of-the-money options have the most of it: when volatility rises, a far strike looks more reachable, so its delta grows; when volatility falls, its delta shrinks toward zero.
Example. Take a put 5% below the stock's price with 30 days left. At 25% implied volatility its delta is about -0.23 (ignoring interest rates). If volatility drops to 20% with the price unchanged, its delta falls to about -0.18. Now say customers bought 10,000 of those puts and dealers sold them. To hedge, dealers were short about 230,000 shares (0.23 x 10,000 x 100). After the volatility drop they only need about 180,000, so they buy back about 50,000 shares without the stock having moved at all. That buying is vanna at work.
What is charm?
Charm is how much an option's delta changes as time passes, with price and volatility unchanged. It's sometimes called delta decay. As expiry approaches, out-of-the-money deltas slide toward zero and in-the-money deltas toward one (or minus one for puts), because there's less time for the option to cross the strike.
Example. The same put, still 5% out of the money at 25% volatility, one week later: with 23 days left its delta is about -0.20 instead of -0.23. Dealers short 10,000 of them now need a short hedge of about 200,000 shares instead of 230,000, so about 30,000 shares get bought back from the calendar alone. Charm grows sharply in the last days before expiry, which is why it gets attention into monthly OPEX and late in the session for same-day options.
How are vanna, charm and gamma different?
| Greek | Delta changes because | What dealer hedging responds to | When traders watch it |
|---|---|---|---|
| Gamma | The price moves | Each move in the stock | Every session, especially big-move days |
| Vanna | Implied volatility moves | Volatility rising or falling | After earnings and events (IV crush), and on volatility spikes |
| Charm | Time passes | The clock | Into monthly expiration, and late in the day for 0DTE |
Delta exposure itself is the starting point: the dealers' net delta, in shares, before any of these changes. Gamma exposure has its own page, what is gamma exposure (GEX)?
Is vanna and charm exposure bullish or bearish?
Neither by itself. It depends on who holds what and which way volatility goes.
- Customers long puts, volatility falling or time passing. Put deltas shrink, dealers buy back short hedges: supportive.
- Customers long puts, volatility rising. Put deltas grow, dealers sell more stock to stay hedged: pressure that can feed a selloff.
- Customers long out-of-the-money calls. The signs flip: falling volatility and passing time shrink those call deltas, and dealers who bought stock to hedge short calls sell some of it.
That's why the same week can bring "vanna support" in one market and nothing in another. The exposure tells you which way hedging would lean if volatility or time does its part, not that it will. Like gamma, these are estimates: nobody outside the dealers sees their books.
How does Tradytics show vanna and charm exposure?
Open any ticker's research options page and go to Dealer exposure, for example SPY dealer exposure. The card has tabs for Gamma, Delta, Vanna, Charm and History.
| Feature | What it does |
|---|---|
| By strike | A bar per strike, colored by sign, the price marked, with a cumulative line across strikes on its own scale |
| By expiry | All expiries together, one month's expiries, or a single expiry |
| Change | Each strike's change since one session, one week or two weeks ago, in the same units |
| Units | Gamma and vanna scaled to their usual daily total, so a bar reads the same from day to day; delta in shares; charm in shares a day |
| Coverage and refresh | About 2,500 stocks and ETFs, recomputed every five minutes through the session |
| History | 18 months of daily dealer gamma and delta against the price |
Dealer positions behind these numbers are inferred from 66 sessions of trades tagged bought or sold, not only assumed from open interest. How Tradytics models dealer positioning explains the model.
Common questions
What is vanna in simple terms?
How much an option's delta changes when implied volatility changes. For dealers, it is how much their stock hedge has to change when volatility moves, even if the price doesn't.
What is charm in options?
How much an option's delta changes as time passes. Out-of-the-money deltas shrink toward zero as expiry approaches, so dealers' hedges shrink with them.
Why do traders talk about vanna and charm around OPEX?
Charm is largest in the last days before expiry, and big monthly expirations carry a lot of out-of-the-money open interest. As those deltas decay, the hedges against them are unwound, which can push on the stock in the days before expiration.
Does Tradytics have vanna and charm exposure?
Yes. Tradytics shows gamma, delta, vanna and charm exposure by strike and by expiry for about 2,500 stocks and ETFs, recomputed every five minutes, with change over a session, a week and two weeks.
Is vanna the same as vega?
No. Vega is how much an option's price changes when volatility moves. Vanna is how much its delta changes when volatility moves, which equals how much its vega changes when the price moves.
Sources
- Cboe, "Learning the Greeks: An Expert's Perspective" (April 27, 2021): short definitions of delta, gamma, theta, vega and rho, the first-order Greeks vanna and charm build on.
- Amaya, Garcia-Ares, Pearson and Vasquez, "0DTE Index Options and Market Volatility" (January 25, 2025, hosted by Cboe): how options market makers keep delta-hedged positions.
- Options Industry Council, Open Interest: Why It Matters: how the OCC calculates open interest from each day's opening and closing trades.
- SPY options traded $763.86M in premium on 2026-11-04: $358.10M in calls and $405.76M in puts, a net bullish lean of $104.29M.
- Put/call ratio 1.13.
- Options price a move of about ±$6.67 by 2026-11-05.
- Max pain for 2026-11-04 is $755.0.
Updated 2026-11-05 07:45 UTC