-vanna/charm ladder
Delta impact of volatility collapse and time decay on dealer positioning.
api
Access this data from the options profile greeks endpoint (greeks vanna, charm).
-Vanna and Charm Ex are currently in beta.
The Options Profile models intraday classified transactions rather than total overnight open interest. Because Vanna and Charm flows primarily drive dealer hedging, gexbot calibrates these metrics specifically to active session orderflow.
The -Vanna and Charm ladders show the dollar delta impact of volatility collapse and time decay:
- -Vanna Ex: Estimates the cumulative delta impact of complete volatility collapse into expiration.
- Charm Ex: Estimates the delta impact per hour. Charm decay increases exponentially as options approach expiration.
Directional Mechanics
Bars show the expected dealer rebalancing flows into expiration:
- Bars to the Right (Positive): Customers gain deltas into expiration. Dealers lose deltas and must buy underlying shares to maintain delta neutrality. This creates passive buying support into the close.
- Bars to the Left (Negative): Customers lose deltas into expiration. Dealers gain deltas and must sell underlying shares to maintain delta neutrality. This creates passive selling pressure into the close.
Reading the Ladder
The -vanna and charm profiles shift dynamically across strikes relative to spot:
- Customer Bought Positions: -Vanna/Charm flips from positive below spot to negative above spot into expiration. This pushes spot away from the level.
- Customer Sold Positions: -Vanna/Charm flips from negative below spot to positive above spot into expiration. This attracts spot toward the level.
Price entering a cluster of negative Vanna tends to accelerate downward. Conversely, price entering positive Vanna encounters support.
Keep in mind that the polarity of a -vanna level flips as spot crosses it, and zeros out when spot aligns with it. When spot is on a local zero-Vanna level, dealers require no delta rebalancing for changes in implied volatility. As spot moves above or below, dealer rebalancing accelerates, making these levels powerful intraday pivots.
Net Formulas & Units
- Charm Ex: Delta impact per hour across strikes (
$MM/hr). Increases exponentially as expiration approaches. - -Vanna Ex: Delta impact of total volatility collapse (
$MM until expiry).