Gamma reacts to price. Vanna reacts to fear. There is a third hedge that reacts to nothing but the clock. That is charm.
Delta bleeds with time
An option's delta is not fixed. As expiry approaches, options that are out of the money lose delta and options that are in the money gain it. That drift happens even if price and fear sit perfectly still. Charm measures how much delta the dealer's book sheds or gains per unit of time.
Why it forces a trade
Dealers stay hedged to delta. If time alone changes the book's delta, they have to buy or sell futures to get back to flat. That is a trade driven by the clock, not by any move. Multiply it across the whole book and it becomes a steady, one-way pressure that builds as expiry nears.
The close is where it bites
Charm is strongest near expiry, which for 0DTE means into the afternoon. That is why so many sessions develop a quiet drift in the last couple of hours that has no headline behind it. The book is bleeding delta and the desk is re-hedging it, candle after candle.
Reading the charm clock
We show the direction and the size of the delta the book is set to shed. Pair it with the regime:
- In long gamma, the charm drift is contained, a slow pin toward the walls.
- In short gamma, the same drift can feed a late trend.
Watch it into the last third of the session. When nothing else is moving the tape, the clock still is.