What vanna exposure and charm exposure measure
Vanna exposure is the number of dollars of dealer index delta that a one point move in implied volatility adds to or removes from an options book. Charm exposure is the number of dollars of dealer index delta that the passage of one day adds to or removes from that same book. Both are aggregates: one contract's vanna or charm multiplied by its open interest, signed for the side a dealer is assumed to hold, then summed across the chain.
They are the measured cousins of two concepts most options education stops at the definition of. Vanna and charm explained covers what the two Greeks are and why the direction of the flow they create depends entirely on positioning. This page is about the exposure numbers themselves: what unit they come in, what a reader can do with them, and what they are not.
The live figures for SPX sit in the vanna and charm exposure section on the free GEX page, computed each session from the same option chain the gamma levels use.
The units, because they are not gamma units
Gamma exposure is quoted in dollars of dealer gamma per one percent move in spot. Vanna and charm exposure are not quoted in that unit and cannot be set beside it.
- Charm exposure: US dollars of dealer index delta per day. A reading of minus 900 million means that if nothing but the clock moves, the book's dealer delta falls by 900 million dollars over a full day.
- Vanna exposure: US dollars of dealer index delta per one implied volatility point. A reading of plus 400 million means a one point rise in implied volatility lifts dealer delta by 400 million dollars.
Delta is a position in the underlying. Gamma is the rate at which that position changes. Putting a delta figure next to a gamma figure and comparing their size is a category error, which is why the two live in separate blocks rather than one table.
How to read a charm ramp
Charm does not follow one power of time, and the way it bends is the reason the afternoon looks different from the morning. For a single contract it is largest at a strike about one standard deviation of remaining move from spot, and that peak scales roughly as one over the time remaining. Run through the function this site computes with, spot at 7,780 and 11 percent vol, the largest charm on the ladder is about 233 times larger at three hours to expiry than at thirty days, against the 240 a pure one-over-time rule gives, and it sits about 16 points from spot instead of about 250. A contract struck exactly at the money is the exception: its charm grows only as one over the square root of time, about 15.5 times over the same window. So as the session runs, charm grows fastest and concentrates onto the strikes right beside spot.
How much of a book's charm is same-day is a measurement, not something the scaling decides. A charm ramp evaluates net charm at each half hour of a cash session and keeps a running total, so the answer reads as a quantity: this book sheds this many dollars of dealer delta between now and the four o'clock close. On the SPX chain captured at 3:14pm Eastern on 2026-09-22, the whole-book charm rate ran at about minus 48.9 billion dollars of dealer delta per day, of which same-day contracts supplied about minus 32.4 billion. By the four o'clock mark on that same capture the whole-book rate had fallen to about minus 16.4 billion and the same-day component was zero, because those contracts had expired. Cumulated across that window the book's dealer delta drifted by about minus 954 million dollars, of which about minus 438 million, a little under half, came from the same-day expiration.
So on that capture the same-day expiration supplied about two thirds of the rate at 3:14pm and a little under half of the drift to the close: most of the story at the start of the window, not all of it across the window. The ramp is worth reading for the quantity and the timing.
Two things follow from reading it that way.
The sign tells you which direction the hedge goes. A book whose dealer delta is rising is re-neutralised by selling the index, and one whose dealer delta is falling is re-neutralised by buying it. That is mechanics, not a forecast: it describes the hedge a delta-neutral desk has to place, and says nothing about what price does in response to it.
The shape tells you when. A ramp that is nearly flat until two in the afternoon and then bends sharply is saying that the bulk of the decay is same-day paper, so the flow it implies is a late-session event rather than a background drift.
What a charm ramp is not
It is not a prediction. Every point on a ramp holds spot and every contract's implied volatility at the values they carried when the chain was captured, and moves only the clock. That is the honest frame for it: this is where the book would sit at three thirty if nothing but time passed. Spot will move, implied volatility will move, and when they do the ramp is recomputed from the new chain.
It is also not a measurement of anything a dealer told anyone. Vanna and charm are Black-Scholes outputs, computed from each contract's own implied volatility, not values the exchange publishes. And the sign on every one of them rests on the standard convention that dealers are long calls and short puts against customer flow. That convention is an assumption about who holds which side of the open interest. Open interest shows a contract exists; it never shows who holds it.
Why the two numbers get talked about together
Because they are the two ways a dealer's hedge changes when the index itself does nothing.
Gamma answers the question "what happens when price moves". Vanna and charm answer "what happens when price does not". Charm is the clock, running one full cycle every session and finishing at the close. Vanna is the volatility dial, and it tends to matter most when implied volatility is repricing sharply in the same direction for hours, which is what a volatility crush after an event or an open after a gap looks like.
The reason to keep them apart in your reading is that they are driven by different things and peak at different times. A quiet afternoon with implied volatility unchanged is a charm story with no vanna in it. A morning where implied volatility collapses four points on an unchanged index is a vanna story with charm barely started.
Related
- Vanna and charm explained, the two Greeks themselves and why the flow direction depends on positioning
- What delta exposure (DEX) is, the first-order delta aggregate these two are derivatives of
- What gamma exposure (GEX) is, the surface these numbers sit beside and are not comparable to
- How market makers hedge, where the dealer-side assumption comes from
- Free SPX GEX today, the live levels, with the vanna and charm exposure section below them