Charm (Delta Decay)
How your delta drifts on its own as the clock ticks toward expiry.
Definition
Charm, also known as delta decay, is a second-order Greek that measures how an option's delta changes as time passes, holding price and volatility constant. Just as theta bleeds value from the premium each day, charm bleeds (or builds) directional exposure as the option ages.
Formula
Charm is the partial derivative of delta with respect to time, or equivalently of theta with respect to spot: Charm = ∂Delta / ∂t = ∂Theta / ∂S. It is usually quoted as the change in delta per day and is largest for near-the-money options close to expiry.
Why it matters
If you are delta-hedged today, charm tells you how unbalanced you will become by tomorrow purely from time passing. On expiry day this drift can be sharp: in-the-money options see delta march toward 1, out-of-the-money toward 0. Hedgers often rebalance for charm over weekends, when several days of decay compress into one trading gap.
Example
An at-the-money call has delta 0.50 and a charm of about −0.04 per day. With no move in price or volatility, by tomorrow the delta drifts to roughly 0.46, nudging your hedge out of balance even though nothing visible happened in the market.
See it live
Watch deltas evolve through the day across strikes on TradePulse's live option chain.