Option Greeks - Charm
Calvin Lin
contributed
This wiki is incomplete.
The charm of an option is the rate of change of it's delta over time.
\[ \text{Charm} = \frac{ \partial \Delta } { \partial t } = \frac{ \partial ^2 V } { \partial S \partial t } \]
It measures how much your deltas will change, and is often standardized to 1 day.
Contents
Charm of option
Graph of charm
Cite as:
Option Greeks - Charm.
Brilliant.org.
Retrieved from
https://brilliant.org/wiki/option-greeks-charm/