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

Charm of option

Graph of charm

Cite as: Option Greeks - Charm. Brilliant.org. Retrieved 14:58, March 30, 2025, from https://brilliant.org/wiki/option-greeks-charm/