Charm
Definition · Level 5 · Greeks & volatility
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Second-order Greek: change in delta as time passes (“delta decay”). With spot unchanged, OTM deltas drift toward 0 and ITM deltas toward ±1 into expiry.
Example
Flat on Friday; after the weekend’s decay the book is 300 deltas long.
Where Tradecraft teaches it
Level 5 · Greeks & volatility, in the lesson “Vega, rho & the second-order Greeks”: Sensitivity to implied vol and rates, plus the three second-order names every desk uses.
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