Glossary term
Charm (Delta Decay)
A second-order Greek measuring how an option's delta changes simply with the passage of time — most pronounced for short-dated options near expiry.
Charm, or delta decay, is a second-order Greek measuring how an option's delta drifts as time passes, holding price constant. It is largest for short-dated options near a strike, where the delta profile can change quickly into expiry — so dealers must rebalance hedges on the clock alone, even in a flat tape. Around heavy weekly or monthly open interest, charm-driven hedging can add or withdraw supportive flow as expiry approaches. See Greeks 101 and Vanna.