The rate at which the delta of an option or warrant will change over time. Charm refers to the second order derivative of an option's value - once to time and once to the price. It is also the derivative of theta, which measures the time decay of an option's value. This value decreases as the option approaches maturity.


Charm is used by investors who employ a delta-hedging option trading strategy, and provides the investor with information on the delta of an option on a per-year basis. As the number of days left on the options contract gets smaller and smaller, charm becomes more volatile and less accurate.

  1. Theta

    A measure of the rate of decline in the value of an option due ...
  2. Delta

    The ratio comparing the change in the price of the underlying ...
  3. Time Decay

    The ratio of the change in an option's price to the decrease ...
  4. Greeks

    Dimensions of risk involved in taking a position in an option ...
  5. Quantitative Analysis

    A business or financial analysis technique that seeks to understand ...
  6. Delta Hedging

    An options strategy that aims to reduce (hedge) the risk associated ...
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