Vanna & charm — the second-order flows
The slower hedging flows that drive drift into and out of expiration.
Gamma explains hedging as price moves. But dealer hedges also shift as volatility changes and as time passes, even if price sits still. Those are vanna and charm. Vanna is the change in delta per change in implied volatility; charm is the change in delta as time passes.
Vanna — hedging as volatility moves
Vanna is how delta changes as implied volatility changes. When IV falls (a calm, grinding market), vanna-driven hedging tends to add a steady bid — one reason quiet uptrends can drift higher for days. A spike in IV reverses that flow.
Charm — hedging as time passes
Charm is how delta decays as time passes. Into expiry — especially Thursday/Friday of OPEX week — charm forces dealers to unwind hedges, which can produce a predictable drift toward large strikes. This is a big part of why markets often melt up into a quiet monthly expiry.