Are vanna and charm Greeks?

Yes, second-order Greeks: vanna is the change in delta per change in volatility, charm the change in delta per unit of time.

When does charm matter most?

In the final days before large expiries, especially monthly and quarterly ones, when time decay changes deltas fastest.

Where can I see vanna and charm exposure?

Obelion's GEX page has Vanna and Charm views by strike alongside gamma.

What are vanna and charm?

Vanna is how much an option's delta changes when implied volatility changes. Charm is how much delta changes as time passes. Both change dealers' hedges without the price moving: a drop in volatility or the approach of expiry shifts delta, so dealers buy or sell stock to stay neutral. These flows are strongest near expiries.

Vanna and charm views

Vanna in practice

When implied volatility falls, out-of-the-money options lose delta. Dealers short those options then need fewer hedges and buy back stock they had sold short, which can support prices after a volatility spike fades.

Charm in practice

As expiry approaches, out-of-the-money options lose delta and in-the-money options gain it. Hedges unwind on their own schedule, which is why the days before a large monthly expiry can show steady drift.

Questions

Are vanna and charm Greeks?: Yes, second-order Greeks: vanna is the change in delta per change in volatility, charm the change in delta per unit of time.
When does charm matter most?: In the final days before large expiries, especially monthly and quarterly ones, when time decay changes deltas fastest.
Where can I see vanna and charm exposure?: Obelion's GEX page has Vanna and Charm views by strike alongside gamma.

For education only, not financial advice. See the disclaimer.

Vanna in practice

Charm in practice

Questions

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