Mental model: Gamma = acceleration Vanna = volatility-driven steering Charm = gravity You can fight gravity briefly. Eventually, price follows it.

Charm works with vanna when implied volatility is falling. It works against vanna when implied volatility is rising. This explains why some days trend cleanly and others chop violently.

In 0DTE, charm organizes the entire day. Those repeated intraday behaviors people talk about? • Ranges • Lines in the sand • Targets They’re charm structures, not gamma magic.

Charm becomes critical late in the session. Dealers warehouse risk intraday. As expiration approaches, they must reconcile delta created by time decay. That’s why flows often appear after ~2:00 pm ET.

Charm does not predict impulsive moves. It creates drift: • Soft directional bias • Structural pressure • “Why price keeps leaning one way” It’s gravity, not acceleration.

Charm is directional. In Volland’s framework: • Negative charm = bullish delta decay • Positive charm = bearish delta decay This isn’t opinion — it’s how deltas mathematically evolve as time passes.

Charm is small far from expiration. It becomes non-linear near expiration. That’s why charm is: • Minor in swing trades • Important in 1–2 DTE • Dominant in 0DTE

Key distinction: • Gamma → delta changes from price • Vanna → delta changes from implied volatility • Charm → delta changes from time Only one of these is unavoidable.

Dealers don’t hedge PnL. They hedge delta. So when delta changes due to time decay, dealers must buy or sell the underlying to stay neutral. That flow is mechanical.

Charm measures how option delta changes as time passes — even if price and implied volatility do nothing. Time always moves forward. That’s why charm matters.

Charm: Time-Driven Hedging 🧵

Bottom line: Vanna tells you where dealers are forced to act Price moves because dealers must hedge, not because traders “decide” to buy or sell. Use vanna to align with that pressure — not fight it.

How this changes trade selection: •Strong positive vanna → favor longs, call spreads, trend trades •Strong negative vanna → fades fail, chop increases, downside risk You’re trading structure, not setups.

This is why strong vanna days often look like: •Directional but slow •Few pullbacks •Late-day continuation Dealers are hedging all day, not chasing price.

Why vanna works before gamma: Gamma needs price movement first. Vanna doesn’t. Vanna causes the initial drift. Gamma only reacts once price is already moving.

Step 3: Watch volatility behavior Vanna only activates if IV moves. •IV bleeding → vanna flows dominate •IV rising fast → vanna can flip into a headwind This tells you whether to hold trend or expect instability.

What price usually does near vanna strikes: •Approaching positive vanna → price slows or pins •Approaching negative vanna → price accelerates or rejects This is not technical support/resistance — it’s hedging pressure.

Step 2: Identify large vanna strikes These matter because: •Positive vanna strikes = areas dealers want price near •Negative vanna strikes = areas dealers don’t want price near Price reacts as it approaches them.

How to use this practically: Step 1: Identify aggregate vanna •Positive = bullish structure •Negative = bearish / unstable structure This is your baseline bias.

This is why price often: •Grinds higher all day •Bleeds lower with no bounce •Trends on “boring” sessions That’s vanna-driven hedging, not momentum chasing.