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Charm exposure

Charm measures how an option’s delta changes as time passes, with spot and other pricing inputs held constant. Net Charm aggregates that sensitivity by strike under TanukiTrade’s call-minus-put convention.

Delta describes price sensitivity now; charm describes how that delta can evolve as the clock advances. It differs from theta, which measures time sensitivity of the option’s value. “Delta decay” does not mean that every option’s delta falls toward zero: the direction depends on the option’s moneyness and remaining time.

From option charm to strike exposure

For each included option, TanukiTrade weights charm by open interest × 100 × underlying price, sums the contributions at the strike, and subtracts the put-side sum from the call-side sum:

Net Charm = weighted call charm − weighted put charm

A positive value means that this signed difference is positive; a negative value means the reverse. Individual charm values can themselves be positive or negative. The result is not a count of calls versus puts, an observed dealer inventory, or a buy/sell instruction.

Read it alongside GEX and DEX

Compare the same symbol, expiration, aggregation method, and snapshot time. Gamma describes delta’s response to spot, while vanna describes its response to IV. Charm isolates the time effect; in an actual session all three inputs can change together.

Near expiration, delta can change quickly even when spot barely moves. Inspect where charm exposure is concentrated alongside Net DEX and Net GEX. A large concentration identifies modeled sensitivity, rather than establishing how much underlying a dealer must trade.

Time-based Greeks may use elapsed time or time remaining, and different time units. Keep the source convention and scaling when comparing providers; the weighted API value is not automatically a one-day delta change or a realized cash flow.

Use the API or MCP endpoint

Strike net charm documents POST /api/v1/gamma/strikes/net-charm and the MCP tool list_gamma_strikes_net_charm. Supply symbol and expiry. Choose method: standalone to isolate one expiration; the default is cumulative.

Each data.items row has a strike and exposure value. Read the chain’s snapshot_at, and follow meta.next_cursor when present. value is the dollar delta change over one calendar day with spot and IV unchanged; on the expiry day it is the change through expiry. The header’s value_total sums every strike of the slice, not only the page. These are latest snapshots only; the API has no strike-level charm history. The endpoint reference contains the request examples, fields, and errors.

For the underlying Greek, see NAG’s charm definition (§3.8). Continue with data clocks for snapshot timing and dealer hedging for the ownership assumptions.

TanukiTrade documentation. Levels are context, not a recommendation. tanukitrade.com