Nightwatch Glossary

Charm

Charm describes how option delta changes as time passes, holding other inputs roughly constant.

English definition

Charm is the rate at which an option delta changes as time passes. It matters most near expiration, where time decay can quickly alter dealer hedge demand even if spot is not moving much. In 0DTE markets, charm can help explain why hedging pressure changes through the day and why some price levels become more or less important as expiration approaches.

中文解释

Charm 描述的是时间流逝本身如何改变期权 Delta。它在临近到期时尤其重要，因为即使标的价格变化不大，时间衰减也可能快速改变做市商需要对冲的方向和规模。在 0DTE 市场里，Charm 可以帮助解释为什么盘中某些水位的重要性会随时间变化。

How Nightwatch uses this term

Nightwatch uses Charm as one market-structure input alongside price, implied volatility, options flow, and dealer-positioning context. It should be read as analytical context, not financial advice.