# Charm, Vanna and Volga > Charm, vanna and volga measure how delta and vega change with time, volatility and price. Learn what each means and why dealers and volatility traders watch them. Source: https://learn.tradelabsai.com/options/charm-vanna-and-volga/ Track: Options · Level: Advanced · Updated: 2026-10-03 Publisher: TradeLabs AI (https://tradelabsai.com). Education, not financial advice. Cite as: TradeLabs Learn, "Charm, Vanna and Volga", https://learn.tradelabsai.com/options/charm-vanna-and-volga/ The main Greeks, delta, gamma, theta, vega and rho, describe how an option's price responds to changes in its inputs. Second order Greeks describe how those sensitivities themselves change. Gamma is the best known second order Greek: it measures how delta changes with price. Three others matter a lot to professional traders: charm (how delta changes with time), vanna (how delta changes with volatility, or equivalently how vega changes with price) and volga (how vega changes with volatility). They explain why a hedged book drifts out of balance and help explain some market flows. ## Summary | Greek | Measures change in | With respect to | Also called | |---|---|---|---| | Gamma | Delta | Underlying price | | | Charm | Delta | Time | Delta decay | | Vanna | Delta (or vega) | Volatility (or price) | DdeltaDvol | | Volga | Vega | Volatility | Vomma, vega convexity | ## Charm: delta decay As time passes, option deltas drift even if the price and volatility do not change: - **Out of the money options:** delta drifts toward 0. - **In the money options:** delta drifts toward 1 (calls) or minus 1 (puts). **Example: Overnight delta drift** A trader is delta hedged on a portfolio of out of the money calls with total delta of +5,000 shares, offset by short stock. Charm is minus 150 deltas per day. Overnight, with no price change, the calls' delta falls to about 4,850. The trader is now short 150 deltas and must buy 150 shares to stay neutral. Charm is especially strong in the last days before expiry. Charm matters for dealers who hedge large option books: as expiration approaches, their hedges must change predictably, which some analysts link to flows around monthly option expiries. ## Vanna: delta and volatility Vanna measures how delta changes when implied volatility changes. Equivalently, it measures how vega changes when the underlying moves. - When implied volatility rises, out of the money option deltas increase (they become more likely to finish in the money) and in the money deltas decrease. - For equity indices, implied volatility usually falls when markets rise. Through vanna, that changes option deltas, and dealers adjusting hedges may buy or sell the underlying. Analysts sometimes describe "vanna flows": after a volatility spike fades, falling implied volatility can reduce the delta of puts that dealers are short, leading dealers to buy back hedges and support prices. These effects are debated and hard to measure. See [Dealer Gamma Exposure](https://learn.tradelabsai.com/options/dealer-gamma-exposure/). ## Volga: vega convexity Volga measures how vega changes as implied volatility changes. Positions with positive volga gain more vega when volatility rises, so they benefit from large swings in volatility. - **Out of the money options** have high volga relative to at the money options. - **Volga helps explain the volatility smile:** traders demand extra premium for out of the money options partly because of their volatility convexity. See [Volatility Smile and Skew](https://learn.tradelabsai.com/volatility/volatility-smile-and-skew/). In FX options markets, traders use the "vanna volga" method to adjust model prices for smile effects. ## Why these Greeks matter | User | Why they care | |---|---| | Market makers and dealers | Keep large books hedged as time and volatility change | | Volatility traders | Understand how positions behave when volatility moves | | Exotic option desks | Barrier and other path dependent options have large second order exposures. See [Barrier Options](https://learn.tradelabsai.com/options/barrier-options/) | | Market analysts | Estimate hedging flows around expiry and volatility shifts | ## Other higher order Greeks - **Speed:** how gamma changes with price. - **Color:** how gamma changes with time. - **Zomma:** how gamma changes with volatility. - **Ultima:** how volga changes with volatility. These matter mainly for large, complex books and exotic options. ## Do retail traders need them? For most individual traders, delta, gamma, theta and vega cover what matters. Knowing charm helps explain why positions behave differently near expiry, and vanna helps explain why out of the money options react strongly to volatility changes. See [Managing Portfolio Greeks](https://learn.tradelabsai.com/options/managing-portfolio-greeks/). ## Frequently asked questions ### What is charm in options? The rate at which an option's delta changes as time passes, also called delta decay. ### What is vanna? The sensitivity of delta to changes in implied volatility, or equivalently the sensitivity of vega to changes in the underlying price. ### What is volga? The sensitivity of vega to changes in implied volatility, sometimes called vomma or vega convexity. Next, learn how traders neutralise direction in [Delta Hedging](https://learn.tradelabsai.com/options/delta-hedging/). ## Continue learning - Next lesson: [Delta Hedging](https://learn.tradelabsai.com/options/delta-hedging/) - Previous lesson: [Rho](https://learn.tradelabsai.com/options/rho/) - Related: [Rho](https://learn.tradelabsai.com/options/rho/): Rho measures how much an option's price changes for a 1 point change in interest rates. Learn why calls gain and puts lose as rates rise, and when rho matters. - Related: [Delta](https://learn.tradelabsai.com/options/delta/): Delta measures how much an option's price moves for a $1 move in the underlying. Learn delta for calls and puts, delta as a hedge ratio and as a rough probability. - Related: [Vega](https://learn.tradelabsai.com/options/vega/): Vega measures how much an option's price changes for a 1 point move in implied volatility. Learn how it varies by expiry and why it matters around events. - Related: [Dealer Gamma Exposure](https://learn.tradelabsai.com/options/dealer-gamma-exposure/): Dealer gamma exposure estimates how option dealers' hedging may dampen or amplify moves. Learn how GEX is calculated, what it suggests and its big limitations. - Related: [Volatility Smile and Skew](https://learn.tradelabsai.com/volatility/volatility-smile-and-skew/): Implied volatility differs by strike, forming a smile or skew. Learn the shapes in equities, FX and commodities, why they exist and how to measure skew. - Related: [Managing Portfolio Greeks](https://learn.tradelabsai.com/options/managing-portfolio-greeks/): Learn to add up delta, gamma, theta and vega across many option positions, set limits, run scenarios and adjust a book so its risks match your intentions.