--- title: "What are vanna and charm | RupeeCase" description: "Vanna is how much an option's delta changes for a one point move in implied volatility, and charm is how much its delta drifts as a day passes." source_url: "https://www.rupeecase.com/learn/questions/vanna-and-charm" --- Vanna of the call changes sign near its strike, so a rise in volatility moves delta up on one side and down on the other Vanna of the at the money NIFTY call on the 10 Jun 2026 chain for the 30 Jun 2026 expiry, against the level of the future, with twenty, ten and two days left. Vanna is the change in delta for a one point rise in volatility, with the same Black 76 inputs as the delta chart. Source: NSE end of day data, computed by RupeeCase. As of 10 Jun 2026. Delta is the first order sensitivity to the future. Vanna and charm are the cross effects: vanna is the change in delta for a one point change in volatility, and charm is the change in delta as one calendar day passes. A position that is delta neutral at one close can carry a different delta at the next open with no move in the index. For a call, vanna is positive while the future is below the strike and negative above it, with the sign changing just above the strike, where d2 in the Black 76 formula is zero. The chart draws vanna for the at the money call on the 10 Jun 2026 chain. In practice a rise in volatility lifts the delta of a call that is out of the money and lowers the delta of one that is in the money. Charm matters into expiry. An out of the money option's delta falls toward zero as time passes, and an in the money option's delta drifts toward one in size (minus one for a put), so a hedge sized in the morning can be wrong by the close. The effect is strongest in the last sessions before expiry, and the [gamma and dealer flow](/learn/questions/what-is-gex) page sets out the argument that hedgers' trades follow it. Vanna and charm flows are not observed in India. No exchange publishes dealer hedging by strike, so any flow estimate rests on a stated assumption about who hedges, which is why the gamma exposure pages show each convention side by side. Read this page as a sensitivity map, not as a forecast of any day's flow. **Before you trade.** Derivatives trading carries a high risk of loss. SEBI's study "Profitability of Individual Traders in the Equity Derivatives Segment (FY25 to FY26)" (August 2026) found that 87.7% of individual traders in equity F&O made net losses in FY26, with aggregate net losses of Rs 91,685 crore. [Read the SEBI study](https://www.sebi.gov.in/reports-and-statistics/research/aug-2026/study-profitability-of-individual-traders-in-the-equity-derivatives-segment-fy25-fy26-_103835.html) What are vanna and charm?Vanna is how much an option's delta changes for a one point move in implied volatility, and charm is how much its delta drifts as a day passes. Both are second order Greeks, so a hedge set at one volatility or one time of day moves away from the right size even when the future has not moved. LGo deeper ## Where Learn teaches this. [Go deeperGamma: why it grows so fast near expiry8 min, Intermediate](/learn/path-14/module-14-11-gamma)[Go deeperPosition Greeks for multi leg strategies9 min, Intermediate](/learn/path-14/module-14-14-position-greeks) SSources ## Go to the source. 3 sources, Book the most cited The publisher of each source listed below. Source: Module undefined source list. 1. [NSE, equity derivatives contract specifications (expiry cycle, lot size, settlement)](https://www.nseindia.com/static/products-services/equity-derivatives-contract-specifications) NSE 2. [NISM, Series VIII equity derivatives test objectives (the syllabus names the Greeks, open interest, volume and the put call ratio)](https://www.nism.ac.in/revamp-nism/test-objectives-revised-nism-series-viii-equity-derivatives-certification-examination/) NISM 3. Hull, Options, Futures and Other Derivatives (chapter on the Greeks and second order sensitivities) Book ?Questions people ask ## Related questions. [QuestionWhat is delta, with an Indian example?Beginner](/learn/questions/what-is-delta)[QuestionWhat is gamma, and what is a "gamma blast"?Intermediate, trap check](/learn/questions/what-is-gamma)[QuestionWhat is GEX (gamma exposure)?Advanced](/learn/questions/what-is-gex)[QuestionWhat is a delta neutral strategy or delta hedging?Intermediate](/learn/questions/delta-neutral-and-delta-hedging)[QuestionWhat is vega, and why does an option gain when volatility rises?Intermediate](/learn/questions/what-is-vega) [All 130 questions](/learn/questions/) Explore next ## Go deeper on this question. * [QuestionDoes rho matter in India?A short answer with a dated chart](/learn/questions/does-rho-matter) * [QuestionWhat is gamma scalping?A short answer with a dated chart](/learn/questions/what-is-gamma-scalping) * [ToolOption payoff builderLegs on a dated Nifty chain, breakevens and charges](/learn/tools/payoff-builder) * [GlossaryInvesting glossary, 230 termsPlain word definitions, and the app’s own](/learn/glossary) Community ## Join my WhatsApp group. 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