Vanna & Charm · Foundations
Free to readHow to Read the Vanna & Charm Tool
Two profiles by strike — one for vol flow, one for time flow. Read where each is concentrated and which way it points. Three moves.
The tool maps net dealer vanna and net dealer charm across strikes for your chosen underlying. Here's how to work it.
What every control does
Pick the ticker and an expiration. The Net Dealer Vanna by Strike chart shows how much hedging flow a move in implied vol will generate at each strike; the Net Dealer Charm by Strike chart shows the flow that the passage of time generates. Positive and negative bars indicate the direction dealers must trade — the same standard sign convention used for gamma (long calls, short puts).
The vanna profile shows where a vol move generates hedging; the charm profile shows where time does. The biggest bars are the strikes that matter.
What to look at first
Three passes. First, concentration: which strikes carry the biggest vanna and charm? Those are where the flows will be strongest. Second, the sign and direction: which way must dealers trade as vol falls (vanna) or as time passes (charm)? In the common setup, both lean toward buying — the source of vanna rallies and charm drift. Third, proximity to expiration: charm flow intensifies as the date approaches, so a near OPEX makes the charm profile far more potent.
Two common misreads
Reading the chart is free. To pull your own: ETFs with ETF Analytics, single stocks with ETF + Equities, full by-strike data via Everything.
See plans →Educational content from Nations Indexes. Vanna and charm exposures are regime heuristics estimated from open interest. The figures above are illustrative. Nothing here is investment advice.