|VS3D™ · Charm|VS3D™ · CharmEvery SPX option market makers hold gains or loses delta as time passes. Add that up across the whole position at every index level and you get the charm profile: the futures they have to trade purely because the clock moved, with the index standing still. Today spot is sitting on the flip. Above it, time passing has market makers buying; below it, selling. This page goes through today's profile element by element, the way it is taught in the onboarding session.
VS3D Live Education: Charm, live in the dashboard, 11:00 AM ET today. About 15 to 30 minutes, no registration, and Matt and I will take your questions during the session.
Join on Zoom Start the free 7-day trialThe trial gives you the live dashboard, so you can hover the same field while we go through it. Reading for before or after: The Annotated Guide and the community onboarding guide.
The Gradient Chart on Charm, captured pre-open at 8:23 AM ET. Hover or tap any part of the figure, or a row in the list, and the callout explains what that element is and what today's value means.
The Gradient Chart simulates one greek of the whole market maker position at every index level, for every 10 minutes of the session. The dropdown picks the greek. This capture is Charm: how the position's delta changes as time passes, and therefore which way the hedge leans with the index standing still.
SPX at the moment of capture, pre-open: 7,642.75 (+11.21, +0.15%). Every level on the y-axis is read relative to this. Today spot sits a few points under the flip contour, which is the whole story of the day.
The 0DTE at-the-money straddle was $29.60 at capture, so the options market priced today's move at about 30 points either way (7,616.56 to 7,675.76). Both halves of that range sit on opposite sides of the flip.
RTH clips the field to the regular session. The zoom controls change the price range on the y-axis. Zoom out on a big-range day, zoom in on a pinned one.
Gold is negative charm: at these levels, time passing takes delta out of the position, so market makers buy futures with the index standing still. Today the gold covers everything from about 7,645 up to the top of the field, all session long.
Blue is positive charm: as time passes the position gains delta at these levels, so market makers sell futures. Today the blue covers everything below about 7,645, all session long.
The dotted line traces where charm crosses zero. It sits at about 7,645 in the morning and drifts up to about 7,650 by the afternoon as the day's expiry decays. Spot at capture (7,642.75) is a couple of points under it, which is why the tooltip at spot reads almost zero. Read the flip as a zone, not a line.
The one place above spot where the sign turns back to selling, and it sits right on top of the 7675 line. Past its strike a long call gains delta as time passes instead of losing it, so up there the position gets longer and the hedge turns to selling. The pocket only forms in the afternoon because charm intensifies as the 0DTE decays.
The mirror image below spot. Down here the 7620, 7600 and 7585 puts market makers are long would be in the money, and an in-the-money long put gains short delta as time passes, so the position gets shorter and the hedge turns to buying. Same structure of strikes, opposite side of them.
The solid blue line rides the local minimum of the field, the level of heaviest passive buying at that time of day. It sits above 7,700 through the morning and drifts higher into the close.
Inside each blue region an orange curve marks where the selling flow is largest. Here it sits at about 7,680 from 2:30 PM, between the 7675 line market makers are long and the 7680 line they are short.
The same marker in the big blue field under spot, at about 7,630 to 7,635 in the last hour. That is the level where a fade meets the most passive selling from hedging.
The same position produces stronger charm as expiration approaches, which is why the colors saturate and the pockets form from about 1:45 PM. Early in the day, discount the paths; late in the day, respect them.
Left to right is the session clock, 8:30 AM to 4:00 PM ET. The chart is not a price chart with a color overlay: every column is a fresh simulation of the position at that time of day. Captured pre-open, so the whole field is the simulated day ahead.
SPX levels. The visible range here is about 7,553 to 7,727, roughly 90 points either side of spot, or three straddles.
The strip at the bottom shows the whole session with the visible time window highlighted. Drag it to scroll the field when you are zoomed in.
Drag to move the visible price window up or down the y-axis without changing the zoom level.
Hover the figure or the list to reveal an element · click to pin · Esc to unpin
Hover any node on the field and the tooltip converts the greek into the trade market makers face over the next five minutes at that level. This is the 9:00 AM column at SPX 7,640.62: about zero, because spot is on the flip.
The tooltip reads the column under the cursor. Sep 2, 2026, 9:00 AM is the first column of the session, hovered pre-open at 8:23, so the numbers below describe the five minutes from 9:00 at the hovered level.
The simulated index level, 7,640.62 here, not necessarily where price is. Hover 20 points above spot and you read what the position would do if SPX were there at that time.
The greek itself at that node: the Black-Scholes implied delta change over the following five minutes, in units of the underlying. 0.43 here, barely positive. Positive exposure = market maker selling ahead; negative = buying.
The same reading in notional: -$331,366.55 of SPX-equivalent futures to trade over the next five minutes at this level. Negative = market makers sell. On Aug 26 the same field read -$24.9mm at spot; today at spot it is a rounding error, because spot sits on the flip.
Dollars converted into the instrument that actually gets traded: -0.87 ES contracts (one ES is $50 x the index, about $382k here). Negative = sell. Under one contract at spot. Move the cursor 10 points up and the sign flips; 30 points down and it is a multiple of this.
Charm is not a market opinion. It is a property of the positions market makers are holding, and today's profile can be read straight off the lines in the expiring position. Hover the bars.
The market maker net position in today's expiry, by strike. Blue bars are lines market makers are net long, gold bars are lines they are net short. Spot at capture 7,646.16 (+14.62, +0.19%).
The expiry selector and the at-the-money straddle for it. The two pink dashed lines on the chart are spot plus and minus this straddle: the range the options market priced for today.
The biggest line in the expiry (customers sold about 3,680 of them). 30 points out of the money at capture. As it decays it loses delta, so with the index standing still the position gets shorter and market makers buy futures: this line is most of the gold above spot on the charm gradient. Past 7675 it gains delta instead, which is the blue pocket at 7,672 to 7,690 in the afternoon.
Customers bought about 2,200 of these, five points above the big long. Part of the same customer structure as the 7675 line (short the 7675, long the 7680 is a 5-point call spread). A short call decaying pushes the hedge the other way, so it offsets some of the 7675 buying above spot.
With the 7690 line (short about 630) the upper wing. Short calls that decay make the position longer, so these lines add to the selling once spot is up around them, which is part of why the blue pocket forms up there in the afternoon.
A short call just under spot. Small next to the 7675 line, but it is the closest short line to the flip and it is one reason the orange peak-selling curve sits around 7,630 to 7,635 late in the day.
The strike nearest spot: market makers short about 330. The dashed white line across the chart is spot at capture, and the flip on the charm gradient sits just above it.
Customers sold about 1,400 of these. An out-of-the-money long put loses its short delta as it decays, so below spot the position gets longer and market makers sell futures: this line and the two below it are the blue field under spot on the charm gradient.
Same mechanics as the 7620 line. Between them the 7610 puts (long about 510) and the 7640 puts (long about 315) fill in the downside.
The biggest downside line, paired with about 1,900 short of the 7580 puts (a customer 5-point put spread). Sixty points under spot it is a small charm contributor at spot, but it is why the gold pocket at 7,570 to 7,610 appears in the afternoon: down there these puts are in the money and gain short delta as time passes, so the hedge turns to buying.
Spot plus the straddle. It lands on the 7675 line, so the top of the priced range is exactly where the big long call sits and where the charm sign turns back to selling in the afternoon.
Spot minus the straddle, right between the 7620 and 7610 long puts. The whole lower half of the priced range is blue on the charm gradient: selling as time passes.
The "Show Comparison" set: where each bar stood at the reference time (the prior close by default). Bar past its dot = the line grew since; bar short of its dot = it shrank.
The x-axis is net contracts. Every bar is a count of SPX options. The dollars come on the Gradient Chart, once the position is priced at a level and a clock, which is what the rest of this page is about.
Market makers are long about 3,970 of the 7675 calls (customers sold them). An out-of-the-money call loses delta as it decays, so with the index standing still the position gets shorter and the hedge is to buy futures. That is the gold above the flip.
They are long the 7620 puts (about 1,000), the 7600 puts (about 1,070) and the 7585 puts (about 2,800). An out-of-the-money put loses its short delta as it decays, so the position gets longer and the hedge is to sell. That is the blue below the flip.
Spot at 7,641 sits between the two, a few points under the contour where the call decay and the put decay net to zero. Hence -0.87 ES on the tooltip. Ten points higher the calls dominate; thirty points lower the puts do.
Sign convention. Positive charm (blue) = the position gains delta as time passes = market makers sell futures. Negative charm (gold) = they buy. On the tooltip, negative Hedge Product to Trade = sell.
It is a rate. Charm is dollars of delta per unit of time. Dollars are the size of the position; ES contracts are what has to hit the futures ladder to keep the delta flat. One ES is $50 x the index, about $382k at 7,641.
It is frozen-time. The field is the position simulated at every level and time of day. The flip is not intraday support or resistance; charm reprices as spot moves and as the day's expiry decays, and the contour drifts from 7,645 to 7,650 today for exactly that reason.
Same position, same clock, the other greek. Gamma is the hedge per point of movement; charm is the hedge per minute of time. Today they tell different stories at spot.
9:00 AM column at 7,641, from the tooltip:
Exposure 75.92: market makers are long gamma here.
$4.43bn per 1%: the notional value of total futures to trade for a 1% move in the index.
-$58mm and -152 ES: the notional value and futures to trade on a $1 up move. Negative = sell.
So today: gamma is long at every level on the chart and the hedge response to movement absorbs it (sell rallies, buy declines), while charm at spot is flat and turns to buying above 7,650 and selling below. Movement gets absorbed; time passing does nothing at spot and pushes away from it on either side. Yesterday's gamma page goes through that chart element by element.
The value of charm is not a forecast. It is knowing, before the session, which way the passive hedging leans at each level and how hard, so the tape's drifts and pins stop looking random.
Open the Gradient Chart on Charm before the open. Note where the dotted contour sits relative to spot and which color is on each side. Today the contour sits a few points above spot, gold above it and blue below, so the two halves of the priced range (7,616.56 to 7,675.76) lean opposite ways.
Hover the current column at spot and read Hedge Product to Trade. Under one ES every five minutes this morning is nothing; 20 points either side of spot it is not. Re-hover after every leg, because the number is for a level, not for the day.
The same position produces stronger charm into expiry. When the pockets form after about 1:45 PM, a rally into 7,672 to 7,690 meets selling from the 7675 line going in the money, and a fade into 7,570 to 7,610 meets buying from the puts doing the same. Those are the levels where afternoon pins and V-shapes come from.
Read the two gradients together. Long gamma plus flat charm at spot, like today, is a tape that absorbs movement but has no passive drift at the level; long gamma plus positive charm, like Aug 26, is the calm-tape, drift-lower archetype. The day's expiry usually carries most of both.
The free 7-day trial opens the same dashboard this page was captured from: Gradient Chart on every greek, Positions by Strike and Expiry, the flows behind them. Join the 11:00 AM ET today session and we'll go through today's charm profile together, questions included.
Start the free 7-day trial Join today's session on Zoom Read the Annotated Guide (free)Data via Cboe, VS3D/VolSignals · Modeling via VS3D/VolSignals · Capture Sep 2, 2026 8:23 AM ET; positions from the 9:30 AM ET snapshot. Educational content, not financial advice.