|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 have the charm profile: the futures they have to trade because the clock moved, with the index standing still. This page goes through today's profile from their side of the trade: what the sign means, where it comes from in today's expiry, how to read it on the VS3D Gradient Chart and its tooltip, and what the time of day does to it. Every figure below is from this morning, on the full position, every expiry, on a stated clock. Index levels are blurred on this public page and written as points from spot. The strikes are on the dashboard and in the session.
VS3D Live Education: Charm, live in the dashboard, 2:00 PM ET today (Wednesday, October 7). About 15 to 30 minutes, no registration. The join link is posted in Discord #announcements and on X the morning of each session. We'll go through today's profile the way it's laid out below and then take questions.
Start the free 7-day trialThe trial opens the same dashboard, so you can hover the same field while we're on it. Reading before or after: The Annotated Guide, the positions page, the gamma page, how we trade it and the community onboarding guide.
Every SPX option has a market maker on one side of it. They are not directional. They hedge the delta of what they hold with futures, and charm is how that delta changes as time passes with the index unchanged. The number matters because it sets the direction of the passive hedge flow at each level and each hour.
An option market makers are long loses delta as it decays while the index is under its strike, call or put, so the position gets shorter there and they buy futures. Over the strike the same option gains delta as it decays, and they sell. A short line does the opposite on each side. Sum every line, every expiry, at one index level and one time of day, and you have one charm number for that node.
Exposure positive = the position gains delta as time passes = market makers sell; negative = they buy. Dollar Value of Trade and Hedge Product to Trade are the futures to trade over the next five minutes at that level and time, signed as the hedge itself: positive = buy, negative = sell. On the Gradient Chart blue is positive (selling), gold is negative (buying), and saturation is the size.
Charm is a rate. It is small in the morning and grows into the afternoon because the expiring lines account for more of the profile every hour, and the same level can read one sign at 10 AM and the other at 2 PM with no move in the index. That is why the profile is drawn against a clock, and why the right edge of the field breaks up in the last half hour.
Gamma is the hedge per point of movement; charm is the hedge per minute of time. They come from the same lines. Today the biggest long lines of the expiry sit above spot, so gamma is long across the window and charm at spot has market makers buying as the clock ticks. The gamma page reads the other greek on the same position.
The VS3D Gradient Chart on Charm at 8:11 AM ET this morning, on the position after Tuesday's close. The whole market maker position, every expiry, priced at every index level (up the side) and every time of day (along the bottom), coloured by the sign of charm: gold is buying, blue is selling. ES gave back about 45 points overnight, from a high just after Tuesday's cash close to a low a few minutes before 8:30 AM. On the profile that took SPX from just over the top edge of the gold band to the middle of it. This morning the gold band around spot is about 30 points wide at the open, with spot a little above its bottom edge. The band widens downward through the day. Above it the field is blue up to about 70 points over spot, then gold again at the top of the window all session. Below it the field is blue in the morning, and from about 2:30 PM the lower half breaks into a blue pocket inside the band and a gold pocket under it. Hover or tap anything. The tooltip below is what the dashboard shows when you hover the field yourself.
The whole market maker position, every expiry, priced at every index level (vertical axis) and every time of day (horizontal axis), coloured by the sign of charm. Gold is where the position loses delta as time passes and market makers buy futures. Blue is where it gains delta and they sell. Captured Oct 7 at 8:11 AM ET, before the open, on the position as it stood after Tuesday's close. The index level in the header is blurred on this page.
The at-the-money straddle for today's expiry at capture, which is the market's own estimate of the day's range. The price is blurred here and it is on the dashboard during the session.
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. At the open the band runs from about 10 points under spot to about 20 points over it, and spot sits a little above its bottom edge. It widens downward through the day, about 30 points lower at the bottom edge by 2:30 PM, while the top edge drifts up a few points. It sits under the three biggest long lines of today's expiry.
Blue is positive charm: the position gains delta at these levels as time passes, so market makers sell futures. From the top edge of the band up to about 70 points over spot. This is where the index closed yesterday, about 10 points over the top edge, before the overnight decline moved it into the band.
From about 70 points over spot to the top of the window the field is gold all session. The biggest short line of today's expiry sits about 65 points over spot: over a short option the position gets shorter as time passes, so market makers buy up there too.
Below the bottom edge the position gains delta as time passes and market makers sell. The edge drops through the day, so a level that reads blue at 10 AM can read gold by 2 PM with no move in the index.
The one place inside the band where the sign turns back to selling: a pocket about 25 to 45 points under spot that opens in the afternoon and widens into the close. It sits over the long lines in today's expiry below spot, where a long option gains delta as time passes.
About 50 to 80 points under spot the sign turns back to buying in the afternoon, under the next cluster of long lines in the expiry.
Inside a blue region the orange curve traces the level of the largest selling flow at each time of day. From about 11:30 AM it runs about 40 points over spot and drifts down toward the top edge of the band into the close.
Inside a gold region the blue curve marks the level of the heaviest buying. From about 1:30 PM it runs a few points over spot and rises toward the big long lines into the close.
The same position produces stronger charm as expiration approaches, so the colours saturate through the afternoon and the right edge breaks into alternating gold and blue in the last half hour, one pocket per expiring line. At 4 PM those lines are gone.
The session clock. Read left to right for how the field changes as time passes with the index unchanged: every column is a fresh simulation of the position at that time of day.
The vertical axis is the index. It is blurred on this public page. On the dashboard you hover any point and the tooltip prices the position at that level and that time.
Hover the figure or the list to reveal an element · click to pin · Esc to unpin
Hovering the 9:01 AM column at spot this morning: exposure -1.39, +$1.08mm and +2.78 ES to buy over the next five minutes with the index unchanged. Last Wednesday the same column read under 2 ES to sell. The sign at spot has turned, because spot now sits under the biggest long lines of the expiry instead of over them.
Oct 7, the 9:01 AM column of the Gradient Chart, hovered at spot before the open.
The index level the tooltip is priced at. It is blurred on this page.
Charm at the node: -1.39. Negative = the position loses delta as time passes = market makers buy. Positive = they sell.
+$1.08mm of futures to buy over the next five minutes at this level, from time passing alone.
+2.78 ES to buy. Positive = buy. Last Wednesday's column at spot read -1.69 ES, a sell, because spot was then a few points over the band.
The full market maker position (every expiry, 29.1k lines) priced as charm at every index level from 200 points under spot to 200 points over it, from the 8:50 AM ET position and quote snapshots, in dollars of delta per calendar day of time passing. White is the whole position and the gold dashed line is today's expiry on its own. Above zero market makers sell as time passes, below zero they buy, and the open circles on the zero line are where the sign changes. Read this chart for the sign and the shape and the dashboard above for the trade: the tooltip prices five minutes of a session on the dashboard's own clock, this model prices a calendar day on a pre-open clock, so the two are compared for where the sign turns, never for size. The simulation table that draws the dashboard agrees with this profile on shape (correlation 0.99 on its first column) and on the sign at spot.
-$0.96bnper day in this model, -2.5k ES per day: market makers buy as time passes with the index unchanged, which is the sign the 9:01 AM tooltip shows. Today's expiry alone is -$1.02bn, more than the whole, the rest of this week -$0.08bn, the rest of the month +$0.09bn, and everything later +$0.06bn.
The stretch where the whole position loses delta as time passes. Spot is inside it. The heaviest buying within 100 points of spot in this model is -$1.46bn about 90 points above spot, over the biggest short of the expiry.
From about 36 points over spot the sign turns and market makers sell as time passes, up to about 57 points over spot in this model. Then gold again, over the biggest short of the expiry. The heaviest selling within 100 points of spot is +$3.40bn about 65 points below spot.
Tuesday's close was about 29 points over this morning's level. In this model the profile there reads -$0.29bn (market makers buy), the same sign as spot this morning. On the dashboard's 8:30 column the close sits a few points over the band's top edge.
The profile is a sum, and it can be deconstructed. At spot these are the expiries and the levels that account for most of it, in dollars of delta per day of the full position.
| Expiry | Charm at spot | Read |
|---|---|---|
| Oct 7 (today) | -$1.02bn | market makers buy |
| Oct 8 | -$0.25bn | market makers buy |
| Oct 9 | +$0.18bn | market makers sell |
| Oct 12 | +$0.10bn | market makers sell |
| Nov 20 | +$0.06bn | market makers sell |
| Oct 30 | -$0.04bn | market makers buy |
| Oct 21 | +$0.03bn | market makers sell |
| Nov 6 | +$0.03bn | market makers sell |
Today's expiry is almost all of the charm at spot. Tomorrow's expiry adds to it; Friday, Monday and the October and November monthlies lean the other way, and they are small next to today.
| Level (all expiries) | Charm at spot | Read |
|---|---|---|
| about 20 points above spot FLEX | -$1.06bn | buy as time passes |
| about 35 points above spot | -$0.83bn | buy as time passes |
| about 115 points below spot | +$0.68bn | sell as time passes |
| about 135 points below spot | +$0.62bn | sell as time passes |
| about 70 points below spot | -$0.51bn | buy as time passes |
| about 30 points above spot | -$0.51bn | buy as time passes |
| about 150 points above spot | -$0.46bn | buy as time passes |
| about 125 points below spot | +$0.36bn | sell as time passes |
| about 150 points below spot | -$0.35bn | buy as time passes |
| about 160 points below spot | +$0.32bn | sell as time passes |
FLEX lines are non-standard strikes that the dashboard folds to the nearest listed strike. Levels far from spot make the list because the positions there are large and long-dated.
The lines that make the band are the 0DTE lines nearest spot. First the dashboard's own view at 8:11 AM ET, Positions by Strike on today's expiry (blue long, gold short, calls and puts netted, strikes blurred), then the same expiry from the 8:50 AM ET database snapshot with each strike's charm at spot behind the bar.
One expiry, strike by strike, what market makers hold. Captured Oct 7 at 8:09 AM ET, before the open, with the index down about 28 points from Tuesday's close. The index level, the strikes and the straddle price are blurred on this page.
Today's expiry, and the at-the-money straddle, which is the market's own estimate of today's range. The purple dashed lines are spot plus and minus that number.
Blue and long: market makers were net long about 5k contracts on this line at capture. It is the largest line of the expiry and close to double the next one. Under its strike the position loses delta as time passes, so this line is most of the gold band around spot.
Net long about 2.9k contracts, about 35 points above spot, right on the upper boundary.
Net long about 2.1k contracts, about 30 points above spot. The three lines together are where customers are short options expiring today, and the top edge of the gold band sits under them.
Net long about 1.7k contracts, well above the range. Together with the shorts just under it, this is why the field is gold again near the top of the window.
Gold and short, about 1.1k contracts, above the range. Over a short option the position gets shorter as time passes, so above this line market makers buy.
About 0.7k contracts each, 40 to 45 points above spot, with a smaller one 50 points up. Between the big longs and these shorts the sign is blue: selling as time passes.
About 0.5k contracts. Small next to the longs above it.
About 0.3k contracts on the strike the index was marked at.
About 0.8k contracts each, 5 points above spot and 5 points under it.
About 0.7k contracts, inside the lower half of the range.
About 0.4k contracts, right on the lower boundary.
A run of longs from the lower boundary down, about 0.5k to 1.1k contracts each. Over a long option the position gains delta as time passes, so below the band the field is blue in the morning. Under their strikes it turns gold, which is the pocket that opens in the afternoon.
Spot plus the straddle. Two of the three big longs are just under it and the third is on it.
Where the index was marked at 8:09 AM, about 28 points under Tuesday's close.
Spot minus the straddle. A small short sits on it, with longs on every strike below.
The "Show Comparison" set: where each bar stood at the reference time (the prior close by default). A bar past its dot means the line grew since, and a bar short of its dot means 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 time of day.
The strike axis, one row per 5 points. It is blurred on this public page.
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+4.8k about 20 points above spot · +4.7k about 115 points below spot · +2.8k about 35 points above spot · +2.6k about 125 points below spot
Under a long line the position loses delta as time passes and market makers buy. The band sits under the three biggest.
-3.3k about 80 points above spot · -1.4k about 70 points above spot · -1.1k about 80 points below spot · -832 about 70 points below spot
Over a short line the position loses delta as time passes, which is why the field is gold again above the biggest short in the window.
-$1.30bn about 20 points above spot (buy) · -$0.90bn about 35 points above spot (buy) · +$0.64bn about 115 points below spot (sell) · -$0.62bn about 30 points above spot (buy) · +$0.33bn about 80 points above spot (sell) · -$0.32bn about 60 points above spot (buy) · +$0.31bn about 125 points below spot (sell)
Today's expiry sums to -$1.02bn per day at spot. Every line is built from SPX option prints with the participant on each side, netted by strike and expiry every session.
| Line | Participant data, 8:50 AM ET | Customer net | Charm at spot | Why |
|---|---|---|---|---|
| Calls, about 20 points above spot FLEX | MM long +3.8k | 0 | -$1.06bn | market makers are long these calls and spot is under the strike, so the line loses delta as time passes and they buy |
| Puts, about 115 points below spot | MM long +4.7k | -4.2k | +$0.64bn | market makers are long these puts and spot is over the strike, so the line gains delta as time passes and they sell |
| Calls, about 35 points above spot | MM long +1.9k | -431 | -$0.61bn | market makers are long these calls and spot is under the strike, so the line loses delta as time passes and they buy |
| Calls, about 60 points above spot | MM long +2.3k | -525 | -$0.46bn | market makers are long these calls and spot is under the strike, so the line loses delta as time passes and they buy |
| Calls, about 30 points above spot | MM long +1.3k | -905 | -$0.42bn | market makers are long these calls and spot is under the strike, so the line loses delta as time passes and they buy |
| Calls, about 40 points below spot | MM long +1.3k | -1.4k | +$0.40bn | market makers are long these calls and spot is over the strike, so the line gains delta as time passes and they sell |
| Calls, about 80 points above spot | MM short -3.3k | +3.5k | +$0.33bn | market makers are short these calls and spot is under the strike, so the line gains delta as time passes and they sell |
| Puts, about 20 points above spot | MM long +1.3k | -1.1k | -$0.32bn | market makers are long these puts and spot is under the strike, so the line loses delta as time passes and they buy |
Gamma, charm and vanna are the same position differentiated three ways. This is the Gradient Chart on Gamma at 8:11 AM ET, with its 9:00 AM tooltip at spot. Market makers are long gamma at every level in the window all session, with the brightest band 10 to 40 points above spot. Red shows only late: a lobe about 55 to 90 points above spot from about 2:15 PM, and small pockets in the final minutes near spot, about 20 under it and about 60 under it. The 9:00 AM column at spot reads $5.46bn per 1% and -180 ES on a $1 up move, less than half of yesterday morning's $13.13bn and -431 ES, because the overnight decline moved the index away from the biggest long lines.
Same position, different greek. Gamma is how the delta of the position changes as the index moves, so which way market makers trade futures against a move. The full read is on the gamma page: volsignals.com/gamma.
From the open into the last minutes the field is green at every level in the window. Market makers are long gamma, so they sell futures into rallies and buy them on declines, and movement gets absorbed.
The three biggest long lines of today's expiry. It gets brighter as the session goes on. Charm and gamma are the same lines read two ways: the band is where the hedge response to movement is largest, and the gold charm band sits just under it.
About 55 to 90 points above spot, on the shorts above the upper boundary and the biggest short in the window. Short gamma begins up there in the afternoon.
About 55 to 75 points under spot, in the last half hour, on a short line below the run of longs.
The pink line is a threshold contour, not a sign change. It runs along the bright band all session and rises a few points into the close.
Same clock as the charm view.
Blurred on this public page.
Oct 7, the 9:00 AM column, hovered at spot.
Blurred on this page.
Gamma at the node: 89.83. Positive = market makers are long gamma here.
$5.46bn: the notional value of total futures to trade for a 1% move in the index, the full position at this level and time. Yesterday's morning column read $13.13bn.
-$78.0mm of futures to trade on a $1 up move. Negative = market makers sell.
-180 ES to sell on a $1 up move. Yesterday's morning column read -431 ES.
The field below is the dashboard's own simulation table for this morning's position: charm at every 5-point level and every column of the session, drawn in points from spot. It is what the Gradient Chart above is drawn from, without the price axis. The band around spot widens as the day goes on, the colours saturate, and in the last half hour the field breaks into one pocket per expiring line. Hover any cell.
| Clock | The band around spot, model | Every sign change within 100 points, model | The band, dashboard simulation table |
|---|---|---|---|
| 9:30 AM | -17 to +34 | -17, +34, +58 | -16 to +40 (9:29 column) |
| 12:30 PM | -22 to +27 | -22, +27, +64 | -28 to +28 (12:30 column) |
| 3:30 PM | -19 to +26 | -71, -44, -19, +26, +50, +57, +75, +99 | -21 to +27 (15:30 column) |
The model rows hold the position and the vols fixed and only move the clock. By 3:30 PM the field has far more sign changes than it had at 9:30, because each expiring line near spot makes its own pocket once its gamma is concentrated at the strike. The dashboard's table does the same on its own clock: its last column at 3:59 PM has 34 sign changes in the window.
With the index held where it was marked this morning, market makers buy futures as the clock ticks, and they buy more of them every hour into the afternoon. A move of 30 points up puts the index over the band, where time passing has them selling instead. The lines that make the band expire at 4 PM, and Thursday's profile is built on what is left.
Spot is inside the gold band this morning: the 9:01 AM tooltip has market makers buying +3 ES over the next five minutes, and the model has the whole position buying -2.5k ES per day of time passing at this level, and today's expiry alone is -$1.02bn, more than the whole, because the later expiries lean the other way. The band runs from about 16 points under spot to about 36 over it and widens downward through the day. Above it the sign turns to selling for about 21 points, then back to buying over the biggest short of the expiry. Tuesday's close was over the top edge; the overnight decline moved the index into the band. Gamma is long across the window at the same time, so movement gets absorbed while time passing leans the hedge toward buying.
A profile is not a directional call. Charm tells you which way the passive hedging leans at a level and a time of day, and how hard. The levels for the day, and how they become a range, a balance and a set of tests, are what we go through in the morning meeting and in today's session. The approach is written up on the trading page, and the live position is in the dashboard the trial opens.
The free 7-day trial opens the same dashboard this page came out of: the Gradient Chart on charm, gamma and vanna, Positions by Strike and by Expiry, and the flows behind them. Come to the 2:00 PM ET today (Wednesday, October 7) session and we'll go through today's profile together and take your questions.
Start the free 7-day trial Read the Annotated Guide (free)Data via Cboe, VS3D/VolSignals · Modeling via VS3D/VolSignals · Dashboard captures Oct 7, 2026 8:11 AM ET; profile and expiring position from the 8:50 AM ET database snapshots; the clock field from the dashboard's simulation table for the same position. VolSignals is not a registered investment adviser or broker-dealer.