In this article, we will continue the exploration of different Greeks and examine a key second-order Greek known as “Charm”.

Charm is defined as the rate of change of Delta with respect to time, or equivalently, the rate of change of Theta with respect to the underlying spot. When an option approaches maturity, its value can change quickly, making Charm especially important Charm is important because it provides insight into the relationship between spot and time in option pricing. As for Theta, a positive direction signifies time advancing by one day or another unit, which is equivalent to a reduction in maturity