Greeks deep
TradingDefinition
Beyond the standard 5 Greeks (delta, gamma, theta, vega, rho), professional options traders monitor: vanna (delta's sensitivity to vol — drives equity hedging flows around big options expirations), charm (delta's decay over time), vomma (vega's sensitivity to vol).
"Vanna-Charm" flows have become a documented driver of SPX intra-day patterns, especially around opex weeks.
"Vanna-Charm" flows have become a documented driver of SPX intra-day patterns, especially around opex weeks.