Charm Scenarios — Delta Decay vs DTE
Charm (dΔ/dt) shows how delta changes as time-to-expiry decreases — critical near expiration
Scenario 1 · OTM Call — Delta Fades to Zero
As DTE → 0, OTM probability collapses — delta accelerates toward 0
📉 OTM call delta rapidly decays near expiry
Scenario 2 · ITM Call — Delta Solidifies to +1
ITM option certainty grows — delta approaches +1.0 into expiry
📈 ITM delta cements near +1 — acts like stock
Scenario 3 · ATM — Charm Oscillation Near Expiry
ATM delta is most sensitive — small moves cause large charm effects at 7DTE
⚡ ATM charm highest — delta flips rapidly at 7DTE
Scenario 4 · OTM Put — Negative Delta Fades to Zero
OTM put delta (negative) decays toward 0 — put loses directional exposure
📉 OTM put delta decays symmetrically to calls
OTM Call
ITM Call
ATM
OTM Put
7 DTE marker