Gamma says how much dealers must trade for a given move in the underlying. It is the headline number and the one our levels are built from. But it is not the only force on a 0DTE book: delta exposure says how much they already hold, vanna says what happens to that position when implied volatility moves, and charm says what the clock alone forces them to do as the expiry approaches. The chart page now carries all four under the tape, one at a time, so the whole picture can be read in one place while the session is running.
Delta exposure (DEX)
For every contract in the chain: 100 × delta × open interest × spot, calls positive and puts negative, summed. It is the notional dealers would have to hold against the book, in dollars. On the chart it draws as a line with a wash between the value at the open and the value now: green when delta exposure has grown through the session, red when it has shrunk. The slope is the reading, not the level — a book whose delta exposure keeps climbing into the afternoon is a book that keeps needing to be hedged in the same direction.
Vanna exposure
Vanna is the change of delta for a change in implied volatility. We sum 100 × vanna × open interest × spot × IV across the chain, with the sign flipped, so the number reads as the capital dealers would be forced to hedge if implied volatility bled to zero into expiry — which on a 0DTE chain is exactly what happens by the close. Vanna is the flow behind the drift nobody can point at: spot flat, walls unchanged, and the market grinding one way for twenty minutes because IV fell. When the vanna line is large and IV is falling, that drift has a name.
Charm, per hour
Charm is the decay of delta with time. We sum 100 × charm × open interest × spot across the chain and divide by the hours in a year, so the line reads in dollars per hour: the hedging the clock forces on dealers whether or not price moves. On a 0DTE chain charm accelerates into the last two hours; a charm line that turns sharply in the early afternoon is the book telling you the close will not be quiet.
And the risk reversal
The strip above the chart also shows the 25-delta risk reversal in vol points — the implied volatility of the 25-delta call minus the 25-delta put. Negative is the normal state of an equity index, because puts carry more implied volatility than calls. A risk reversal that rises toward zero during the session is call demand showing up in the skew before it shows up in the walls.
How to read them together
- Net GEX gives the regime: positive, moves get dampened; negative, they get amplified. That is the sign of the day.
- DEX gives the load: how much is already held against the book, and whether that load has been growing or unwinding since the open.
- Vanna and charm give the two forces that act without a price move — a fall in IV, and the passage of time. On a quiet tape they are usually the explanation.
- All four are computed from open interest — the standing book — and every value on the trail is the value the engine had at that minute, so the replay shows what the numbers said at the time, never what they became later.