Most GEX commentary stops at gamma: how much dealers must buy or sell for a one-point move in spot. That is one row of the risk report. Two other second-order greeks move real hedging flow, and on an expiration day one of them is often larger than gamma itself.
Vanna: the volatility lever
Vanna is how delta changes when implied volatility changes. Nothing has to happen to price at all. A vol crush after the open leaves a book whose delta has moved on its own — and the hedge that follows is a real order, hitting a tape that has not given any obvious reason for it.
This is the flow that explains the drift nobody can point at. Spot is flat, the walls have not moved, and yet the market grinds one way for twenty minutes. Check whether IV fell.
Charm: the clock lever
Charm is delta decay: how much delta changes simply because time passed. Every hour on a 0DTE chain, out-of-the-money options lose delta toward zero and in-the-money options gain it toward one. Nothing needs to trade for a dealer hedge to be wrong by the afternoon.
Reading them on the ladder
- Γ answers: how violently does the hedge react to a move in price?
- Vanna answers: what happens to the hedge if volatility moves and price does not?
- Charm answers: what does the hedge have to do by the close even if nothing happens at all?
Exposure by strike carries all three on the same axis, so the comparison is like for like: same strikes, same book, three different questions. A strike that is loud in gamma and silent in charm behaves very differently at 15:30 than one where the two agree.
A practical order of reading
- Start with gamma to find where the hedge is violent — that is the wall structure.
- Switch to charm in the last two hours; it tells you which side has homework before the bell.
- Reach for vanna when the tape moves without a price reason and IV has shifted.
None of these are entries. They are explanations for flow you would otherwise call random, and an explanation is worth more at 15:30 than at 09:45.