eksOr - Charm + Vanna Window (Monthly OPEX)

21 sept

What This Does
This indicator highlights the monthly “Charm + Vanna window” around standard monthly options expiration (the 3rd Friday, i.e., monthly OPEX). It’s a time-based overlay that shades either:

• Pre-OPEX: from the first calendar day of the month through the day before OPEX, or
  
• Post-OPEX: from OPEX (3rd Friday) through month-end.
  

Use it to quickly see periods when index/stock flows are often influenced by charm (delta change from time decay) and vanna (delta change from IV moves), which can impact intramonth behavior.

How It Works

• Automatically computes the third Friday each month (monthly OPEX) in your chosen timezone.
  
• Lets you nudge the default window with Start/End calendar-day offsets (±10) to match your playbook.
  
• Optionally draws vertical dotted lines and S/E labels on the bars where the window starts/ends.
  
• Shows a compact table (top-right) with the current mode and the Start/End dates of the active month.
  
• Triggers alerts on the exact bars where the window STARTS and ENDS.
  

Inputs

• Window Mode: Pre-OPEX (start → OPEX-1) or Post-OPEX (OPEX → month end)
  
• Timezone: Select from common exchanges/regions
  
• Start/End Offsets: Shift boundaries by calendar days (e.g., start +2, end −1)
  
• Style: Toggle shading, transparency, color, and start/end lines/labels
  

Why it’s useful

• Many traders track the pre-OPEX build-up and post-OPEX reset for potential flow-driven behavior.
  
• This tool doesn’t predict direction; it frames time so you can align other signals (price, breadth, vol, dealer positioning, etc.) within a consistent monthly structure.
  

Notes & limitations

This is not a signal or guarantee of charm/vanna effects—just a calendar window commonly associated with them.

OPEX logic uses the standard 3rd Friday (monthly equity/index options). It does not account for special exchange holidays or instrument-specific settlement quirks.

For best results, combine with your own vol/positioning dashboards (IV, skew, gamma exposure, open interest changes, etc.).

Tips

Use Pre-OPEX mode to visualize potential decay/roll dynamics into OPEX.

Use Post-OPEX mode to frame potential position resets into month-end.

Adjust offsets to match how your market/instrument tends to behave (e.g., start earlier if flows show up sooner).

hace 3 días

Notas de prensa

Change: The start date for the Vanna + Charm window has been updated.
Previous behavior: Window began at the start of the month and extended to the Friday before OpEx (OPEX − 1).
New behavior: Window now begins on the Monday of the week preceding OpEx week, providing a more accurate reflection of when vanna and charm flows typically begin to influence markets.

Rationale:
Empirical flow data shows that dealer vanna and charm positioning starts to impact spot and volatility in the week before the monthly OpEx cycle. Aligning the start boundary with that Monday ensures the shaded region captures the true onset of pre-OpEx flow dynamics.

hace 3 días

Notas de prensa

📘 Description – eksOr: Charm + Vanna Window (Monthly OPEX)
This indicator visualizes the Vanna + Charm flow window around the monthly options expiration (OpEx), highlighting the period where dealer hedging dynamics most strongly influence market behavior.

🧩 Core Logic
Automatically computes the third Friday of each month (the standard monthly OpEx).
Defines two selectable window modes:
Pre-OPEX: From the Monday of the week before OpEx week → up to the day before OpEx.
Post-OPEX: From OpEx day + offset → to month end.
Fully timezone-aware with customizable offsets to fine-tune boundaries.

🎨 Visuals
Optionally shades the active Vanna + Charm window on the chart.
Draws vertical dotted lines marking start and end boundaries.

Emoji markers for readability:
🟢 = Start of Vanna + Charm window
🔴 = End of Vanna + Charm window
Labels use transparent backgrounds for minimal visual clutter.
Displays a summary table (mode, start, and end dates) in the top-right corner.

⚙️ Customization
Adjustable:
Start/End date offsets (offS, offE)
Shade color and transparency
Toggle for vertical lines, labels, and table
Timezone selectable (e.g., America/New_York, Asia/Seoul, etc.)

🔔 Alerts
Built-in alerts trigger automatically when the chart enters or exits the defined Vanna + Charm window:
"Charm+Vanna Window START"
"Charm+Vanna Window END"

💡 Use Case
Designed for traders tracking option-driven volatility, dealer hedging flows, and macro timing cycles, this tool helps identify periods where Vanna and Charm effects are most likely to impact price and volatility behavior into and out of OpEx.