FRO vanna and charm
From the closing options book · October 20, 2026 · updated after every close
At the October 20, 2026 close, FRO's dealer book carried +$313K of vanna exposure and −$44K of charm exposure, alongside −$232K of gamma.
FRO vanna exposure, last 60 sessions
Vanna is how dealers' delta changes when implied volatility moves; with positive vanna, a fall in IV pushes their hedges toward buying the underlying.
Charm is how delta drifts as time passes; it matters most into the close and into expiration, when negative charm means hedging flows lean toward selling.
These are the October 20, 2026 closing numbers. Members see FRO's map move live all session.
Common questions
+$313K at the October 20, 2026 close.
−$44K at the October 20, 2026 close.
Second-order Greeks: vanna is delta's sensitivity to implied volatility, charm its sensitivity to time.
Compare: vanna and charm on other tickers
Measured from the closing options book and rebuilt after every close. Nothing on this page is live. Levels are where dealer hedging is concentrated, not targets or forecasts. Not investment advice.