Vanna Charm Flow

Family: Volatility

What it computes

Emits VannaCharmFlowTick ticks carrying vanna_flow, charm_flow, net_flow, prints_in_window off option trade tape.

Available on the live, historical, and replay drives.

Methodology

Hull (2018) §19.7 vanna + charm closed-form proxies; per-symbol rolling-window aggregator over option prints.

See the methodology overview for the citation index.

Inputs

Option trade tape.

Key outputs

Vanna_flow, charm_flow, net_flow, prints_in_window. The full field set is in the tick table below.

Output schema (VannaCharmFlowTick)

The field / type / description table below is regenerated from the VannaCharmFlowTick Rust source by docs-site/scripts/inject-doc-tables.ts on every npm run docs:build. Do not hand-edit between the sentinels.

Field	Type	Description
symbol	Arc<str>	Underlying symbol (interned).
date	i32	Trading-session date (YYYYMMDD) at emission time.
ms_of_day	i32	Milliseconds since midnight at emission time.
vanna_flow	f64	Rolling-window sum of vanna_proxy · vol_imbalance. Positive readings flag aggregate buying pressure leaning into the in-the-money side (calls dominant) or the out-of-the-money side (puts dominant) — the canonical vanna-flow signature dealers hedge with the vol leg.
charm_flow	f64	Rolling-window sum of charm_proxy · time_to_close. Magnitude grows as the session approaches the closing bell; the sign flags end-of-day directional flow (positive = call-OTM / put-ITM pressure; negative = call-ITM / put-OTM pressure).
net_flow	f64	Composite per-print sum vanna_flow + charm_flow over the rolling window — the headline second-order Greek-flow reading.
prints_in_window	i32	Count of admitted prints contributing to the rolling window.

Configuration (VannaCharmFlowParams)

Regenerated from the VannaCharmFlowParams Rust source — see the note above.

Field	Type	Description
contracts	SecurityFilter	Contracts the subscription tracks. Option-only — stock / index / rate trades are silently ignored.
conditions	ConditionPolicy	Trade-condition admission policy.
venues	ExchangeFilter	Exchange / venue admission policy.
window_ms	i32	Rolling-window length in milliseconds — the trailing horizon the accumulator averages over. Defaults to [DEFAULT_WINDOW_MS] (60_000 ms / one minute).
min_emit_interval_ms	i32	Minimum interval between consecutive emissions per symbol, in milliseconds. Defaults to [DEFAULT_MIN_EMIT_INTERVAL_MS] (1_000 ms / 1 Hz).

Example

Python

import kairos_thetadata as kt

client = kt.Client.connect(kt.Credentials.from_env())

def on_event(row):
    print(row)

sub = client.live().vanna_charm_flow(["SPX"]).on_event(on_event)
sub.wait(timeout_seconds=60.0)

TypeScript

import { Client, Credentials } from "kairos-thetadata";

const client = await Client.connect(Credentials.fromEnv());

await client
  .live()
  .vannaCharmFlow(["SPX"])
  .onEvent((tick) => {
    console.log(tick);
  });

Rust

// Cargo.toml:
//   kairos = "0.1"

use kairos::{Client, VannaCharmFlowRow};

# fn run() -> Result<(), Box<dyn std::error::Error>> {
let client = Client::connect(("me@example.com", "secret"))?;

let sub = client
    .live()
    .vanna_charm_flow(["SPX"])
    .on_event(|row: &VannaCharmFlowRow| println!("vanna_flow={} charm_flow={}", row.vanna_flow, row.charm_flow))?;
// ... later ...
sub.unsubscribe();
# Ok(())
# }