A delta greek that measures the sensitivity of delta (of an option position) to changes in time. In other words, it captures the effect of time on delta: the change in the value of delta as time to maturity draws closer. For a call option, DdeltaDtime is calculated using the following formula:

Where:

T is time to expiration, r is the risk-free rate, σ is volatility, and b is cost of carry.

N(d₁) is the factor by which the present value of contingent receipt of the underlying asset exceeds the current underlying price. In other words, N(d₁) is the present value of receiving the underlying if and only if the option finishes in the money. N(d₂) is the present value of paying the strike price in the event that the option ends up in the money.

For a put option, DdeltaDtime is given by:

DdeltaDtime is also known as charm, delta bleed (delta decay) or DdelT.