Option Greeks

Theta And Time To Expiry

Theta with respect to change in days to expiry:

 

Spot constant @ 16500, volatility 17%

 

 

Theta is higher for shorter term options, especially ATM options. This is pretty obvious as such options have the highest Time value and thus have more premium to lose each day.

 

Conversely, Theta goes up dramatically as options near expiry have the highest time decay. 

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