I have a question about a option theta. When I evaluate the option theta of near expiry put option using Black-Scholes formula given the data as follow: Index Level = 20,500 Strike Price = 20,000 ...
How does $\Theta$ change for deep out-of-the money options? Looking at the below graph, it seems the time decay is highest for ATM options and increases rapidly as we approach maturity of the option. ...