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It is because theta is not premium / days to expiration. Theta is a "local" decay, measure of current rate of option decay, which is not assumed to stay constant. In the example you provided, theta will be closer to zero (decay rate will slow down) as you approach expiration.


Maybe you need to make your position gamma neutral in the first place. Once the underlying has decreased significantly, if you weren't delta and gamma neutral in the first place, you can't prevent a loss.

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