Is there any way to calculate theta at X day in future based solely on knowing

1) Total Current Option Price

2) Days Till Expiration

How would this be done? Thank you


No, there is not. If you are willing to assume the stock price stays constant between now and then, you could do so using the standard formula.

  • $\begingroup$ Brian, if the option is purely out of the money (i.e. all time premium), doesn't theta just say, it's going to decay at this rate, this far from expiration (i.e. be the derivative of the standard rate of decay curve)? So, volatility (or other factors) can jack up an options price, but given that price on any particular day, can't one then pick the rate of change off the curve (per days of expiration), and come up with a theta value? $\endgroup$ – Ray Dec 15 '11 at 7:39
  • $\begingroup$ @Ray: you can calculate the rate of change under the assumption that the stck price stays constant. That is the traditional theta formula. However, if the stock price moves so as to bring the option closer toward the money (while still remaining out-of-the-money) then the option price may well increase. $\endgroup$ – Brian B Dec 16 '11 at 16:31

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