# Questions tagged [theta]

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18 questions
42 views

### Greeks Intraday Characteristics and PnL of options

I am modeling intraday and short term options on Futures.Think Monday, wednesday, friday contracts on these tickers: ES, NQ, CL, ZN, ZF, NG. I am wondering about documentation for Intraday greek ...
92 views

### Greeks and options hedging

Why is it that theta is sometimes taken as the proxy for gamma of the underlying asset in options hedging?
116 views

### Splitting theta from vol carry

What is the best way to splitting theta and vol carry on say a long calendar trade? Basically trying to split the "good" carry component of a trade from the "bad" carry (theta) which could be earned ...
376 views

### Positive theta on a long put?

I am trying to hand-price options under the Black-Scholes model. Given the following parameters: Stock price: $12.53$ Strike price: $14.00$ Risk-free rate: $0.03$ Annualized Volatility: $0.10$ Time ...
117 views

### Buy and Hold P&L for options

I want to calculate the buy and hold P&L for an option in the following "extreme" scenario: Valuation date = t Calculate B&H P&L from t to t+1 Option maturity: t+2 ATM option Due to the ...
42 views

### Positive Heston model theta

Under the Heston model, is there a concrete example where the theta $\frac{\partial C}{\partial t}>0$ where $C$ is the price of a European call?
245 views

### Black Scholes Theta Finite difference

I am trying to obtain the Theta from Closed Formula by using Finite Difference methods and I observe some discrepancies. For instance, here with the following parameters: Spot:50, Strike:50, Rate: 0....
243 views

### Gamma portfolio trading

It is being said that in a long-gamma portfolio, you follow a buy-low sell-high strategy for the underlying stock, which causes you to make profit. The Theta for this portfolio is negative. But it is ...
6k views

### Carry calculation on an interest rate swap

I was hoping that I can get help on a simple yet not so straight forward topic : Looking at valuing the costs of holding an IRS in the books this would entail marketed-to-market due to price ...
822 views

### how to calculate the theta of a swap?

Suppose I have a swap contract to exchange 1 mio USD with 66.15 mio INR, 3 months later, current Spot is 65.04, how could I calculate the theta of this deal?
613 views

### Mathematical underpinnings of the square root of time rule

Often when I am reading about options pricing (and/or options greeks) the square root of time continually comes up. What the mathematical justification for why this keeps on turning up?
3k views

### How to calculate the theta of a bond?

For calculating P&L from interest rate risk, we often use PV01 to estimate the day over day P&L by multiplying PV01 with a change in curve. Is there any approach to calculate theta P&L in ...
171 views

### Rate of Options decay

I know "Time decay accelerates on nearing expiry". But I want to know the rate of acceleration. How curvy is the theta curve? Answers could be like, Provided IV is stable, in a 3-month contract, ...
587 views

### Estimating profit/loss of a Gold Futures option using Theta and Gamma

HELP! I am trying to find how much the underlying price of a gold futures option must move in order to breakeven on owning an option for a day. I was hoping someone versed in pricing options could ...
757 views

### is there an analytical proof that vega-neutral also provides (gamma & theta) neutral?

I've read an answer here that say if your security has vega, then it has gamma and theta. is there an analytical proof that vega-neutral also provides (gamma & theta) neutral?
1k views

### How to manage evaluation date changes in QuantLib while using ImpliedTermStructure Class

I will not attach the whole code 'cause it would be just a huge waste of space and it would be not useful for this question's purpose. What I am going to attach here is a snippet code and its output, ...
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. ...