Comment on Theta

rohan commented on 03 Feb 2016, 07:14 AM

wipro
spot-559
strike-580

580CE
Premium-5.75
delta=.401,gamma-=0079,theta=-.207
if spot moves 10 points in 10 days the-
new premium= 5.75 + 10(.401) + 10(-.207)=9.76-2.07=7.69

if spot moves -10
new premium=5.75 -10(.401) -10(-.207)= 1.74 +2.07 = 3.81

my questions-
a) are my calculations of new premium correct?
b) when spot is moving down in call option theta is adding to premium . as spot =-10 and theta=-.207 so minus multiply by minus becomes plus.But it should not be the case as premium should decrease??

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