Comment on Theta

NAJEEB commented on 18 Sep 2017, 09:36 PM

Hi Kartik

Sorry for taking the query regarding theta in the volatility group .What will be the percentage decay of the option on a daily basis daily supposing the underlying stays at at the money(theoretical) till the life of the option .Also is there any relation in percentage between daily volatility and theta percentage when underlying at the money? For eg if there were 20 days to expiry and at the money premium is 20 what will be the percentage decay on a daily basis.Will it be eroding the same percentage on a daily basis or rapid erosion on expiry and if not uniform the difference in percentage?

View the full comment thread »