Comment on Theta

Chirag Sharma commented on 28 Jun 2018, 09:44 PM

Spot Price: 10630
Strike Price: 10700
Premium: 2.8
Delta: assuming 0.2( since it’s OTM)

Now next day, big jump
Spot Price: 10730
Strike: 10700
Premium: (10730-10630)*0.20+2.8= 22.8

Question:
Since the premium is 22.8 and Intrinsic value is 30(10730-10700), is the whole premium attributable to intrinsic value and nothing to time value?

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