How fast does theta decay accelerate near expiry?

Theta decay accelerates exponentially in the last 30 days. An ATM option loses roughly 1/3 of its remaining time value in the last month. Daily decay = annualized theta / 365.

How is theta calculated for a call?

Theta_call = -(S x N'(d1) x sigma / (2 x sqrt(T))) - r x K x exp(-rT) x N(d2). For puts, add r x K x exp(-rT). Theta is usually negative (option loses value over time).

Theta Time Decay per Day Calculator

Calculate option theta - the daily time decay of option value. Theta is negative for long option positions, quantifying daily erosion of time premium as expiry approaches.

Principal ($)

Annual Rate (%)

Years

Compounding / Year

$ Finance Disclaimer: These calculators are for educational and illustrative purposes only. Results do not constitute financial advice. Consult a licensed financial advisor before making investment or borrowing decisions.

How to Use

Enter the values for the scenario you are assessing. Calculate option theta - the daily time decay of option value. Theta is negative for long option positions, quantifying daily erosion of time premium as expiry approaches. Use the option theta result to inform your calculation.

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Theta Time Decay per Day Calculator

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Frequently Asked Questions

How fast does theta decay accelerate near expiry?

How is theta calculated for a call?