Options Theta
Calculates Theta, which measures the rate of time decay for an option.
Parameters
| Parameter | Type | Required | Description |
|---|---|---|---|
| CurrentStockPrice | number | Yes | Current underlying stock price |
| MarketOptionPrice | number | Yes | Current option market price |
| ExpiryDate | date | Yes | Option expiration date |
| OptionType | string | Yes | "Call" or "Put" |
| StrikePrice | number | Yes | Option strike price |
| RiskFreeRate | number | No | Risk-free rate (default 0.05) |
| ImpliedVolatility | number | No | IV as decimal |
Interpretation
- Theta is typically negative (options lose value over time)
- Higher for at-the-money options
- Accelerates as expiration approaches
Examples
When to Use
- Understanding time decay
- Options selling strategies
- Position decay analysis
- Income strategy planning
When NOT to Use
| Scenario | Use Instead |
|---|---|
| Price sensitivity | opt_Delta() |
| Delta sensitivity | opt_Gamma() |
| Volatility sensitivity | opt_Vega() |
| Rate sensitivity | opt_Rho() |
Common Issues & FAQ
Q: Why is theta negative? A: Options lose extrinsic value as time passes (time decay).
Get Access to 1 Billion Usable Market data points IN YOUR EXCEL SHEETS WITH EASY TO USE EXCEL FUNCTIONS
Get started today
▶
How does MarketXLS work?