Another Theta Question

[the]

In general, when does time decay start to occur for a LEAP? Or when does it realy start to pick up? 3 months till expiration? Anybody have a graph?

Obviously there are many other factors involved but assuming an ATM option, constant IV, interest rate, liquidity.

Thanks.

 

[spindr0]

Far from expiry, daily decay is minimal. With each day that passes, it increases slightly, getting faster and faster as expiry approaches.

Any decent option book will have a graph of theta decay. If you can't afford one , set up a BS spreadsheet. Can't afford Excel ? Go to any web site that provides the Greeks. Set up your hypothetical position and then vary the time.

 

[the]

Quote from spindr0:

Far from expiry, daily decay is minimal. With each day that passes, it increases slightly, getting faster and faster as expiry approaches.

Any decent option book will have a graph of theta decay. If you can't afford one , set up a BS spreadsheet. Can't afford Excel ? Go to any web site that provides the Greeks. Set up your hypothetical position and then vary the time.

Lol, thanks!

 

[NPTrader]

The way I think of theta is to divide one day by the total number of days to expiration. This will be the amount of theta decay for a single day. But you just repeat the exercise for each day, and subsequently the percentages get higher until you've expired.