Option with most theta
Quantitative Finance
Level
3
Which of the following options on the same underlying have the largest theta value when the stock is trading at 100?
Call on the 100 strike with 3 months to expiry
Call on the 100 strike with 1 months to expiry
Call on the 80 strike with 3 months to expiry
Call on the 80 strike with 1 month to expiry
Call on the 120 strike with 1 month to expiry
Call on the 120 strike with 3 month to expiry
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