Theta is higher close to expiry, right?
Quantitative Finance
Level
3
The stock is trading at 100. The 1 day ATM straddle is worth $1.20.
Which of the following options have the largest theta value?
Call on the 120 strike with 1 day to expiry
Call on the 80 strike with 1 day to expiry
Call on the 100 strike with 1 month to expiry
Call on the 80 strike with 1 month to expiry
Call on the 120 strike with 1 month to expiry
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0 solutions
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