Theta position of call spread
Quantitative Finance
Level
2
The stock is currently trading at 20. If you are long the 20-22 call spread (same expiry), what is your theta position?
Theta neutral, net option position is 0.
Paying Theta, OTM options have less theta to collect.
It depends on the time to expiry
Collecting Theta, OTM options have more theta to collect
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