選擇權希臘字母中,假設其他參數一致,只有time to expiration不同,距離到期日越遠權利金較高。
其次,THETA – The amount that the price of an option changes as compared to the passage of time [typically 1 day], which is a negative number because the value of the option decreases with time.
市價位於履約價或者淺價內(外),近月的THETA較遠月的THETA大;市價位於深價內(外),近月的THETA較遠月的THETA小。
不過,我也聽聽你的心得。能先分享嗎?