The Greeks
Theta decay examples
Theta measures how much an option's value erodes per day from time passing alone, holding the stock price and volatility constant. It is usually a small negative number for a long option and the same size positive number for the short side. Theta is not constant -- it accelerates as expiration approaches, so a 30-day option decays much faster in its final week than an option with 90 days left.
By Option Ideas Editorial Team · Published September 2, 2026
Worked example: the same ATM call at different days to expiration
Illustrative figures for a hypothetical $100 stock, $100 strike call, 30% implied volatility, holding the stock price and volatility fixed at each snapshot -- not a live quote.
| Days to expiration | Approx. option value | Approx. theta (per day) |
|---|---|---|
| 90 | $6.53 | −$0.039 (−$3.94/contract) |
| 30 | $3.63 | −$0.064 (−$6.38/contract) |
| 7 | $1.70 | −$0.125 (−$12.51/contract) |
The option lost $2.90 of value across the 60 days between the 90-day and 30-day marks. From 7 days to expiration, it's set to lose almost as much -- about $1.70 -- in that final week alone. Same option, same underlying pattern of decay, but a very different daily bill near the end.
Risks and assumptions
- The dollar figures below hold the stock price and implied volatility fixed to isolate time decay -- in reality, both move constantly and usually matter more day-to-day than theta alone.
- Theta is highest, in dollar terms, for at-the-money options. Deep in-the-money or far out-of-the-money options decay more slowly, since they have less time value left to lose.
- Selling for theta ('collecting rent') still carries the underlying risk of the position -- a short call or put's directional risk doesn't go away just because time decay is working in your favor.
FAQ
Why does decay accelerate near expiration instead of being steady?
An option's time value is roughly proportional to the square root of the time remaining, not to time itself. That relationship means the same number of calendar days removes a larger share of the remaining value as expiration gets closer.
Does theta ever help a long option holder?
Not directly -- theta always works against a long premium position, buyer's clock ticking against them. Only the seller of that same option benefits from the passage of time.
Is theta the same every day until expiration?
No. It's recalculated continuously as time, the stock price, and implied volatility all change -- the figures below are a snapshot for one specific set of conditions, not a fixed schedule.
Primary references
Not hyperlinked deliberately -- verify current material directly on each organization's own site.
- The Options Clearing Corporation (OCC)
- Cboe Options Institute