What does it mean to assert that the theta of an option position
Problem 17.8.
What does it mean to assert that the theta of an option position is –0.1 when time is measured in years? If a trader feels that neither a stock price nor its implied volatility will change, what type of option position is appropriate?
Hint
A theta of -0.1 means that if delta t units of time pass with no change in either the stock price or its volatility, the value of the option declines by 0.1delta t....
A theta of -0.1 means that if delta t units of time pass with no change in either the stock price or its volatility, the value of the option declines by 0.1delta t.