time value and theta behavior

aemmedar · April 6th, 2003, 8:44 am

i would like to collect your ideas about the asymmetric shape of theta (and of time value). I am writing some notes on greeks and I want to be sure about the completeness of what I am writing. why theta remain "so high" for very deep in the money options? the sensitivity to the time seems to become "systematic" after a certain level of moneyness: is it due only to the forward nature of the option contract or there is some other explanation? thank you, anna

FDAXHunter · April 7th, 2003, 5:53 am

It simple: Due to the fact that you price of the forward, your theta will at somepoint, when there is no more gamma, simply reflect the COC.Hope this helps.

aemmedar · April 8th, 2003, 9:16 pm

thanks for your help FDAXHunter, bye Anna