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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

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.

thanks for your help FDAXHunter, bye Anna