Theta ( IDataHolder Volatility);
Default values:
Volatility: imp_volatility(getUnderlyingSymbol())
Description
Calculates the theta option greek.
Input parameters
| Parameter | Default value | Description |
|---|---|---|
| Underlying Price | close(getUnderlyingSymbol()) | Defines price to be used in calculation of theta. |
| Volatility | imp_volatility(getUnderlyingSymbol()) | Defines volatility to be used in calculation of theta. |
Example
declare lower;
plot approxTheta = (OptionPrice() - OptionPrice(DaysToExpiration = GetDaysToExpiration() + 1));
plot Theta = Theta();
This example illustrates the approximate calculation of theta by finding a change in the theoretical option price produced by increasing the time to expiration by one day.