Glossary term
Theta
The options Greek measuring daily time decay; the income engine of premium-selling, accelerating in the final 30 days before expiry.
Theta is the options Greek measuring how much an option loses in value each day from the passage of time, expressed in dollars per contract per day. It works against buyers and in favor of sellers, accelerating in the final 30 days before expiration. Closelook's derivatives book harvests theta by selling premium in the 30-45 day expiry window, where decay is meaningful but gamma risk has not yet activated. See Greeks 101 and Gamma.