Option Theta

Definition

The Option Theta indicator uses the Black-Scholes model formula. This mathematical equation estimates the theoretical value of derivatives other investment instruments, taking into account the impact of time and other risk factors.
Check here for more info about the Black-Scholes indicator.

The term theta refers to the rate of decline in the value of an option due to the passage of time. Theta is generally expressed as a negative number and can be thought of as the amount by which an option's value declines every day.

The Option Theta indicator plots the option's Greek Theta risk value which is based on the asset's price series. The indicator requires the option data to be specified in the Input values (expiration month, expiration year, strike price, etc). Delta shows the expected risk of option price movement which is based on price changes in the underlying asset.
When applied to a chart, this indicator displays one plot in a separate subchart from the main data series.

Default Inputs

ExpMonth_MM sets the month (1-12) the option expires, 0 by default.

ExpYear_YYYY sets the year the option expires, 0 by default.

StrikePr sets the option strike price, 0 by default.

Rate100 sets the risk free interest rate, 0 by default.

Volty100 sets the annualized volatility value, 0 by default.

PutCall sets the option type (Put=2, Call=3), put by default.