Theta ( IDataHolder Volatility);

Default values:

Volatility: imp_volatility(getUnderlyingSymbol())


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.


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.