Question

Options’ sensitivity to decrease in time to expiration is called:

A Rho Correct Answer Incorrect Answer
B Vega Correct Answer Incorrect Answer
C Delta Correct Answer Incorrect Answer
D Gamma Correct Answer Incorrect Answer
E Theta Correct Answer Incorrect Answer

Solution

Theta measures the option’s sensitivity to a decrease in time to expiration. Theta is also termed as time decay of an option. Theta varies as a function of both time and price of an underlying asset.

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