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Theta of a call option formula
Description of the Theta of a call option formula
Formula for the calculation of the theta of a call option. Theta measures the option value's sensitivity to the passage of time.
Formula
Symbols
Option strike price
Standard normal cumulative distribution function
Volatility of the underlying
Price of the underlying
Time to option's expiry
Additional information related to this formula
Related definitions from the glossary of financial terms
Related calculators
Option strategy calculator • Pricing of an option (Black & Scholes)