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Theta of a put option formula

Description of the Theta of a put option formula

Formula for the calculation of the theta of a put option. Theta measures the option value's sensitivity to the passage of time.

Formula

\[ \theta = -\frac{S\phi\left ( d1 \right )\sigma}{2\sqrt{t}}+rKe^{-rt}N\left ( -d2 \right ) \\ {\small where: \phi\left ( d1 \right ) = \frac{e^{-\frac{d1^{2}}{2}}}{\sqrt{2\pi}} } ; \] \[ {\small d1 = \frac{ln \left( \frac{S}{K} \right ) + \left(r+\frac{\sigma^{2}}{2}\right)t}{\sigma\sqrt{t}} ; } \] \[ {\small d2 = d1 - \sigma \sqrt{t}} \ \]

Symbols

\(K\ \)       
Option strike price
\(N\ \)       
Standard normal cumulative distribution function
\(r\ \)       
\(σ\ \)       
\(S\ \)       
Price of the underlying
\(t\ \)       
Time to option's expiry