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Published 20 hours ago • verified publisher icon mcdallas

Theta values on short duration options

Open hai-yr opened this issue 4 years ago • 0 comments

I'm running into an issue where the theta values for short duration options are about 25-30% off of what I can see on my ThinkorSwim platform. The absolute value of the theta values should be larger generally than the method returns. The theta values are ok for options that are multiple months out however.

hai-yr avatar Jun 23 '20 20:06 hai-yr