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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