puttheta: Put Theta
In optionstrat: Utilizes the Black-Scholes Option Pricing Model to Perform Strategic Option Analysis and Plot Option Strategies

Calculates the theta of the European- style put option

1	puttheta(s, x, sigma, t, r, d = 0)

`s`	Spot price of the underlying asset
`x`	Strike price of the option
`sigma`	Implied volatility of the underlying asset price, defined as the annualized standard deviation of the asset returns
`t`	Time to maturity in years
`r`	Annual continuously-compounded risk-free rate, use the function r.cont
`d`	Annual continuously-compounded dividend yield, use the function r.cont

Theta is the "time-decay" of the option value measured as a daily value.

Returns the put theta

1	puttheta(100, 100, 0.20, (45/365), 0.02, 0.02)

optionstrat documentation built on Dec. 4, 2019, 1:08 a.m.

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