Option Decay Tool

Helps the Covered Call trader quickly identify which options expiration’s are ideal to maximize the Time Decay (Theta) by identifying the “Theta Sweet Spot”

  • Advanced Modeling Feature can forecast how Option Greek (theta and delta) values will change based on movement in both price and volatility
  • Displays projected Theta Decay (top pane) and projected option price resulting from Theta Decay (bottom pane) for any option strike from current date till expiration.
  • View Theta, Option Value, Delta, Gamma, Vega and Rho as separate panes.
  • Setup multiple user Models allowing you to change Underlying Price, Option Implied Volatility in either Dollar or Percentage modes.
  • Display a Theta “Sweet Spot” (arrows on line) informing the trader the most optimal Date to enter a Covered Call or Credit trade.

Click the above image for a larger view of Option Decay Tool

Theta Decay Sweet Spot

The Decay Tool (Covered Call) is primarily designed for predicting the Theta drop off in a Covered Call as the option moves closer to expiration.
For visual comparison, the projected option value is included along with Theta. These projections are based on current price and volatility.

The software calculates a Sweet Spot (ideal spot prior to massive Theta drop off) to help capitalize on maximum option value.

The user can plot different month and expiration’s simultaneously to compare the different Theta Sweet Spots.

Theta Decay Greeks

In addition to Theta, other Greek values can be plotted with respect to time to expiration.

Greeks that are calculated all the way to expiration are:
Theta, Delta, Gamma, Vega and Rho
Additionally you can right click on the top pane to create a new pane with any of the Greeks including option value

Theta Decay Advanced Modeling

The Theta Decay tool also allows you to add models to the display. Making it easy to create what if scenarios.
You can also do “What If” models by changing the underlying price and/or volatility. The dashed line shows the effect on Theta.

You have the ability to add several different models for the selected month and strike.

You have the ability to modify the dollar or percent offset and values.