Читать книгу Binary Options - Hamish Raw - Страница 36

Thus, the 4-Day Decay line runs from 35.01 to zero in a straight line and has an annualised gradient of:

Gradient of 4-Day Decay = (0 – 35.01) / (4 – 0) ¥ 365 / 100

= – 31.947

Likewise for the 2-Day & 1-Day Gradients:

Gradient of 2-Day Decay = (22.18 – 32.86) / (3 – 1) ¥ 365 / 100

= –19.491

Gradient of 1-Day Decay = (26.56 – 31.35) / (2.5 – 1.5) ¥ 365 / 100

= – 17.484

The theta with dt = 2 days, 1 day and .5 day is –31.947, –19.491 and –17.484 respectively. As the time either side of 2 days to expiry decreases, i.e. as dt→0, the theta approaches the value –16.936, the exact slope of the tangent to the curve at 2 days to expiry.

The next sections on upbet thetas describe how the trader can use this measure of time decay in a practical manner.