Читать книгу Binary Options - Hamish Raw - Страница 48

The theta is an immensely important ‘greek’ since it is always impacting on the value of a bet even should the underlying market be closed for trading. As a tool the theta provides:

1. for the premium writer, a measure to indicate the bet with the greatest time decay;

2. for the punter looking for gearing, the bet with the highest theta may well be the bet to avoid; while

3. for marketmakers, thetas provide the ability to hedge one bet with another in order to be theta neutral in front of, say, a long weekend.

Apart from these common features of thetas, binary thetas have little in common with conventional thetas. In particular they can take positive as well as negative values which can prove a major headache for the premium writer should the underlying travel through the strike so that writers who are expecting to take in premium now find they are paying out as the theta swings from negative to positive time decay.

Both binary and conventional theta are prone to the same increasing inaccuracy as time to expiry approaches zero. Nevertheless, they provide an essential parameter provided the deficiencies are clearly understood.