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Theta values on short duration options #27

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hai-yr opened this issue Jun 23, 2020 · 0 comments
Open

Theta values on short duration options #27

hai-yr opened this issue Jun 23, 2020 · 0 comments

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@hai-yr
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hai-yr commented Jun 23, 2020

I'm running into an issue where the theta values for short duration options are about 25-30% off of what I can see on my ThinkorSwim platform. The absolute value of the theta values should be larger generally than the method returns. The theta values are ok for options that are multiple months out however.
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@hai-yr