An options text states that an ITM put tends to lose its time premium rather quickly. If the underlying begins to fall and the put moves further in-the-money, its price does not increase as rapidly as a call that is going ITM.
However, in practice:
Nifty weekly options (7 april expiry) show:
23500 Put : Theta ≈ −8.33
21900 Call : Theta ≈ −17.46
Both strikes are around 800 points in-the-money.
This suggests the call is decaying faster than the put in absolute terms.
Why does an ITM put appear to lose time premium quickly and show slower price increase, despite having less negative theta than a comparable ITM call?
ITM puts seem to decay faster because they have very little time value left. So even a smaller theta removes a large percentage of that remaining value, whereas calls may have higher theta in ₹ terms but still retain more time value.
Earlier, I was comparing row theta, but it is more about “rapid”(in % terms) decay, which is justified by the fact that deep ITM puts have very little time value.
When you calculate theta for a call versus a put at the same strike, the call always has more negative theta. The reason is interest rates.
A call is equivalent to holding the stock on borrowed money. You pay interest on that position. That interest cost is embedded in the call’s price and shows up as faster decay.
A put is equivalent to being short the stock and earning interest on the proceeds. That interest income partially offsets the decay. So the put decays slower.
The price move destroyed that time value violently and quickly — not theta. Once time value was gone, the put became a short futures contract — and that is why price appreciation slowed.
The call meanwhile carried more time value throughout — its seller was paying borrowing costs daily, inflating the premium — so there is more left to decay, and financing cost keeps accelerating that decay. Hence more negative theta on the call.