Theta decay graph intraday

Hi, I am aware that, The graph of theta decay accelerates downwards when it nears expiry. But I wonder if there would be a graph for “How theta decays in a single day” Simpler words: Is there somethong like, theta decays faster in the market closing time than lunch time? Last month I bought a OTM call priced 30 at 3 afternoon. Market didnot move but the price was 27 when market closed. I could see IV didnot move much. It looked like, the theta “-3” of the call I bought was simply taken away. Does theta accelerate within a day?

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IV is the only parameter which cannot be observed directly, it has to be estimated from all other 5 parameters.

In this case IV might have changed along with theta, we never know exactly. Also the rate of decay depends on week of the expiry. During first week the rate of decay with time is comparatively less to last week of expiry.

We only discuss about first order changes with respect to option sensitivities but to be precise we should also consider second order changes or first order changes of greeks along with inter relations between greeks.

@siva this has been a grey area for me too, the simple question is does the theta decay after the market hours or during the market hours? For example, When you look at the option price chart of Bank nifty, you really don’t see that much of a difference from the previous close and today’s open. Does that mean that the value of theta will decay throughout today? @Sensibull @nithin

Ideally yes, but considering other greeks, theta effect may not be dominating considering start or mid of expiry, but in last few days especially a day or two before expiry theta effect will be prominent and can be observed through out the day. As I am not aware with finer details @Sensibull, is the right choice who can provide more info on this.

Hey Aditya,
Theoretically there’s decay happens every instance. It decayed after my last sentence. And that one. And this one :slight_smile:
But you see market is just 6 hours. And 18 hours is after. So majority happens after market.

Also traders price intraday decay only on the last two days. So prices reflect it only then



@Sensibull thanks for the answer, but yesterday on some banknifty strike price the theta was 16 or something, but today morning when the price opened it had a marginal positive price from the previous close. Wondering what may be the reasoning behind this? And also considering it was a weekly expiry it was interesting to see this…


It depends on Future / Spot Price, and IV as well right? Even if spot was the same, if IV went up this can happen.

Finally if it was just one or two early trades, it does not matter.

But make no mistake, Theta always decays. And ~80% of it happens after market


@Sensibull, gotcha!! Thanks


how significant is the theta decay before weekend(friday) for current week index option with different moneyness, and therefore do they drop in value(total premium) more after 1230/100pm on a friday ? And what about the next 4 days to expiry ? Please do make this clear ! Thanks.

can you please tell me, does theta decay affect profits if im doing intraday trading or scalping in options?

Just sharing my personal experience of last Thursday. When NIFTY was going down I bought 16100 CE option for Rs. 3 at some point. When NIFTY started rising at the same point where I bought its price was Rs. 1.80. My friend bought it early morning for Rs. 27 and when the same point was retraced later during the afternoon rise back, the option value was Rs. 14. Means THETA decay was almost 50% in just few hours.

I think it also works after the market hours. When IV is high and market opens 150 points gap up and price of call option does not increase