Usually when you set up an ATM calendar, theta is positive…but I'm looking at this GOOGL calendar and theta is negative for ATM. For the options chain, the week prior is above the next week as you'd expect; however, the 10/18 expiry theta seem lower than expected (currently about $0.09 but it should be about $0.11ish)
Any ideas what's causing this discrepancy?
GOOGL showing negative theta for ATM calendar…
byu/monkies77 inoptions
Posted by monkies77
1 Comment
Maybe earnings on 10/22 are affecting things?
|ticker|price|Date|DTE|Vol_0_DTE|forward vol|
|:-|:-|:-|:-|:-|:-|
|GOOGL|164|10/4/24|4|26.5%|26.5%|
|GOOGL|164|10/11/24|11|25.5%|24.9%|
|GOOGL|164|10/18/24|18|24.7%|23.4%|
|**GOOGL**|**164**|**10/25/24**|**25**|**31.6%**|**44.7%**|
|GOOGL|164|11/1/24|32|32.2%|34.2%|
|GOOGL|164|11/8/24|39|31.6%|28.7%|
|GOOGL|164|11/15/24|46|31.4%|30.3%|