PT  - JOURNAL ARTICLE
AU  - Travis L. Jones
AU  - J. Howard Finch
TI  - Time Decay Anomalies in S&P 500 Index Options
AID  - 10.3905/jii.2012.3.1.078
DP  - 2012 May 31
TA  - The Journal of Index Investing
PG  - 78--82
VI  - 3
IP  - 1
4099  - https://pm-research.com/content/3/1/78.short
4100  - https://pm-research.com/content/3/1/78.full
AB  - In this article, the authors examine price patterns of stock index options to observe how time decay affects the time, or extrinsic, portion of the option price. Option pricing theory states that the rate of time decay, known as theta, should increase as the option approaches expiration. The results indicate that the rate of decay in the option price is less than theory predicts for both in- and out-of-the-money options.TOPICS: Passive strategies, options, portfolio construction