TY - JOUR T1 - Time Decay Anomalies in S&P 500 Index Options JF - The Journal of Index Investing SP - 78 LP - 82 DO - 10.3905/jii.2012.3.1.078 VL - 3 IS - 1 AU - Travis L. Jones AU - J. Howard Finch Y1 - 2012/05/31 UR - https://pm-research.com/content/3/1/78.abstract N2 - 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 ER -