RT Journal Article SR Electronic T1 Time Decay Anomalies in S&P 500 Index Options JF The Journal of Index Investing FD Institutional Investor Journals SP 78 OP 82 DO 10.3905/jii.2012.3.1.078 VO 3 IS 1 A1 Travis L. Jones A1 J. Howard Finch YR 2012 UL https://pm-research.com/content/3/1/78.abstract 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