Options’ time decay

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Options’ time decay

What happens to option prices from Day1 to DayMaturity; 1) if there is no change in price, 2) if price increases by 5%, 3) if price increases by 10%, 4) if price decreases by 5%, 5) if price decreases by 10%.

* Cost of each day on option price

clear all
cd "/Users/mfd/Desktop"

* Current IV
fetchyahoooptions AAPL, m(2013-11)

keep if strlen(Symbol)==strlen(Underlying)+15
keep if Maturity==date("16nov2013","DMY")
keep if Type=="Call"
drop if Strike>Price*1.2
drop if Strike



Screen Shot 2013-10-13 at 8.18.16 PM