2min chapter

The Market Huddle cover image

Self-Taught Quant (guest: Harel Jacobson)

The Market Huddle

CHAPTER

What's the Difference Between High Volatility and Low Theta?

The higher the volatility, the more significant your time value is. The gamma just decays significantly compared to having a low volatility. So I came up with a triangle relationship that says that if I want to own an option, I want to have a low volatility because then I will have a lot of gamma and pay less theta. Does that make any sense to you? Yeah, I'm with you.

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