Theta decay as percent of option price

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Hey Pete.

Wondering if it’s possible to create a script resulting in a percentage value of theta compared to the corresponding option price.

Example: theta is -$0.45, and “last” price of an option at a particular strike price is $4.11. So script would show Theta % as 10.9%

Thank you for your time.

(Apologies if I didn’t put this question in the correct category)

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Posted by (Questions: 1, Answers: 4)
Asked on May 24, 2021 1:58 pm
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I moved your question out of the "Strategy Guide" topic and into the "Chart Studies" topic. The Strategy Guide topic is for question related to chart strategies for back-testing or Conditional Orders.

You did not mention how you wanted to apply this calculated value. I suspect that you intended to use this for a scan or a custom watchlist column. Those details are very important in order to provide a working solution because many of the tools on the Thinkorswim platform will not support this sort of metric.

We can get the value of Theta for a specific option contract using the following method:

https://toslc.thinkorswim.com/center/reference/thinkScript/Functions/Option-Related/Theta

However when we try to use this for a custom scan or a custom watchlist column it fails. Those tools are not supported using this method. Nor does it work in the option chain. The only place I was able to use this method was in a chart study. I can't imagine that this is helpful at all but I can provide the code to display this value in a chart label but the chart itself must be set to an OPRA code as the ticker symbol.

AddLabel(yes, Concat("Theta %: ", Theta() / close * 100), Color.WHITE);

 

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Posted by (Questions: 37, Answers: 4118)
Answered on May 24, 2021 3:23 pm
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Hello Pete, Thanks for the quick reply! Sorry I forgot to mention that I was hoping to add the script to the Option Chain as a quick reference. I was inspired by a script I found that showed the % break even if I bought/sold an option for a particular price at particular strike price This is the code for the break even is as follows if you're curious: def strikePrice = GetStrike(); def lastPrice = close(priceType = PriceType.LAST); def underlyingStockLastPrice = close(GetUnderlyingSymbol(), priceType = PriceType.LAST); def breakEvenPrice; def breakEvenPercent; if(IsPut()) { breakEvenPrice = strikePrice - lastPrice; } else { breakEvenPrice = strikePrice + lastPrice; } breakEvenPercent = ((breakEvenPrice/underlyingStockLastPrice) - 1.0) ; AddLabel(yes, AsPercent(breakEvenPercent), if breakEvenPercent >= 0 then Color.UPTICK else Color.DOWNTICK);
( at May 24, 2021 3:35 pm)
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