OPT_BS_THETA

call_put_flag: 'c' for a call and 'p' for a put

spot: spot price

strike: strike price

time: time to maturity in years

rate: risk-free interest rate to the exercise date in percent

volatility: annualized volatility of the asset in percent for the period through to the exercise date

cost_of_carry: net cost of holding the underlying asset (for common stocks, the risk free rate less the dividend yield), defaults to 0

OPT_BS_THETA uses the Black-Scholes model to calculate the 'theta' of a European option struck at strike on an asset with spot price spot. The theta of an option is the rate of change of its price with respect to time to expiry.

Theta is expressed as the negative of the rate of change of the option value, per 365.25 days.

OPT_BS, OPT_BS_DELTA, OPT_BS_RHO, OPT_BS_VEGA, OPT_BS_GAMMA.