On Wednesday 10 Jun 2026 the Nifty 23,250 call that expired on Tuesday 16 Jun cost Rs 163.60 a unit, which is Rs 10,634 for a lot. Its theta was minus Rs 14.44 a unit a day, so Rs 939 a lot. That is 8.8% of the price gone in one calendar day with the index standing still. The same strike on the 30 Jun expiry, 20 days out, lost 2.5% of its price a day. On Monday 29 Jun, one day before that expiry, the at the money call was losing 42.8% a day. Time decay is not a flat fee. It is a curve, and it is steepest at the end. I do not trust any rule of thumb that treats a day of decay as one fixed amount.

3By the end you can

  1. Read theta as rupees lost per lot per calendar day, and as a share of the price.
  2. Explain why time decay speeds up toward expiry and peaks at the money.
  3. Work out how far the index must rise in a day for a premium to hold its price.
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The idea, plainly

An option's price has two parts. Intrinsic value is what it would pay if it expired now. Time value is the rest: what the buyer pays for the chance that the index moves further before expiry. Nifty closed at 23,214.95, below the 23,250 strike, so none of the call's price was intrinsic. All of it was time value. Time value reaches zero at expiry. Theta is the speed at which it goes: rupees per unit per calendar day, negative for the buyer, with the index, volatility and interest rates held still. Module F14 splits a price into the two parts in full.

The curve: slow, then fast

The time value of an at the money option grows roughly with the square root of the time left. So it falls slowly while there is a lot of time and quickly when there is little. As a rule of thumb, with the volatility the same and the index at the strike:

Premium(T2) = Premium(T1)
x sqrt(T2 / T1)

A day of decay costs most at the strike, and far more as expiry nears

Theta of the Nifty 23,250 call per lot against the level of the future, for 20 days, 6 days and 1 day left: a dip at the strike that deepens sharply as expiry nears20 days left: from −₹157 at 22,068 to −₹187 at 24,391, high −₹157 at 22,068, low −₹512 at 23,258. 6 days left: from −₹19 at 22,068 to −₹27 at 24,391, high −₹19 at 22,068, low −₹940 at 23,258. 1 day left: from −₹0 at 22,068 to ₹10 at 24,391, high ₹10 at 24,391, low −₹2,306 at 23,244.Theta of the 23,250 call, rupees per lot perday20 days left6 days left1 day left−₹2,000−₹1,500−₹1,000−₹500₹022,50023,00023,50024,000Level of the futureFuture 23,229Strike 23,250
Black 76 theta of the 23,250 call per lot of 65 units, at the volatility of the 10 Jun 2026 weekly chain. Away from the strike there is little time value left to lose. At the strike, one day left costs several times what 20 days left do. Source: NSE end of day data, computed by RupeeCase. As of 10 Jun 2026.
Read 3 more paragraphs, 203 words

The chain of 10 Jun 2026 shows it. The at the money straddle, a call and a put together, cost Rs 346.05 with 6 days left, Rs 643.70 with 20 days and Rs 987.15 with 48. The time was 3.3 times longer and the premium 1.9 times higher. With 8 times the time, the premium was 2.9 times higher. Run the film backwards and the last days remove the most.

Theta also peaks at the money. A deep in the money option is mostly intrinsic value, and a deep out of the money one has little of anything to lose. A day costs most where the market is least sure, near the forward. Theta is also a model number: it assumes the index and the volatility stay put for the day, and neither does. A news day can move the premium by far more than theta.

Who pays whom? The buyer pays theta and the seller receives it. But it is not a salary. At a fair price neither side starts ahead before costs. Theta is what the seller is paid for carrying the risk of a big move, a risk that the Greek called gamma measures in module I09.

Worked example: how fast a day costs, 10 and 29 Jun 2026

Four at the money calls, four distances to expiry. Theta is from Black 76 at each strike's own implied volatility, per unit per calendar day. At the money means nearest the parity forward for the weekly and nearest the future for the monthlies. The last row is the close of Monday 29 Jun 2026, one day before the 30 Jun expiry. The share column is one day of theta as a percentage of the call price. The last column is theta divided by delta: the points the index must climb in a day just to leave the premium where it was.

Days leftCall priceTheta a dayShare of pricePoints to hold
48493.005.091.0%10
20321.658.122.5%16
6163.6014.448.8%30
187.6537.5342.8%68

With the index still, the loss grows faster each day: slow at first, then steep

Profit and loss of one bought Nifty 23,250 call at expiry, and after 3 and 5 days with volatility unchanged: the dashed curves sit under the premium paid and drop faster each dayPayoff of the position at expiry and before expiry. Breakeven at 23,414. Maximum profit in the range ₹48,414, maximum loss ₹10,634; at least one end of the range is still sloping, so the true extreme lies outside it. Spot 23,215.Profit or loss, ₹ for the whole positionAt expiry3 days to expiry1 days to expiry−₹20,000₹0₹20,000₹40,00022,50023,00023,50024,000Nifty at expirySpot 23,215BE 23,414Max loss ₹10,634No cap
One lot of the 23,250 call bought at Rs 163.60 a unit. The dashed curves reprice it with Black 76 with 3 days and with 1 day left, which is 3 and 5 days after 10 Jun 2026. At the starting level the first curve has lost a few thousand rupees in 3 days and the second loses about as much again in only 2 more. Source: NSE end of day data, computed by RupeeCase. As of 10 Jun 2026.

After a day, a small rise in the index does not pay for the day

Change in the value of one lot of the Nifty 23,250 call after one day, for index moves of minus 0.5 to plus 0.5 percent and implied volatility unchanged or down 2 points
Index moveAfter one day, rupees per lot
IV −2IV same
−0.5%−5,501−4,188
0%−2,390−982
+0.1%−1,647−236
+0.25%−456+948
+0.5%+1,729+3,096

Green is profit and red is loss; deeper colour means a larger amount. The outlined cell is the starting point.

One lot of the 23,250 call repriced with Black 76 one day later, 5 days left. The index move is a share of the future, which stood at 23,229.26 that day. A rise of a tenth of a percent is a gain from delta that time takes back, and a fall in implied volatility takes back more. Source: NSE end of day data, computed by RupeeCase. As of 10 Jun 2026.
Read 3 more paragraphs, 205 words

Read the share column first. It climbs from 1.0% a day to 42.8% a day. A weekly option is the same exposure on a faster meter. The last column answers a common question: why did my premium not rise when Nifty did? With one day left the index had to climb about 68 points to keep the price, against about 10 with 48 days left. A rise smaller than that left the premium lower than the day before. The next two charts show the day by day cost and the tug of war with delta.

So when a premium does not follow the index, check three things in order. Delta: did the move pay enough per point? Theta: how much did the day take? Vega: did implied volatility fall? The first is in module F21, the last in module I10.

On expiry day itself the clock runs in hours. Whatever time value is left at the start of the day is gone by settlement, and the option is then worth only its intrinsic value. The Tuesday weekly meets that moment every week, which is why its decay feels so quick. Module F16 covers how an expiry settles and module I25 the day itself.

The common mistake

The claim: Time decay is a straight line, so a seller collects the same amount every day. The share lost a day runs from 1.0% to 42.8% in the table, so it is a curve. A seller also collects theta only while the index behaves. The seller of the 23,250 call took in Rs 163.60 on 10 Jun and paid out Rs 739.15 on 16 Jun, after Nifty rose 774.2 points to 23,989.15. Six days of theta did not pay for one week of movement. Judge a decay trade by the worst week it can have, not by the average day. Module F13 sets out the same arithmetic.

The term this section turns on: Theta

The term this section turns on: ThetaThe term this section turns on: Theta. Theta: The change in an option's price from one calendar day passing, with the index, volatility and rates held still. It is negative for a buyer.ThetaThe change in an option's price from onecalendar day passing, with the index,volatility and rates held still. It is...
From the module glossary; every term is in the Learn glossary too. Source: Module 14.8, Theta: the time decay curve into expiry.

Key takeaways

  • Theta is the rupees an option loses to one day, with all else still.
  • Time value of an at the money option grows with the square root of time.
  • The share of price lost a day climbs from 1.0% to 42.8%.
  • Theta is largest at the money and small far in or out.
  • A buyer pays theta, but a seller who collects it also carries gamma.
  • Delta times the move must beat theta for a premium to rise.
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Before you trade. Derivatives trading carries a high risk of loss. SEBI's study "Profitability of Individual Traders in the Equity Derivatives Segment (FY25 to FY26)" (August 2026) found that 87.7% of individual traders in equity F&O made net losses in FY26, with aggregate net losses of Rs 91,685 crore. Read the SEBI study