---
title: "Theta and Time Decay Into Expiry, on Nifty Data"
description: "How option time decay runs on dated NSE Nifty chains: theta in rupees per lot, why the last days cost most, and why theta is a risk payment, not a salary."
source_url: "https://www.rupeecase.com/learn/path-14/module-14-8-theta-time-decay"
---

[Path 14 8 of 17](/learn/path-14/)Theta: the time decay curve into expiry[Next 14.9](/learn/path-14/module-14-9-binomial-tree-to-black-76)

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](/learn/glossary#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.

Watch in the terminal: why sign in again every day? A short tutorial on sample data.

## 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](/learn/path-14/module-14-4-moneyness-intrinsic-and-time-value) 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

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](/learn/glossary#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](/learn/path-14/module-14-11-gamma).

## 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 left | Call price | Theta a day | Share of price | Points to hold |
| --- | --- | --- | --- | --- |
| 48 | 493.00 | 5.09 | 1.0% | 10 |
| 20 | 321.65 | 8.12 | 2.5% | 16 |
| 6 | 163.60 | 14.44 | 8.8% | 30 |
| 1 | 87.65 | 37.53 | 42.8% | 68 |

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

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

| Index move | After one day, rupees per lot |
| --- | --- |
| IV −2 | IV 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?](/learn/questions/why-premium-not-rising) 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](/learn/path-14/module-14-7-delta), the last in [module I10](/learn/path-14/module-14-12-vega).

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](/learn/path-14/module-14-6-expiry-and-settlement) covers how an expiry settles and [module I25](/learn/path-17/module-17-12-expiry-day) 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](/learn/path-14/module-14-3-option-buyer-vs-seller) sets out the same arithmetic.

The term this section turns on: Theta

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.

Watch in the terminal: what does "Same money in NIFTY 50" mean? A short tutorial on sample data.
**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](https://www.sebi.gov.in/reports-and-statistics/research/aug-2026/study-profitability-of-individual-traders-in-the-equity-derivatives-segment-fy25-fy26-_103835.html)

What does Theta: the time decay curve into expiry cover?A day of decay is not a fixed fee. It is a curve that is slow with weeks left and steep on the last day. It works through The idea, plainly, Worked example: how fast a day costs, 10 and 29 Jun 2026, The common mistake, Key takeaways. It is module 14.8 of Path 14, Options and Greeks, about 7 minutes of reading, free.

TTry it

## Greeks calculator, on the same example.
Delta to rho, and vanna to colour in expert mode, from one Black 76 engine. Dated NSE end of day data, nothing live, no orders.

**Greeks calculator**, Nifty, 10 Jun 2026, 16 Jun 2026 expiry.

[Open the greeks calculator](/learn/tools/greeks-calculator?chain=NIFTY_2026-06-10_2026-06-16)

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F&O at RupeeCase will do one job: protect a portfolio you already own, by a rule published before it runs. No speculation, no naked option selling, no leveraged bets. It is not available yet.

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  [No hedgeFalls with the marketWith a putA floor, for a premiumIllustration with made up numbers, not a product and not a recommendation.](/hedging)

QQuick check

## 10 questions, 7 to pass.
Each attempt draws 10 of the 15 questions in this module's bank, and a retake draws a fresh set. A pass gives this module's Certificate of Completion. Your result stays on this device and counts towards the Path 14 certificate.

7 of 10 correct passes module 14.8

Every answer is explained when you check; a retake is always free. Source: RupeeCase Learn quiz rules (70% to pass).

  Passed

###

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CCheck yourself

## Path 14 so far.
Your quick check results on this device, stop by stop.

Stop 8 of 17 on Path 14

Options and Greeks: every live stop, this module ringed. Source: RupeeCase Learn, Path 14.

1. [14.1The call option, told as a storyNot yet](/learn/path-14/module-14-1-call-option-explained)
2. [14.2The put option, told as a storyNot yet](/learn/path-14/module-14-2-put-option-explained)
3. [14.3Buyer or seller: payoffs, margin, win rate and expectancyNot yet](/learn/path-14/module-14-3-option-buyer-vs-seller)
4. [14.4Moneyness, intrinsic value and time valueNot yet](/learn/path-14/module-14-4-moneyness-intrinsic-and-time-value)
5. [14.5Five things that move an option's priceNot yet](/learn/path-14/module-14-5-what-moves-an-option-price)
6. [14.6Expiry and settlement: cash, physical, exercise and STTNot yet](/learn/path-14/module-14-6-expiry-and-settlement)
7. [14.7Delta: speed, hedge ratio and the probability shortcutNot yet](/learn/path-14/module-14-7-delta)
8. [14.8Theta: the time decay curve into expiryNot yet](/learn/path-14/module-14-8-theta-time-decay#quiz)
9. [14.9From a binomial tree to Black Scholes and Black 76Not yet](/learn/path-14/module-14-9-binomial-tree-to-black-76)
10. [14.10Put call parity and synthetic positionsNot yet](/learn/path-14/module-14-10-put-call-parity)
11. [14.11Gamma: why it grows so fast near expiryNot yet](/learn/path-14/module-14-11-gamma)
12. [14.12Vega: volatility exposure across weekly and monthly expiriesNot yet](/learn/path-14/module-14-12-vega)
13. [14.13Rho and interest rates in Indian optionsNot yet](/learn/path-14/module-14-13-rho)
14. [14.14Position Greeks for multi leg strategiesNot yet](/learn/path-14/module-14-14-position-greeks)
15. [14.15Dynamic delta hedging and the P&L identityNot yet](/learn/path-14/module-14-15-delta-hedging)
16. [14.16Gamma scalpingNot yet](/learn/path-14/module-14-16-gamma-scalping)
17. [14.17Second order Greeks: vanna, volga, charm, speed and colourNot yet](/learn/path-14/module-14-17-second-order-greeks)
18. [TPath test, 30 questionsNot yet](/learn/path-14/module-14-17-second-order-greeks#pathTestSection)

Path 14 in reading time: 149 minutes over 17 modules

Minutes of reading per module, this one in amber. Source: RupeeCase Learn, Path 14.

    Explore next

## Put the module to work.

* [ToolOption payoff builderLegs on a dated Nifty chain, breakevens and charges](/learn/tools/payoff-builder)
* [Free module 14.7Delta: speed, hedge ratio and the probability shortcut8 min read](/learn/path-14/module-14-7-delta)
* [Free module 14.4Moneyness, intrinsic value and time value8 min read](/learn/path-14/module-14-4-moneyness-intrinsic-and-time-value)
* [Free module 14.11Gamma: why it grows so fast near expiry8 min read](/learn/path-14/module-14-11-gamma)
* [Free module 17.12Expiry day: gamma, theta, settlement and the rules10 min read](/learn/path-17/module-17-12-expiry-day)
* [QuestionWhy is my option premium not rising even though Nifty went up?A short answer with a dated chart](/learn/questions/why-premium-not-rising)

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SSources

## Go to the source.
5 sources, Book the most cited

The publisher of each source listed below. Source: Module 14.8 source list.
1. [NSE, equity derivatives contract specifications (European exercise, expiry days)](https://www.nseindia.com/static/products-services/equity-derivatives-contract-specifications) NSE
2. [SEBI Investor, Understanding derivatives](https://investor.sebi.gov.in/understanding_derivatives.html) SEBI
3. [NISM, Series VIII Equity Derivatives certification examination: test objectives](https://www.nism.ac.in/revamp-nism/test-objectives-revised-nism-series-viii-equity-derivatives-certification-examination/) NISM
4. [Black, F. and Scholes, M. (1973), The pricing of options and corporate liabilities, Journal of Political Economy](https://ideas.repec.org/a/ucp/jpolec/v81y1973i3p637-54.html) Paper
5. Hull, J., Options, Futures, and Other Derivatives, Pearson (the Greek letters) Book

GTerms

## 4 terms from this module.
[Theta](/learn/glossary#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.
Time valueThe part of an option's price above its intrinsic value. It is what the buyer pays for the chance of a further move, and it reaches zero at expiry.
Intrinsic valueWhat an option would pay if it expired now: the index less the strike for a call, the strike less the index for a put, and never below zero.
[Straddle](/learn/glossary#straddle)A call and a put at the same strike and expiry bought or sold together. Its price is a rough measure of the movement the market expects.
[All 230 terms in the glossary](/learn/glossary)

[Question people askWhy is my option premium not rising even though Nifty went up?A short answer with a dated chart](/learn/questions/why-premium-not-rising)[Question people askWhat are option Greeks (Greeks kya hai)?A short answer with a dated chart](/learn/questions/what-are-option-greeks)[Related module14.7 Delta: speed, hedge ratio and the probability shortcut8 min, Beginner](/learn/path-14/module-14-7-delta)[Related module14.4 Moneyness, intrinsic value and time value8 min, Beginner](/learn/path-14/module-14-4-moneyness-intrinsic-and-time-value)[Pillar guideDerivatives and Quant115 modules across paths 12 to 19](/learn/derivatives)

Education only, not investment advice, a research report or a recommendation to buy, sell or hold any security. RupeeCase (QC Alpha Technologies Pvt Ltd) is not registered with SEBI as an investment adviser or research analyst. Contracts and prices shown are for illustration only, come from NSE end of day files at least 30 days old, and are not recommendatory. Derivatives trading carries a high risk of loss.