At the money call theta grows as expiry nears, most of all in the last days
Take the NIFTY chain of 10 Jun 2026, expiry 30 Jun 2026. The at the money call loses value every day, even when the index does not move. That daily loss is theta: the change in an option's value from time alone, with the index and implied volatility held still.
The chart shows that call's theta with twenty, ten and two days left. It is drawn against the level of the future, so the height shows the size of the daily loss, and the width shows how it fades as the index moves away from the strike. Read the height first, then the shape.
The curve gets taller as expiry nears. With two days left, the daily loss of the at the money call is about three times what it was with twenty days left. The same time value is squeezed into fewer days, so more than half of the premium that was there with twenty days left is lost in the last week, if the index and volatility stand still.
On the last day itself, whatever time value is left is gone by the close. At the final settlement an option is worth its intrinsic value, the gap between the index and the strike, or nothing. The expiry day rules are in module I25.
Theta is a cost to the buyer and a gain to the seller while the index stays put. The seller keeps it only while the index stays on the right side of the strike. A large move against the position can cost more than many days of theta, which is the link to gamma.
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