Assume the Black-Scholes framework. You are given:

(i) The current price of a nondividend-paying stock is 20.

(ii) The stock’s volatility is 28%.

(iii) The continuously compounded risk-free interest rate is 2%.

(iv) The following information about a 3-month at-the-money European call option on the stock:

Suppose you have just sold 1,000 units of the call option above. You immediately delta-hedge your position by trading appropriate units of a European put option having the same underlying stock, strike price, and time to expiration as the call option.

Calculate the theta of your overall position.

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Current Price 1.16393 Current Delta 0.54210 Current Gamma 0.14169 Current Theta -2.41519