Theta measures the impact of time on option values. For reasons you WIII see in this calculation, it often called time decay. The Theta for puts and calls is given by: Call = - OS 1 2T2 -(d1)2 e 2 - -re-rT KN(d2) 1 -(-d1)2 e 2 +re-T KN (-d) put = 2T 2 On the same graph, plot the Call and Put Theta for FNF for stock prices ranging from $60 to $100. Note: the Put Theta will plot a constant distance above the Call Theta. Also, the Call Theta will always be negative (time decay always reduces call values); but, the Put Theta should be positive for low stock prices (deep in-the-money). At these low prices, the passage of time actually increases the value of the put because we are coming closer to receiving the strike price (in this range the time value of money dominates the insurance value of the option).