Hello, I hope this is the appropriate forum to publish this in - it looks like it's the "mixed" forum, and I don't see any "Fx option" forum, so I'll try here:
I am reading up on the greeks, and I have a few doubts concerning time decay:
One is: why does timevalue of options decay more rapidly during the last month of the options life - this is typically the case, it seems. I don't understand the reason behind this acceleration, basically.
Another one is: does vega (say of an atm option) fall in a straight line towards expiry - or is there typically an acceleration somewhere in the lifetime of the option - like with timedecay?
Maybe the two are interconnected?
(I have seen some options-vids on youtube, but they all only confirm that time-decay accelerates towards the end of an options life - none of them explain why.)
A third one: I am not sure if the "typical" moment in the option's life when timedecay accelerates changes between assets (FX crosses) and assetclassest (eg. do stock options behave different to FX options in this regard - maybe stock options decay quickly from 40 days, and FXO's from 25 days - I really don't know)
These questions are probably not simple to answer, I imagine!
I am reading up on the greeks, and I have a few doubts concerning time decay:
One is: why does timevalue of options decay more rapidly during the last month of the options life - this is typically the case, it seems. I don't understand the reason behind this acceleration, basically.
Another one is: does vega (say of an atm option) fall in a straight line towards expiry - or is there typically an acceleration somewhere in the lifetime of the option - like with timedecay?
Maybe the two are interconnected?
(I have seen some options-vids on youtube, but they all only confirm that time-decay accelerates towards the end of an options life - none of them explain why.)
A third one: I am not sure if the "typical" moment in the option's life when timedecay accelerates changes between assets (FX crosses) and assetclassest (eg. do stock options behave different to FX options in this regard - maybe stock options decay quickly from 40 days, and FXO's from 25 days - I really don't know)
These questions are probably not simple to answer, I imagine!