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Theta pays for gamma · Part 1 of 3
An at-the-money option on a stock at $200 has implied volatility of 25% and gamma of 0.012. Rates are zero and you hold the option delta-hedged.
Using the Black–Scholes equation, what is the option’s theta, per year?
Answer with a number. Fractions, powers and expressions like 23/6 or C(52,5) are read correctly in practice.
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