Theta is one of the most critical concepts in option and structured product pricing, representing the rate at which an option's value changes over time.
The concept of Theta is rather different from the other Greeks we have already examined in that it does not represent a sensitivity that needs to be hedged. Instead, it is an important property of the pricing of structured products and options which needs to be evaluated and taken into account. For structured products, Theta is usually negative for capital protected products and positive for capital-at-risk products Theta measures the expected daily decrease in an option's price after a smal