Greeks by theta report
Live contracts whose theta is no worse than -0.05 per day (slow time decay), ranked by theta.
Overview
The Greeks by theta report lists live contracts that lose at most about 5 cents per share per day to time decay (theta >= -0.05), ranked from the slowest decay.
The data delay depends on your plan and is shown on every view: the as-of time and the delayed label sit above the results. On the Free plan reports show the previous session.
How the report is built
- Live contracts with theta >= -0.05.
- Sorted by theta (closest to 0 first), then expiration and strike.
Before you start
Any signed-in plan can open the report from Research → Reports. Your plan decides how fresh the data is and how much history you can read. CSV export needs a plan that includes it.
Steps
- Open Research → Reports, choose the Strategies family (or type "Greeks by theta" in Search reports) and open Greeks by theta.
- The report runs straight away with its default filters. The as-of time and delayed label are shown above the grid.
- Change any filter (for example pick one symbol) and press Run to refresh the grid.
- Choose Save as screen to keep your variant under Research → Saved Screens, where you can schedule it or turn it into an alert.
- Use Export CSV to download the rows (plans with CSV export).
Columns and metrics
| Column | What it means | ||
|---|---|---|---|
| Symbol | The underlying stock or ETF. | ||
| Expiration | The contract expiration date. | ||
| DTE | Calendar days until expiration (0 = expires this session). | ||
| C/P | Call or put. | ||
| Strike | The strike price of the contract. | ||
| Und. Price | The latest price of the underlying stock. | ||
| ITM/ATM/OTM | In, at or out of the money, worked out from the strike against the stock price. | ||
| Mark | Bid/ask midpoint, per share. This is the premium the reports use. | ||
| Premium | Mark x 100: the price of one standard contract in USD. | ||
| Break-even | Per share: strike + mark for a call, strike - mark for a put. The price the stock must reach at expiry for a buyer to break even. | ||
| Volume | Contracts traded so far this session (cumulative, as of the snapshot time). | ||
| OI | Open contracts as of the prior settlement. | ||
| Prev OI | Open interest at the close of the previous trading session (the baseline). | ||
| OI Δ | Open interest minus the previous session's open interest, in contracts. | ||
| OI Δ % | (OI - previous OI) / previous OI. | ||
| IV | Implied volatility, annualised. Shown as a percentage (0.35 is stored, 35 % is displayed). | ||
| Delta | How much the option price moves for a $1 move in the stock (calls 0 to 1, puts 0 to -1). | ||
| Delta | Delta without its sign, so one range covers calls and puts. | ||
| Gamma | How fast delta changes for a $1 move in the stock. | ||
| Theta | Time decay per calendar day, per share. Negative for a long option. | ||
| Vega | Price change for a 1-point change in implied volatility. | ||
| Rho | Price change for a 1-point change in interest rates. | ||
| Extracted | When the snapshot behind the row was captured (US Eastern). |
Percentages are stored as fractions and displayed as percentages (0.05 is shown as 5 %). An unknown value shows as "-", never as 0.
How to read it
- Theta is negative for long options; -0.02 decays slower than -0.08.
- Slow decay usually comes with long expirations or far out-of-the-money strikes, where the premium is small - check Mark and Delta too.
Example
Illustrative only - the symbol and numbers are invented.
XYZ 16 January 2028 100 call: Theta -0.02, DTE 430, Mark 12.50, Vega 0.45. A 15 November 100 call with Theta -0.08 would not appear.
Using it in your research
- Compare how time decay grows as expiration approaches by sorting the same strike across expirations.
Treat every row as a starting point for your own research, not as a signal. Volume and open interest never say whether a trade was a buy or a sell.
Troubleshooting
The report shows "No Records Found"
The filters may be too narrow for the session, or the session has only just opened. Widen a threshold, clear the symbol, or check the as-of time to see which session you are reading. On the Free plan you read the previous session.