At What Point in an Option’s Life Is Theta Decay the Highest?
Theta decay is generally highest for At-the-Money (ATM) options with a very short time to expiration, particularly in the final 30 to 45 days. This is because the extrinsic value, which is the component Theta erodes, is concentrated and decays exponentially as the option nears its expiration date.
The market refers to this rapid decay as the "Theta curve steepening."
