What Is the Risk Associated with “Theta Decay” for Option Buyers?

Theta decay, or time decay, is the measure of an option's sensitivity to the passage of time. For option buyers (long calls or puts), Theta is typically negative, meaning the option's value decreases as it gets closer to expiration, assuming all other factors remain constant.

The risk is that the underlying asset does not move enough to be profitable before the time value of the option erodes to zero.