What Is the Term for an Option with High Theta and High Vega?
An option with both high Theta and high Vega is typically an At-the-Money (ATM) option with a medium-term expiration (e.g. 30 to 90 days).
These options have the highest amount of extrinsic value, which maximizes both the rate of time decay (Theta) and the sensitivity to volatility changes (Vega). They are the most volatile in terms of both time and volatility risk.
