What theta decay does to options — time value erodes faster as expiration approaches

How does implied volatility decay affect the pricing of exotic options, particularly as the expiration date approaches?

Implied volatility decay increases the value of long-dated exotic options as expiration nears

What the Black-Scholes formula prices — European call and put options

Black-Scholes prices European call and put options using volatility, interest rates, and time to expiration

What the Greeks (Delta, Gamma, Theta, Vega) measure in options pricing

Delta measures option price sensitivity to underlying asset price, Gamma measures Delta's rate of change, Theta measures time decay, Vega measures sensitivity to volatility

What does the Hurst exponent indicate about the long-term memory properties of a time series, and how does it impact the predictability of its future values?

Hurst exponent measures persistence or anti-persistence in time series, affecting predictability of future values

What delta measures in the context of options trading, and how does it relate to the price change of an option for a 1-point movement in the underlying asset's price?

Delta measures an option's sensitivity to underlying asset price changes, typically 0.25 for a $1 move

What vega measures — an option's sensitivity to a 1% change in implied volatility

Vega measures an option's price change per 1% implied volatility adjustment