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Does Theta Decay Over the Weekend?
Model decay per calendar step into the July 17, 2026 expiration (hypothetical at-the-money option)series · 2026-08-18 · 18×5Preview: a 16-point series, ending higher. Calendar days from each weekday's session to the next SPY sessionseries · 2026-08-18 · 5×3Preview: a 5-point series, ending higher. Average near-the-money SPY implied volatility by weekday, first half of 2026ranking · 2026-08-18 · 5×3Preview: 5 ranked values, smallest first. Average at-the-money SPY option premium by days to expiry, first half of 2026ranking · 2026-08-18 · 7×2Preview: 7 ranked values, smallest first.
What Is Option Theta? Time Decay Explained
The SPY $740 call's daily time decay deepens into expiry (May–Jun 2026)series · 2026-07-15 · 31×2Preview: a 16-point series, ending lower. At-the-money SPY time decay accelerates near expiry (2026-07-13)series · 2026-07-15 · 4×2Preview: a 4-point series, ending higher.
Model decay per calendar step into the July 17, 2026 expiration (hypothetical at-the-money option)

Model decay per calendar step into the July 17, 2026 expiration (hypothetical at-the-money option)

most recentas of series 18×5read in context →
Model decay per calendar step into the July 17, 2026 expiration (hypothetical at-the-money option) — 18 rows by 5 columns, computed from US exchange, SIP and OPRA data.
session_datesession_labelcalendar_days_to_next_sessionone_day_pctactual_step_pct
2026-06-15Mon Jun 1511.571.57
2026-06-16Tue Jun 1611.631.63
2026-06-17Wed Jun 1711.681.68
2026-06-18Thu Jun 1841.747.15
2026-06-22Mon Jun 2212.022.02
2026-06-23Tue Jun 2312.112.11
2026-06-24Wed Jun 2412.22.2
2026-06-25Thu Jun 2512.32.3
2026-06-26Fri Jun 2632.417.42
2026-06-29Mon Jun 2912.822.82
2026-06-30Tue Jun 3012.992.99
2026-07-01Wed Jul 113.183.18
2026-07-02Thu Jul 243.3914.37
2026-07-06Mon Jul 614.654.65
2026-07-07Tue Jul 715.135.13
2026-07-08Wed Jul 815.725.72
2026-07-09Thu Jul 916.466.46
2026-07-10Fri Jul 1037.4224.41
the exact SQL behind every number
WITH sessions AS
(
    SELECT date
    FROM global_markets.stocks_daily_aggs
    WHERE ticker = 'SPY'
      AND date >= '2026-06-15'
      AND date <= '2026-07-14'
    GROUP BY date
),
stepped AS
(
    SELECT
        date,
        dateDiff('day', date, toDate('2026-07-17')) AS days_left,
        dateDiff('day', date, leadInFrame(date) OVER (ORDER BY date ASC ROWS BETWEEN CURRENT ROW AND 1 FOLLOWING)) AS step_days
    FROM sessions
)
SELECT
    toString(date)                   AS session_date,
    formatDateTime(date, '%a %b %e') AS session_label,
    step_days                        AS calendar_days_to_next_session,
    round(100 * (1 - sqrt(toFloat64(days_left - 1) / toFloat64(days_left))), 2)         AS one_day_pct,
    round(100 * (1 - sqrt(toFloat64(days_left - step_days) / toFloat64(days_left))), 2) AS actual_step_pct
FROM stepped
WHERE date <= '2026-07-10'
  AND step_days BETWEEN 1 AND 10
ORDER BY date ASC
$