如何管理外汇期权组合的时间价值（Theta）风险

How to manage Theta risk in FX option portfolios

文章梳理了外汇期权时间价值指标Theta的计算方法，并按照时间价值的来源将其进行了分解，提出了对不同的Theta组成部分需要使用不同的交易策略进行对冲的观点。在此基础上，文章应用实际市场数据对不同期权的Theta分解成分进行了测算与比较，并对实际交易中遇到的若干问题进行了分析。

This Bauer summarizes the calculation methods of Theta, the time value of FX options. With a decomposition of Theta accordinQ to the sources of time value, it proposes that for different components of Theta, we need to use different tradina strateaies to hedcle them. Based on this, the paper, using trading statistics, calculates and compares the components of different options portfolios Theta, and analyzes several issues frequently encountered in the trading.