- At the portfolio level, the P&L changes with regard to SPX price changes may be larger if the non-SPX positions make bigger changes than normal (Beta), since the portfolio P&L used Beta-weighted Greeks. The Beta is an average calculated over a long time (1 year for TOS?)
- Weekend Theta decay starts around Friday, depending on the market condition at the time and on the market makers.
- Weekend Theta decay on Fridays does not show up in our Theta fields of the trading software, since our SW calculates Theta daily.
- Weekend Theta decay on Friday shows up in our option volatility reducing as the time value decreasing causes option price decreasing. This is the only way (?) we know if market markers have started weekend Theta time decay (if the true market IV does not change much).
To understand how the portfolio Theta changes with volatility, I used the TOS analyzer to see Theta increases as IV decreases as shown below. Beyond the BE zone, the Theta and IV relationship is probably meaningless since the option strikes are too far OTM to have meaningful Greeks.