Time decay chart and analysis of individual put options

As planned analysis of my closed naked put selling of FXI & TBT, I updated my ThinkScript to chart the delta-adjusted time value decay of Out-of-The-Money (OTM) put options. The updated script uses an average moving line to show the actual time decay of the option under analysis. Additionally, it shows the Bollinger bands of the time value in order to illustrate the overall time decay effect. BB showed a big contraction in the last 2 weeks in both cases. Some people may say the Bollinger band of the time decay is a wavy cone as a result.

To me, it suggests the option can be bought back 2 weeks prior to expiration. The charts provides supportive evidence to the conceptual drawing of OTM time decay after the inflection point in my previous post.

For the FXI put option trade, it demonstrated a more volatile time decay curve as the price of FXI fluctuated around the sold option strike. It can be found that time value was relatively high when the option is ATM.

For the TBT put trade, the price of TBT stayed OTM all the time. So the the time value at the last 4 weeks was quite small. When did time value start quick decline? It was difficult to tell from the chart. In June to July time frame, the option time value had big decline as a result of the rapid price ascend, even though we are using Delta-adjusted time value on the chart. In August to October time frame, the stock price dropped but the option price also fell as a result of time decay.

In the next posts, I'll examine the option time decay from a return of capital perspective.