Suppose I open a short straddle for BNF at 44000 CE and PE.
2 days later, I need to put a condition to add a hedge if theta has decayed by 20%. Is there a keyword to retrieve the initial theta and compare with current theta of leg?
Suppose I open a short straddle for BNF at 44000 CE and PE.
2 days later, I need to put a condition to add a hedge if theta has decayed by 20%. Is there a keyword to retrieve the initial theta and compare with current theta of leg?