No implied vol. VERY simplistically: your own a call. spot is 100. Strike is 110. and there are 2 days until expiry. implied vol says that each day it goes up or down by 20%. (market decides this) so SIMPLISTICALLY the spot will go down: 80 then to 64. Or up: 120 then 144. So you make 34 or nothing. (50/50) The option will be worth 17 on day one. if after one day, NOTHING ELSE CHANGES.... spot = 100. Strike = 110 (still)... now you have a change of it being worth 80 or 120. so you have a 50/50 chance of making 10 (120) or losing nothing: option price will be 5. Your theta in this very simplified example will be -12, because if nothing else changes one day with no movement of spot, rates, divs etc will mean that the option value (expected payoff) will have dropped to 5. If IV is high, you might have a 50% up or down move factored in. As you can see because you only benefit from the upside, your theta will be larger because if these moves do not occur, you are losing a compounded upside benefit each day that they do not happen.