Theta

Theta reduces an option’s price every day until the expiration date is reached.

$\frac{\partial V}{\partial S} = -\frac{\sigma S e^{-qT}N'(d1)}{2\sqrt{T}} + qSN(d1)e^{-qT} - rKe^{-rT}N(d2)$

where $N'(x) = \frac{1}{\sqrt{2\pi}} e^{-x^2/2}$