A bleed that measures the effect of time on an option contract (or an options portfolio) as it becomes closer to its expiration date. More specifically, a forward bleed captures the effect of increasing volatility over an option or a set of options. In this sense, it is similar to the concept of time decay. Initially, a rise in volatility can increase delta, though a further rise could work reversely.
The opposite of forward bleed is backward bleed.
Comments