5 times the one-month at-the-money option
1994), we compute the implied volatility for an at-the-money option
by linearly interpolating between the implied volatilities of the in-the-money and out-of-money options.
exercise price of an at-the-money option
should presumably be based on
Instead, Bates (1996) approximates the relation between the BS IV and expected variance until expiry with a Taylor series expansion of the BS price for an at-the-money option
By making grants before the release of good news, the manager effectively awards himself an in-the-money option, which is more valuable than the at-the-money option
that he appears to grant himself.
Lassek explained terms such as margin call, at-the-money option
and strike price during the seminar.
Louis' monthly Monetary Trends, said, "Using the trading prices of options on the S&P 100, the CBOE estimates the implied volatility corresponding to a hypothetical at-the-money option
with one month to expiration.
5 per cent, and the at-the-money option
has a volatility of 6.
However, most of these companies have at-the-money option
programs with constant exercise prices.
To wit: while a 60-day at-the-money option
might cost 4.
The at-the-money option
- which assumes front-month status after the closing bell today - saw open interest climb from 5,948 to 10,932 overnight, suggesting most of the activity was of the buy-to-open variety.
Open interest in these options has risen by 977,000 ounces, effectively trebling and bringing combined call and put open interest at this strike price to 12,999,000 ounces and making this the largest at-the-money option