At the Money

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At the Money

An option contract with a strike price exactly equal to the price of the underlying asset. In this situation, the option contract has no intrinsic value. However, it can easily develop an intrinsic value if the option becomes in-the-money. At-the-money options are extremely volatile because they can become in-the-money or out-of-the-money quickly.
References in periodicals archive ?
Implied volatility for at-the-money options expiring in September was 31.
COMEX options for September delivery 0#GC+++> that expire later on Tuesday show most open interest in at-the-money options is evident at $1,650 calls, which give the holder the right but not the obligation to buy a set amount of gold at this price.
Implied volatility for at-the-money options expiring in June in New York, a measure of expected price swings in futures and a gauge of options prices, was 28.
Implied volatility for at-the-money options expiring in June, a measure of expected price swings in futures and a gauge of options prices, was 31.
In the currency options market, the implied volatilities for away-from-the-money options with the same maturity are usually higher than those of at-the-money options.
Our result of setting the strike price of options at the maximum level compatible with the effort constraint is not directly comparable with that--advocated for instance by Hall and Murphy (2000)--of issuing at-the-money options, as we do not explicitly consider the value of the underlying assets at grant date.
NEW YORK, June 16 /PRNewswire/ -- Changes in at-the-money options prices for companies being added to the S&P 500 are 20 to 30 times higher than changes in the corresponding stock price, Standard & Poor's Index Services announced today via a research report.
1989) The Black-Scholes Formula is Nearly Linear in Sigma for at-the-money Options; Therefore Implied Volatilities from at-the-money Options are Virtually Unbiased, The Federal Reserve Bank of Atlanta, Working Paper #88-9.
The value of at-the-money options, as well as out-of-the-money options is attributable to what the financial sector refers to as time value,