At the Money

(redirected from At-the-Money Option)

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 ?
However, set an exercise price of at-the-money option around share price or stock index in each trading day, and with the fluctuation of stock price S, the distribution of exercise price K is not machine-parsable, so it cannot be guaranteed that option contract of exercise price K exists in each trading day within sampling period when data is being collected.
Instead of waiting until Friday to issue an at-the-money option with a strike price of $100, the board issues an at-the-money option on Monday with a strike price of $90.
5 times the one-month at-the-money option price, respectively.
9% of unscheduled at-the-money option grants to top executives between 1996 and 2005 were backdated or otherwise manipulated.
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
Because of accounting treatment differences between in-the-money and at-the-money option grants, backdating resulted in materially understated employee compensation expenses and overstated operating income and company performance.
Suppose an at-the-money option grant in our sample has been backdated by twenty business days.
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.