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
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.