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 ?
At-the-money options trade at the lowest implied volatility, while options with exercise prices far from the current price trade at higher implied volatilities.
The original form of the VIX was based only on at-the-money options and was, therefore, easier to interpret than the current version, which is an average across exercise prices of implied volatilities.
For a call option, in-the-money options refer to options with S/K being greater than 1, at-the-money options refer to options with S/K being 1, and out-of-the-money options refer to options with S/K being less than 1.
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.
One stylized shape of the Strike x Implied Volatility figure is the so-called "smile": options too in-the-money or too out-of-the-money usually results in higher implied volatilities compared to at-the-money options.
The board is planning to issue at-the-money options on Friday.
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.