At-the-money

Also found in: Acronyms.

At-the-money

An option is at the money if the strike price of the option is equal to the market price of the underlying security. For example, if xyz stock is trading at 54, then the xyz 54 option is at the money.

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.

at-the-money

Of or relating to a call or a put option that has a strike price equal to the price of the underlying asset.

Wall Street Words: An A to Z Guide to Investment Terms for Today's Investor by David L. Scott. Copyright © 2003 by Houghton Mifflin Company. Published by Houghton Mifflin Company. All rights reserved. All rights reserved.

At-the-money.

At-the-money is another way of saying at the current price. Options whose exercise price is the same or almost the same as the current market price of the underlying stock or futures contract are considered at-the-money.

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The unit elasticity of options price with respect to maturity for far-out-of-the-money put options contrasts with the previously mentioned result from Brenner and Subrahmanyam (1988) that prices of at-the-money put options in the Black-Scholes model are proportional to the square root of maturity.

Options-Pricing Formula with Disaster Risk

Therefore, each of the 20 investors received the economic equivalent of 5-year "at-the-money" put protection on their stock, and the amortized cost of that protection was only 1.38% per annum pre-tax or about 1% after-tax.

Concentrated Stock Investing Through a New Lens

Consequently, the implied volatility measure is divided into three categories: at-the-money implied volatility, near-the-money call implied volatility and near-the-money put implied volatility.

CAUSAL RELATIONSHIP BETWEEN FT-SE 100 STOCK INDEX FUTURES VOLATILITY AND FT-SE 100 INDEX OPTIONS IMPLIED VOLATILITY

Time to expiration (years) Moneyness (S/K) 1/12 1/4 1/2 1 Deep-out-of-the-money 25.1459 5.9172 2.9991 2.0394 (0.90) 1.6812 0.3472 0.1720 0.1325 Out-of-the-money 2.8328 1.8461 1.6741 1.6500 (0.97) 0.1870 0.1166 0.1041 0.1054 At-the-money 1.4156 1.4219 1.4480 1.5203 (1.00) 0.0932 0.0817 0.0898 0.0964 In-the-money 0.9585 1.1688 1.2757 1.3936 (1.03) 0.0612 0.0710 0.0787 0.0862 Deep-in-the-money 0.1512 0.5227 0.7681 0.9774 (1.125) 0.0092 0.0320 0.0477 0.0628 Table 4: MAPE of Empirical Esscher Transform Estimates in a Heston World This table contains the prices for a European call option, where the underlying prices are simulated by stochastic volatility with [mu] = 0.1, [kappa] = 3.00, [theta] = 0.04, [sigma] = 0.40 and [rho] = -0.50, and they are compared to the true Heston call prices.

Nonparametric Estimation of Risk-Neutral Distribution via the Empirical Esscher Transform/Estimacao Nao Parametrica da Distribuicao Neutra ao Risco atraves da Transformada de Esscher Empirica

When this is not the case, the formula behaves well at-the-money but the error increases far from the ATM value.

Option Price Decomposition in Spot-Dependent Volatility Models and Some Applications

(2.) As firms usually grant at-the-money options, the grant value is based on at-the-money option value.

Managerial incentives and corporate financing decisions

He, for the most part, reports strong feedback relationship between the options volume and expected future volatility, however results for at-the-money (ATM) and out-of-the money (OTM) options are found to be more pronounced.

Volatility informed trading in the options market: evidence from India

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.

Improved Maximum Likelihood Estimation of Heston Model and Pricing Efficiency Test: Hong Kong Hang Seng Index Option

Without going into technical details insubstantial for our purposes, we only mention that it is computed as an annualized, implied volatility averaged-out from at-the-money call and put S&P500 options with ca.

Selected techniques of detecting structural breaks in financial volatility

At-the-money option grants carried no expense so they were, predictably, wildly overused.

Executive pay

Fortunately, near maturity, at-the-money options that have high trading volume also have high gamma, as illustrated in Table I.