Also found in: Acronyms.


Copyright © 2012, Campbell R. Harvey. All Rights Reserved.

Deep in the Money

1. A call option with a strike price less than half the value of the underlying asset.

2. A put option with a strike price more than double the value of the underlying asset.

In both these situations, the option contract has intrinsic value. It is unlikely that the option will be out of the money by the time the option is exercised.
Farlex Financial Dictionary. © 2012 Farlex, Inc. All Rights Reserved
References in periodicals archive ?
First, as reported in Table 6, RMEL method produces a negative bias in 12 categories, with the exception of ITM-short; AA10 exhibit all negative bias; Liu10 has 4 positive bias in the cases of DOTM-long, OTM-long, OTM-medium, and ITM-short; and FD has 4 positive bias for all DITM options and ITM-short options.
The RMEL method also produces more accurate values for IBM puts, especially when the put option is ITM or DITM. Empirical analysis suggests that on the whole, RMEL outperforms Liu10, AA10, and FD.
Meanwhile, our method significantly dominates Liu10 and FD methods, especially for ITM and DITM; the RMEL method can price put options very well with a rather high accuracy.