Equity Derivatives and Structured Products Glossary: At-the-money


en			ru			jp

Home

Knowledge Base

Equity Derivatives and Structured Products Glossary

At-the-money

Back

At-the-money

At-the-money

1. At-the-money Forward: An Option whose strike is set at the same level as the prevailing market price of the Underlying Forward contract. With a Black-Scholes model, the Delta of a European-style, at-the-money Forward Option Will be close to 50%.
2. At-the-money Spot: An Option whose strike is set the same as the prevailing market price of the Underlying. Because forwards commonly trade at a Premium or Discount to the Spot, the Delta may not be close to 50%.

See also In-the-money, Out-of-the-money

Posted by Privatebanking.com

Back

©	Copyright by PRIVATE BANKING.COM 2002-2022 - All rights reserved.