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At-the-money

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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
 
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