At the money: Difference between revisions
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1. | 1. | ||
An option is at the money when immediate exercise of the option would result in neither a gain nor a loss. | An option is at the money when immediate exercise of the option would result in neither a gain nor a loss. | ||
This is when the underlying asset price is equal to the strike price of the option. | This is when the underlying asset price is equal to the strike price of the option. | ||
2. | 2. | ||
A derivative such as a swap is at the money when, for example, the swap rate is equal to the relevant current market rate, so that the net present value of the derivative is Nil. | A derivative such as a swap is at the money when, for example, the swap rate is equal to the relevant current market rate, so that the net present value of the derivative is Nil. | ||
== See also == | == See also == | ||
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* [[ATMF]] | * [[ATMF]] | ||
* [[ATMS]] | * [[ATMS]] | ||
* [[Time value]] | |||
[[Category: | [[Category:Manage_risks]] | ||
[[Category: | [[Category:Risk_frameworks]] | ||
Latest revision as of 14:23, 18 July 2016
(ATM).
1.
An option is at the money when immediate exercise of the option would result in neither a gain nor a loss. This is when the underlying asset price is equal to the strike price of the option.
2.
A derivative such as a swap is at the money when, for example, the swap rate is equal to the relevant current market rate, so that the net present value of the derivative is Nil.
