moneyness การใช้

• Further axioms may also be added to define a " valid " moneyness.
• Accordingly, one may incorporate time to maturity " ? " into moneyness.
• Delta is more than moneyness, with the ( percent ) standardized moneyness in between.
• Delta is more than moneyness, with the ( percent ) standardized moneyness in between.
• For this reason some option traders use the absolute value of delta as an approximation for percent moneyness.
• In words, the standardized moneyness is the number of standard deviations the current forward price is above the strike price.
• While moneyness is a function of both spot and strike, usually one of these is fixed, and the other varies.
• The percent moneyness is the implied probability that the derivative will expire in the money, in the risk-neutral measure.
• This effectively normalizes for time to expiry  with this measure of moneyness, volatility smiles are largely independent of time to expiry.
• For example, rules of thumb for when to expiration and moneyness of a position are examples of trading mechanics ( heuristics ).
• This definition is abstract and notationally heavy; in practice relatively simple and concrete moneyness functions are used, and arguments to the function are suppressed for clarity.
• Thus a moneyness of 0 yields a 50 % probability of expiring ITM, while a moneyness of 1 yields an approximately 84 % probability of expiring ITM.
• Thus a moneyness of 0 yields a 50 % probability of expiring ITM, while a moneyness of 1 yields an approximately 84 % probability of expiring ITM.
• For in-the-money ( see moneyness ) covered calls, the calculations for % If Unchanged Return and the % If Assigned Return will be equal.
• Note that for puts, Delta is negative, and thus negative Delta is used  more uniformly, absolute value of Delta is used for call / put moneyness.
• In the log simple moneyness, ATM corresponds to 0, while ITM is positive and OTM is negative, and corresponding levels of ITM / OTM corresponding to switching sign.
• Thus the moneyness is zero when the forward price of the underlying equals the strike price, when the option is " at-the-money-forward ".
• Given a specific option, the strike is fixed, and different spots yield the moneyness of that option at different market prices; this is useful in option pricing and understanding the Black Scholes formula.
• The above measures are independent of time, but for a given simple moneyness, options near expiry and far for expiry behave differently, as options far from expiry have more time for the underlying to change.
• In ( call ) simple moneyness, ATM corresponds to moneyness of 1, while ITM corresponds to greater than 1, and OTM corresponds to less than 1, with equivalent levels of ITM / OTM corresponding to reciprocals.