Options & Derivatives

Moneyness

How far an option's strike sits from the current price of the underlying.

In the money has positive intrinsic value; at the money has the strike near spot; out of the money has zero intrinsic value and consists purely of time value.

Where the interesting behaviour lives. At-the-money options have the most gamma, the most vega and the fastest theta decay. Deep in- or out-of-the-money options have very little of any, because their delta is pinned near 1 or 0.

That concentration is why at-the-money expiry risk is difficult and why desks reduce it into expiry.

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