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- Moneyness abstract "In finance, moneyness is the relative position of the current price (or future price) of an underlying asset (e.g., a stock) with respect to the strike price of a derivative, most commonly a call option or a put option. Moneyness is firstly a three-fold classification: if the derivative would make money if it were to expire today, it is said to be in the money, while if it would not make money it is said to be out of the money, and if the current price and strike price are equal, it is said to be at the money. There are two slightly different definitions, according to whether one uses the current price (spot) or future price (forward), specified as \"at the money spot\" or \"at the money forward\", etc.This rough classification can be quantified by various definitions to express the moneyness as a number, measuring how far the asset is in the money or out of the money with respect to the strike – or conversely how far a strike is in or out of the money with respect to the spot (or forward) price of the asset. This quantified notion of moneyness is most importantly used in defining the relative volatility surface: the implied volatility in terms of moneyness, rather than absolute price. The most basic of these measures is simple moneyness, which is the ratio of spot (or forward) to strike, or the reciprocal, depending on convention. A particularly important measure of moneyness is the likelihood that the derivative will expire in the money, in the risk-neutral measure. It can be measured in percentage probability of expiring in the money, which is the forward value of a binary call option with the given strike,and is equal to the auxiliary N(d2) term in the Black–Scholes formula. This can also be measured in standard deviations, measuring how far above or below the strike price the current price is, in terms of volatility; this quantity is given by d2. (Standard deviations refer to the price fluctuations of the underlying instrument, not of the option itself.) Another closely related measure of moneyness is the Delta of a call or put option, which is often used by traders but actually equals N(d1), not N(d2), and there are others, with convention depending on market.".
- Moneyness wikiPageExternalLink enhanced-call-overwriting-2005.
- Moneyness wikiPageID "253578".
- Moneyness wikiPageLength "21928".
- Moneyness wikiPageOutDegree "53".
- Moneyness wikiPageRevisionID "684560076".
- Moneyness wikiPageWikiLink Binary_option.
- Moneyness wikiPageWikiLink Black–Scholes_model.
- Moneyness wikiPageWikiLink Boundary_value_problem.
- Moneyness wikiPageWikiLink Call_option.
- Moneyness wikiPageWikiLink Category:Derivatives_(finance).
- Moneyness wikiPageWikiLink Category:Options_(finance).
- Moneyness wikiPageWikiLink Change_of_variables.
- Moneyness wikiPageWikiLink Coordinate_system.
- Moneyness wikiPageWikiLink Cumulative_distribution_function.
- Moneyness wikiPageWikiLink Derivative_(finance).
- Moneyness wikiPageWikiLink Expiration_(options).
- Moneyness wikiPageWikiLink Finance.
- Moneyness wikiPageWikiLink Geometric_Brownian_motion.
- Moneyness wikiPageWikiLink Greeks_(finance).
- Moneyness wikiPageWikiLink IBM.
- Moneyness wikiPageWikiLink Implied_volatility.
- Moneyness wikiPageWikiLink Itxc3xb4s_lemma.
- Moneyness wikiPageWikiLink Log-normal_distribution.
- Moneyness wikiPageWikiLink Monotonic_function.
- Moneyness wikiPageWikiLink Normal_distribution.
- Moneyness wikiPageWikiLink Numéraire.
- Moneyness wikiPageWikiLink Option_(finance).
- Moneyness wikiPageWikiLink Option_time_value.
- Moneyness wikiPageWikiLink Percentile.
- Moneyness wikiPageWikiLink Probability.
- Moneyness wikiPageWikiLink Put_option.
- Moneyness wikiPageWikiLink Risk-free_interest_rate.
- Moneyness wikiPageWikiLink Risk-neutral_measure.
- Moneyness wikiPageWikiLink Spot_contract.
- Moneyness wikiPageWikiLink Standard_deviation.
- Moneyness wikiPageWikiLink Standard_score.
- Moneyness wikiPageWikiLink Strike_price.
- Moneyness wikiPageWikiLink Vertical_spread.
- Moneyness wikiPageWikiLink Volatility_smile.
- Moneyness wikiPageWikiLinkText "Moneyness".
- Moneyness wikiPageWikiLinkText "Moneyness#In the money".
- Moneyness wikiPageWikiLinkText "Moneyness#OTM:_Out_of_the_money".
- Moneyness wikiPageWikiLinkText "at the money".
- Moneyness wikiPageWikiLinkText "at-the-money level".
- Moneyness wikiPageWikiLinkText "at-the-money".
- Moneyness wikiPageWikiLinkText "in or out of the money".
- Moneyness wikiPageWikiLinkText "in the money".
- Moneyness wikiPageWikiLinkText "in-".
- Moneyness wikiPageWikiLinkText "in-the-money".
- Moneyness wikiPageWikiLinkText "moneyness".
- Moneyness wikiPageWikiLinkText "out of the money".
- Moneyness wikiPageWikiLinkText "out-of-the-money".
- Moneyness wikiPageWikiLinkText "payoffs".
- Moneyness wikiPageUsesTemplate Template:Cite_book.
- Moneyness wikiPageUsesTemplate Template:Derivatives_market.
- Moneyness wikiPageUsesTemplate Template:More_footnotes.
- Moneyness wikiPageUsesTemplate Template:Redirect.
- Moneyness wikiPageUsesTemplate Template:Refbegin.
- Moneyness wikiPageUsesTemplate Template:Refend.
- Moneyness wikiPageUsesTemplate Template:Reflist.
- Moneyness wikiPageUsesTemplate Template:Unreferenced_section.
- Moneyness subject Category:Derivatives_(finance).
- Moneyness subject Category:Options_(finance).
- Moneyness hypernym Position.
- Moneyness type RugbyPlayer.
- Moneyness type Market.
- Moneyness comment "In finance, moneyness is the relative position of the current price (or future price) of an underlying asset (e.g., a stock) with respect to the strike price of a derivative, most commonly a call option or a put option.".
- Moneyness label "Moneyness".
- Moneyness sameAs Q1806850.
- Moneyness sameAs Moneyness.
- Moneyness sameAs Moneyness.
- Moneyness sameAs Grado_del_dinero.
- Moneyness sameAs Moneyness.
- Moneyness sameAs m.01lm1c.
- Moneyness sameAs Денежность.
- Moneyness sameAs Q1806850.
- Moneyness wasDerivedFrom Moneyness?oldid=684560076.
- Moneyness isPrimaryTopicOf Moneyness.