Skip to content
All library documents

How to Classify Call and Put Strikes by Moneyness

Article Quant Q&A · Author: Nick
Read the original

Summary

The document asks what to call the overlapping strike prices in ordered lists of call and put options. Its answer uses the underlying spot price to explain the standard moneyness categories: calls with strikes below spot and puts with strikes above spot are in the money; options near spot are at the money; and the remaining options are out of the money. The example places spot between two listed strikes and identifies options at those strikes accordingly.

The answer does not give a special term for strikes shared by the call and put lists. Instead, it clarifies that moneyness describes each option relative to the underlying price, so the same strike can correspond to different moneyness for a call and a put. The explanation is brief and does not discuss how to define “near” spot or how conventions may vary with strike increments and market practice.

Key ideas

  • Option moneyness is determined by comparing an option’s strike with the underlying spot price.
  • Calls below spot and puts above spot are in the money.
  • Options near spot are at the money, while those farther out of the money are out of the money.
  • A strike appearing in both call and put lists does not itself establish a separate moneyness category.

Tags

OptionsDerivatives pricing
Full text
# Special term for 'intersection' of option price


# Special term for 'intersection' of option price












Suppose, I have written two ordered lists:

$S_{call}= (\textbf{8000, 8050, 8100}, 8150, 8200, 8250)$ and $S_{put} = (7850, 7900, 7950, \textbf{8000, 8050, 8100})$.

Entities are correspond to strike prices of call and put on the same underlying asset XYZ.

Update:

Spot price is equal to $8067.6$, then XYZ 8050 call and XYZ 8050 put are "at-the-money" options, XYZ 8000 call and XYZ 8100 put are "in-the-money" options, and the remaining options would be "out-of-the-money".

How to name strike prices which are marked with bold? Is there a special term?

## Answer by JoshK (score 2)

https://quant.stackexchange.com/a/26289

I think you might be looking for "in-the-money" for the calls with strikes below spot and the puts with strikes above spot. And then the options that are close to spot will be called "at-the-money". And the remaining options would be "out-of-the-money".

Shown in full with attribution under the source's licence. Licence: CC BY-SA 4.0 (Stack Exchange)

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.