2020年11月16日 · Absolute-moneyness: using absolute spot-strike comparison as a measure of moneyness. ATM would correspond with S=K. This has a simplistic interpretation when looking at option payoff diagrams at maturity. Simple-moneyness: using strike-spot ratio as a measure of moneyness. ATM would correspond with moneyness level of S/K=1 (or K/S).

2020年10月22日 · Meanwhile, a volatility surface is often quoted in terms of moneyness and maturity rather than strike and maturity. So one node will correspond to e.g 1 year maturity and 1.25 moneyness. Now I take moneyness to mean S/K for a call, and K/S for a put, but for a given spot price S this would give different values of K for puts and calls.

2012年1月6日 · An intuitive explanation for this can be found by thinking of time value as the expected P&L of a long option position dynamically hedged by going short (long) Delta units of a call (put). Delta is the sensitivity of the option premia to the price of the underlying. It is a value between 0 and 1 and increases with moneyness.

2018年5月14日 · $\begingroup$ @TriFar, the Macaulay duration for a zero-coupon bond would effectively be its maturity. Here I use the term duration a bit loosely to mean sensitivity to interest rates (to maintain the analogy with an option's rho).

2023年12月14日 · Moneyness, implied volatility and option greeks. Ask Question Asked 1 year, 3 months ago. Modified 1 year ...

2019年1月21日 · The definition of moneyness is not completely standardized, you can see different definitions in the literature: the simple moneyness is $\frac{S}{K}$ (in some cases you will see $\frac{K}{S}$ ) the log moneyness is $\ln \frac{S}{K}$

2024年12月8日 · 100% moneyness is displayed as 1814.8. 90% of 1814.8 is 1633.3, 105% is 1905.5 and so forth. This is also a natural way for equity, where moneyness is typically referred to as spot moneyness (spot is the underlying after all, and forward are usually unobservable - hence subject to computational assumptions and errors).

Sticky moneyness would require re-expressing the IV in the moneyness rather than absolute strike space by defining the function $$ \hat{\Sigma}(S;m,T) = \Sigma(S;K=S m, T)$$ and then write that $$ \hat{\Sigma}(S+\delta S; m, T) = \hat{\Sigma}(S; m ,T) \iff \color{blue}{\frac{\partial \hat{\Sigma}}{\partial S}(S; m, T) = 0} $$ One can show that ...

2020年3月28日 · What I have seen in papers such as Christoffersen, Heston and Jacobs (2009) where they look into a two-factor model of volatility is a quadratic polynomial in BOTH moneyness and maturity. I would assume that the advantage of using this approach is that you get a structured volatility surface using observed variables. Beyond the problem of ...

2017年4月10日 · Moneyness, implied volatility and option greeks. Hot Network Questions What could lead to HTP submarines ...