Chapter 03 · Section 3.1

At-the-money option

at-the-money option is an option:

• a) with an exercise price greater than the price of the underlying asset.
  No. The intrinsic value of an at-the-money option is equal to zero. For a call: Intrinsic value = price of underlying - exercise price. For a put : Intrinsic value = exercise price - price of underlying
  b) which has a premium equal to the price of the underlying asset.
  c) with an exercise price which is equal to the premium.
  d) with an exercise price equal to the price of the underlying asset.

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