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.
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.
An in-the-money option, call or put, has intrinsic value.
An out-of-the-money option, call or put, has no intrinsic value. An at-the-money option, call or put, has an intrinsic value equal to zero.