Chapter 03 · Section 3.1

In, At, or Out of the Money

                    CALL                          PUT         
 Exercise    Mar      Jun      Sep           Mar      Jun     Sep 
 Price                                                              
 30         10.15    10.85     11.65         0.05     0.35    0.85 
 35          5.40     6.90      8.10         0.25     1.35    2.15 
 40          1.90     4.00      5.35         1.75     3.40    4.35 
 45          0.40     2.10      3.45         5.30     6.50    7.40 
 50          0.05     1.05      2.15        10.05    10.50   11.15 

                Stock price: $40    Today's date: February         

The option in bold is:

• a) At-the-money
  Yes. The option in bold is at-the-money because its exercise price is equal to the price of the underlying asset. Keep in mind that the intrinsic value of an at-the-money option, call or put, is zero. Continue
  b) In-the-money
  c) Out-of-the-money

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