In-the-Money - an option with intrinsic value. Call option is in-the-money if its strike
price is below the current price of the underlying asset. A put
is in-the-money if its strike price is above the current price of the underlying asset.
Intrinsic Value - the absolute in-the-money amount.
Theoretical Value - An option value generated by a mathematical option pricing model
Volatility- A measure of how changeable the underlying price is, based on historic data.
Writing of option- The sale of an option.
Volume The number of contracts traded on the exchnage during thespecified period of
time.
Time Value - the amount by which an option premium exceeds the option’s intrinsic
value
Theta The sensitivity of an option theoretical value to a change in time letf until expiration. Also called time decay
Rho The sensitivity of an option theoretical value to a change in interest rates.
Out-of-the-Money call option is an option with a strike price higher or a put option with a
strike price lower than the current market price of an underlying security.
Gamma The sensitivity of an option delta to thechange in the price of the underlying
security.
Delta The sensitivity of an option theoretical value to a change in the price of the
underlying security.
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