KungFuPanda

it is at the money where the slope starts moving outwards at 45 degrees.

Left extreme - delta = 0, far out the money

extreme right -> delta = 1, far in the money.
0.............+1
............./
........... /
---------/
out....at....... in

this is for a long option.

CP



Edited 1 time(s). Last edit at Sunday, May 9, 2010 at 07:40PM by cpk123.