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Derivatives, Futures & Options

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Derivatives, Futures & Options

Mark to Market

The daily revaluation of open derivative positions at the closing price, with gains and losses settled in cash.

Daily Mark-to-Market = (Today's Settlement Price - Yesterday's Settlement Price) x Lot Size x Number of Lots ₹ Derivatives, Futures & Options

Max Pain

The strike at which the total value of in-the-money options outstanding would be smallest at expiry.

For each strike, compute the total payoff owed on all open calls and puts if expiry settled there; the minimum is the max pain point index points Derivatives, Futures & Options

Moneyness

The relationship between an option's strike price and the current price of the underlying.

Moneyness = Spot / Strike for a call, or Strike / Spot for a put; values above 1 indicate in the money ratio (x, times)