Derivatives, Futures & Options
3 terms
Mark to Market
Derivatives, Futures & Options
₹
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
Max Pain
Derivatives, Futures & Options
index points
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
Moneyness
Derivatives, Futures & Options
ratio (x, times)
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