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Derivatives, Futures & Options

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Derivatives, Futures & Options

Open Interest

The total number of derivative contracts that remain open and have not been closed or settled.

Open Interest rises when a new buyer and a new seller create a contract, and falls when both sides close shares
Derivatives, Futures & Options

Option

A contract giving its buyer the right, but not the obligation, to buy or sell an underlying at a set price by a set date.

Test: the holder may exercise or let the contract lapse; the writer must perform if the holder exercises qualitative
Derivatives, Futures & Options

Option Chain

A table listing all available strikes for an underlying and expiry, with prices, volumes and open interest for calls and puts.

Test: the display lists every listed strike for one expiry, with call data on one side and put data on the other qualitative
Derivatives, Futures & Options

Option Intrinsic Value

The value an option would have if exercised immediately, which is never less than zero.

Call Intrinsic Value = max(Spot - Strike, 0); Put Intrinsic Value = max(Strike - Spot, 0)
Derivatives, Futures & Options

Option Premium

The price paid by an option's buyer to its writer for the rights the contract confers.

Premium = Intrinsic Value + Time Value; Total Cost = Premium x Lot Size
Derivatives, Futures & Options

Option Writer

The party that sells an option and takes on the obligation to perform if the holder exercises.

Test: the party received the premium at inception and must deliver or take delivery at the strike if assigned qualitative
Derivatives, Futures & Options

Out of the Money

An option that would have no value if exercised immediately.

Call: Spot < Strike; Put: Spot > Strike qualitative