Derivatives · Core
Moneyness
Moneyness is where spot sits versus strike — in, at, or out of the money — the first map of option value and of Greek shape.
Definition
ITM: immediate exercise has value. ATM: S ≈ K (or delta ≈ 50). OTM: exercise is currently worthless. Delta-moneyness is stabler across names than percent. Time and carry move moneyness even if spot does not.
Why it matters
Skew, liquidity, and hedge behavior are moneyness objects. A 25-delta put is a different product than a 5-delta put.
Case
An ‘ATM’ 3-month call on a high-borrow name is not 50-delta because forward ≠ spot. Moneyness on spot lied; moneyness on forward did not.
How to read it
State spot vs forward and delta vs percent. Then look at the smile at that moneyness, not at a single IV.
No query has been run yet. Which is tragically normal for most knowledge systems, but we are trying to evolve past decorative databases.