Moneyness (ITM, ATM, OTM)
Moneyness describes where an option's strike sits relative to the underlying price: in the money (ITM) when immediate exercise would pay, at the money (ATM) near the current price, and out of the money (OTM) otherwise. It can be expressed as a simple label, a strike-to-spot ratio, a log distance, a volatility-scaled distance or a delta.
Senzoukria · Glossary · Updated September 2026
At a glance
- Call in the money
- Strike below the underlying price
- Put in the money
- Strike above the underlying price
- Common measures
- K/S, ln(K/F), ln(K/F)/(σ√τ), delta
The three labels
A call is in the money when the underlying trades above its strike and out of the money when it trades below. A put is the mirror image. At the money designates the strike, or strikes, closest to the current price; how close is a convention. The same strike can therefore be ITM for the call and OTM for the put: with an index at 5,000, the 4,900 call is in the money and the 4,900 put out of the money.
Measuring moneyness: worked example
Labels hide distance. Quantitative work uses a continuous measure, and the choice matters when comparing expiries. Example: index at 5,000, strike 5,250, 30 days, implied volatility 15%, zero rates.
| Measure | Formula | Value |
|---|---|---|
| Label | Strike above spot for a call | Out of the money |
| Strike ratio | K/S | 1.05 (5% above spot) |
| Log moneyness | ln(K/S), or ln(K/F) with the forward | 0.0488 |
| Standardized | ln(K/S)/(σ√τ) | 1.13 standard deviations |
| Delta | N(d1) for a call | 0.13 |
Why the measure matters
- A 5% out-of-the-money strike is far away for a 1-day option and close for a 1-year option. Standardized moneyness and delta account for time and volatility; a percentage distance does not.
- Volatility smiles are usually plotted against delta or log moneyness so that expiries can be compared.
- Skew measures differ by convention: a 25-delta risk reversal compares strikes at a fixed delta, a fixed-moneyness skew compares strikes a fixed percentage from spot.
In Senzoukria
The Option Flow table has a Moneyness column for every print. It is measured from the holder's point of view, a call being in the money below spot and a put above, with a band of ±0.5% around spot read as ATM, and it prints the signed distance of the strike from spot in percent, positive when the strike is above the price whatever the option type. Without a reference price the column shows a dash rather than a guessed label. The GEX module's IV smile, by contrast, draws implied volatility against strike, and its wing skew compares strikes at fixed moneyness of ±5% from spot.
Related
- At the money (ATM)
- Out of the money (OTM)
- Intrinsic value
- Strike price (options)
- Option Flow table documentation
In the same section
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Frequently asked questions
- Is a strike exactly at spot in the money?
- No: exercise would pay nothing, so it has no intrinsic value. It is at the money. In practice ATM covers a small band around spot, whose width depends on the tool; Senzoukria's Option Flow uses ±0.5% of the underlying price.
- Why use delta as a moneyness measure?
- Because delta combines distance to strike, time and implied volatility in one number that is comparable across expiries. A 25-delta put is roughly equally far from the money in probability terms whether it expires in a week or in three months, while a fixed percentage distance is not.