ATM option

An ATM (at-the-money) option is an option where the strike is the same as the current underlying.

Depending on the market, the underlying can be the current spot, forward rate or delta neutral straddle. You can have an:

• ATMS (at-the-money spot) option, where the strike is the same as the current spot rate.
• ATMF (at-the-money forward) option, where the strike is the same at the current forward rate.
• ATM delta neutral straddle, where the strike gives a delta neutral straddle.

The default ATM in the:

• FX market is the delta neutral straddle.
• IR market is the forward rate.
• CM market is the forward rate.
• EQ market is the spot rate.

In SuperDerivatives pricing and analytics applications in the Strike field you can simply define which ATM option you want to price and the system returns the appropriate strike.