what's atmf exactly?

http://www.sdgm.com/Support/Glossary.aspx?term=ATM%20option says

An ATM is an option where the strike is the same as the current observed underlying which 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 [1].

The default ATM in the:

FX market is the delta neutral straddle.

IR market is the forward rate.

CM (commodity) market is the forward rate.

EQ market is the spot price.

[1] net delta = 0. Therefore for small fluctuations in underlier, portfolio MV doesn't change.

## Thursday, September 27, 2012

### ATM definitions in various asset classes

at Thursday, September 27, 2012

Labels: finVol

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