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Moneyness

How far a strike sits from the current price, expressed as in, at or out of the money, or as a ratio or delta.

How a call option's delta changes with the underlying priceAn S-shaped curve rising from zero, passing through about a half at the strike, and flattening near one.Delta of a call option1.000.5008090110120Out of the moneyAt the moneyIn the money1.00 means it moves one-for-one with the stockdelta ≈ 0.50 at the strikeStrike 100Underlying price
Delta across the range of prices. Delta says how much a call's price moves for a one-point move in the stock. Far below the strike it is near 0 and the option barely reacts; at the strike it is about 0.50; far above it approaches 1 and tracks the stock.

Moneyness is a position on a spectrum, not three boxes. Traders express it three ways: descriptively (in-the-money, at-the-money, out-of-the-money), as a ratio of spot to strike, or as delta, which is the version that stays comparable across underlyings and expirations.

Delta-based moneyness is what professionals actually use, because a 16-delta put means roughly the same thing on a $50 stock and a 5,000-point index while "$5 out of the money" means nothing without context.

Example: XYZ at $50. The $45 call is 10% in the money with a delta near 0.80. The $55 call is 10% out of the money with a delta near 0.20. In a high-implied-volatility name the same $55 strike might be 0.35 delta — same distance in dollars, very different moneyness in the only sense that matters.

Related: in-the-money, out-of-the-money, delta

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