24 Terms
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Commodity exchange
Industry: Financial services
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Commodity exchange
In-the-money option
Financial services; Commodity exchange
An option having intrinsic value. A call option is in-the-money if its strike price is below the current price of the underlying futures contract. A put option is in-the-money if its strike price is ...
Cox-ross-rubinstein option pricing model
Financial services; Commodity exchange
An option pricing logarithm developed by J. Cox, S. Ross and M. Rubinstein which can be adopted to include effects not included in the Black-Scholes model (e.g., early exercise and price supports).
Delta margining
Financial services; Commodity exchange
An option margining system used by some exchanges for exchange members and/or floor traders which equates the changes in option premiums with the changes in the price of the underlying futures ...
Box transaction
Financial services; Commodity exchange
An option position in which the holder establishes a long call and a short put at one strike price and a short call and a long put at another strike price, all of which are in the same contract month ...
Put option
Financial services; Commodity exchange
An option that gives the option buyer the right but not the obligation to sell (go "short") the underlying futures contract at the strike price on or before the expiration date.
Black-scholes model
Financial services; Commodity exchange
An option pricing formula initially developed by F. Black and M. Scholes for securities options and later refined by Black for options on futures.
Chooser option
Financial services; Commodity exchange
An option which is transacted in the present but which at some pre specified future date is chosen to be either a put or a call option.
