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Derivatives


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At-The-Money Forward


The situation in which the strike of an option is set equal to the forward price (e.g., FX rate) for the same expiration date of the option. In general option moneyness can defined with respect to either the spot price (ATM spot) or the forward price (at expiration, and hence there is an ATM forward). In the case of an ATM forward, there are different ATM strikes for each expiration date.

The at-the-money forward (ATM forward) is known for short as ATMF.


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