A call option's intrinsic value forms an asymmetric pattern in relation to the price of the underlying asset when the option is at-the-money.

Question

Quizplus · Accepted Answer

When a call option is at-the-money, its intrinsic value will be zero. As the price of the underlying asset increases, the option's intrinsic value will also increase. However, once the option is in-the-money, the increase in intrinsic value will be equal to the increase in the price of the underlying asset. This results in an asymmetric pattern where the option's intrinsic value increases at a faster rate for prices above the strike price compared to prices below the strike price.

A Call Option's Intrinsic Value Forms an Asymmetric Pattern in Relation