Notes

The following abbreviations will occasionally be used:

ATM = at-the-money (underlying security trades close to the strike price)

OTM = out-of-the-money (underlying security trades below the strike price of a call or above the strike price of a put)

ITM = in-the-money (underlying security trades above the strike price of a call or below the strike price of a put)

DITM = deep in-the-money (underlying security trades far above the strike price of a call or far below the strike price of a put)

DOTM = deep out-of-the-money (underlying security trades far below the strike price of a call or far above the strike price of a put)

Sqrt = Square root

StdDev = Standard deviations

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