Options Ontology
Concepts common to all option contracts. An option gives one party (the holder) the right to purchase or sell the underlying instrument at a given time or times in the future (as determined by the exercise convention), if they choose to do so.
Copyright (c) 2015-2025 EDM Council, Inc. Copyright (c) 2015-2025 Object Management Group, Inc. Permission is hereby granted, free of charge, to any person obtaining a copy of this software and associated documentation files (the 'Software'), to deal in the Software without restriction, including without limitation the rights to use, copy, modify, merge, publish, distribute, sublicense, and/or sell copies of the Software, and to permit persons to whom the Software is furnished to do so, subject to the following conditions: The above copyright notice and this permission notice shall be included in all copies or substantial portions of the Software. THE SOFTWARE IS PROVIDED 'AS IS', WITHOUT WARRANTY OF ANY KIND, EXPRESS OR IMPLIED, INCLUDING BUT NOT LIMITED TO THE WARRANTIES OF MERCHANTABILITY, FITNESS FOR A PARTICULAR PURPOSE AND NONINFRINGEMENT. IN NO EVENT SHALL THE AUTHORS OR COPYRIGHT HOLDERS BE LIABLE FOR ANY CLAIM, DAMAGES OR OTHER LIABILITY, WHETHER IN AN ACTION OF CONTRACT, TORT OR OTHERWISE, ARISING FROM, OUT OF OR IN CONNECTION WITH THE SOFTWARE OR THE USE OR OTHER DEALINGS IN THE SOFTWARE. See https://opensource.org/licenses/MIT.
The https://spec.edmcouncil.org/fibo/ontology/DER/DerivativesContracts/Options.rdf version of the ontology was modified to replace additional concepts from several FIBO FND ontologies with their counterparts added to the Commons Ontology Library (Commons) v1.1.
The https://spec.edmcouncil.org/fibo/ontology/DER/DerivativesContracts/Options.rdf version of the ontology was modified to replace concepts from several FIBO FND ontologies with their counterparts added to the Commons Ontology Library (Commons) v1.1.
The https://spec.edmcouncil.org/fibo/ontology/DER/DerivativesContracts/Options.rdf version of this ontology was modified to further simplify and clarify definitions related to rate derivatives (DER-90).
The https://spec.edmcouncil.org/fibo/ontology/DER/DerivativesContracts/Options.rdf version of this ontology was modified to simplify and refine definitions related to underliers (DER-112).
The https://spec.edmcouncil.org/fibo/ontology/DER/DerivativesContracts/Options.rdf version of this ontology was modified to support details of ISO 4914, Financial services - Unique Product Identifier (UPI), (DER-146).
The https://spec.edmcouncil.org/fibo/ontology/DER/DerivativesContracts/Options.rdf version of this ontology was modified to use the Commons Ontology Library (Commons) Annotation Vocabulary rather than the OMG's Specification Metadata vocabulary, and to move the definition of an underlier and the related property, has underlier, to financial instruments so that these concepts are also available for use in relation to pool-backed securities.
The https://spec.edmcouncil.org/fibo/ontology/DER/DerivativesContracts/Options.rdf version of this ontology was modified to use the Commons Ontology Library (Commons) rather than the OMG's Languages, Countries and Codes (LCC), eliminating redundancies in FIBO as appropriate.
The https://spec.edmcouncil.org/fibo/ontology/DER/DerivativesContracts/Options.rdf version of this ontology was revised to add an expiration date as an important property of an option.
The https://spec.edmcouncil.org/fibo/ontology/DER/DerivativesContracts/Options.rdf version of this ontology was revised to add an explanatory note to basket option and make it a kind of exotic option and added interest rate derivative as the parent of interest rate option; added capped option as a kind of vanilla option.
The https://spec.edmcouncil.org/fibo/ontology/DER/DerivativesContracts/Options.rdf version of this ontology was revised to add the most common options trading strategies.
The https://spec.edmcouncil.org/fibo/ontology/DER/DerivativesContracts/Options.rdf version of this ontology was revised to correct a restriction on an option with respect to an optional option premium which was not well-formed, and modified the definition of interest rate option to reflect a benchmark, and to be a specialization of vanilla option.
The https://spec.edmcouncil.org/fibo/ontology/DER/DerivativesContracts/Options.rdf version of this ontology was revised to make certain values subclasses of MonetaryAmount instead of MonetaryMeasure.
Copyright (c) 2015-2025 EDM Council, Inc.
Copyright (c) 2015-2025 Object Management Group, Inc.
For options, the derivatives clearing organization is responsible for clearing transactions for put and call options on common stocks and other equity issues, stock indexes, foreign currencies, interest rate composites and single-stock futures.
at-the-money
moneyness classifier that refers to an option whose value in terms of its strike price is the same or close to the current market price of the underlying security
ATM
An ATM option has a delta of ±0.50, positive if it is a call, negative for a put.
basket option
option whose underlying asset is a group, or basket, of commodities, securities, indices, or currencies
As with other options, a basket option gives the holder the right, but not the obligation, to buy or sell the basket at a specific price, on or before a certain date. This exotic option has all the characteristics of a standard option, but with the basis of the strike price on the weighted value of its components. Currency baskets are the most popular type of basket option, and they will settle in the holder's home currency. Because it involves just one transaction, a basket option often costs less than multiple single options as it saves on commissions and fees.
bond option
option giving the buyer (holder) the right, but not the obligation, to buy or sell (depending on whether it is a call or a put) a bond at a certain price on or before a specified date
butterfly
strategy that combines bull and bear spreads with a fixed risk and capped profit
These spreads are intended as a market-neutral strategy and pay off the most if the underlying asset does not move prior to option expiration. They involve either four calls, four puts, or a combination of puts and calls with three strike prices. Butterfly spreads pay off the most if the underlying asset price doesn't change before the option expires. The upper and lower strike prices are equal distance from the middle, or at-the-money, strike price.
call option
option giving the buyer (holder) the right, but not the obligation, to buy the assets specified at a fixed price or formula, on or before a specified date
ISO 10962, Securities and related financial instruments - Classification of financial instruments (CFI) code, Fourth Edition, 2019.
The seller (issuer) of the call option assumes the obligation of delivering the assets specified should the buyer exercise the option.
capped option
option with an established profit cap or cap price
The cap price is equal to the option's strike price plus a cap interval for a call option or the strike price minus a cap interval for a put option. A capped option is automatically exercised when the underlying security closes at or above (for a call) or at or below (for a put) the option's cap price.
collar
option trading strategy that involves buying a downside put and selling an upside call that is implemented to protect against large losses, but which also limits large upside gains
condor spread
non-directional options strategy that limits both gains and losses while seeking to profit from either low or high volatility
There are two types of condor spreads. A long condor seeks to profit from low volatility and little to no movement in the underlying asset. A short condor seeks to profit from high volatility and a sizable move in the underlying asset in either direction. A Condor Spread uses either all calls or all puts.
covered call
call option in which the seller (investor) owns an equivalent amount of the underlying security
equity option
option giving the buyer (holder) the right, but not the obligation, to buy (via a call option) or sell (via a put option) the underlying equity assets specified at a pre-determined price (i.e., the strike price, fixed or calculated), on or before a specified date (the expiration date)
For an Equity Option, one contract represents 100 shares of stock. Equity options settle in 'American style'.
exotic option
option that has a non-standard payout structure or other feature
Commodity Futures Trading Commission (CFTC) glossary, https://www.cftc.gov/LearnAndProtect/EducationCenter/CFTCGlossary/glossary_e.html
Exotic options include Asian options and lookback options, and are mostly traded in the over-the-counter market.
extrinsic value
measure of the difference between the market price of an option, called the premium, and its intrinsic value
Extrinsic value is also the portion of the worth that has been assigned to an option by factors other than the underlying asset's price. The opposite of extrinsic value is intrinsic value, which is the inherent worth of an option.
option time value
fence
option trading strategy that uses options to limit the range of possible returns on a financial instrument
A fence consists of the following elements: - long position in a financial instrument (e.g., a share, index or currency) - long put (normally with a strike price close to or at the current spot price of the financial instrument) - short put (with a strike price lower than the bought put - e.g., 80% of the current spot price) - short call (with a strike price higher than the current spot price).
The expiration dates of all the options are usually the same. The call strike is normally chosen in such a way that the sum total of the three option premiums is equal to zero. This investment strategy will ensure that the value of the investment at expiry will be between the strike price on the short call and the strike price on the long put. Thus, possible gains and losses (the value of the financial instrument minus the cost of acquiring it) are confined to a specified range. However, if the price of the financial instrument falls below the strike level of the sold put the investor will start participating in any further price declines of the financial instrument.
fixed income option
option giving the buyer (holder) the right, but not the obligation, to buy (via a call option) or sell (via a put option) the underlying fixed income assets specified at a pre-determined price (i.e., the strike price, fixed or calculated), on or before a specified date (the expiration date)
Fixed income options, or debt options, are derivatives contracts that use bonds or other fixed-income securities as their underlying asset.
in-the-money
moneyness classifier that refers to an option that has value in a strike price that is favorable in comparison to the prevailing market price of the underlying asset
ITM
An in-the-money call option means the option holder has the opportunity to buy the security below its current market price. An in-the-money put option means the option holder can sell the security above its current market price.
interest rate option
option that giving the buyer (holder) the right, but not the obligation, to receive a cash payment if market interest rate of a reference rate is higher or lower, depending on the option, than the strike rate of the option
The amount of the payment will be based on the difference between the market rate on the exercise date and the strike rate, multiplied by the notional principal specified in the option contract, to calculate the total payment.
intrinsic value
measure of what an asset is worth, i.e. with respect to its current price
This measure is arrived at by means of an objective calculation or complex financial model. In financial analysis this term is used in conjunction with the work of identifying, as nearly as possible, the underlying value of a company and its cash flow. In options pricing it refers to the difference between the strike price of the option and the current price of the underlying asset.
iron butterfly
butterfly strategy that consists of two call options and two put options, three strike prices and the same expiration date
The key to using this trade as part of a successful trading strategy is to forecast a time when option prices are likely to decline in value generally. This usually occurs during periods of sideways movement or a mild upward trend.
iron fly
iron condor
condor strategy consisting of two puts (one long and one short) and two calls (one long and one short), and four strike prices, all with the same expiration date
The iron condor earns the maximum profit when the underlying asset closes between the middle strike prices at expiration. In other words, the goal is to profit from low volatility in the underlying asset.
long-term equity anticipation security
equity option that allows the holder to buy or sell shares of stock with expiration dates that are longer than one year, and typically up to three years from issue
LEAP
By providing opportunities to control and manage risk or even to speculate, LEAPS are virtually identical to regular options. Expiration dates on LEAPs can range from nine months to three years, which is longer than the holding period for a traditional call or put option. Although they are not available on all stocks, LEAPS are available on most widely held issues.
moneyness
classifier for a derivative relating its strike price to the price of its underlying asset
Moneyness describes the intrinsic value of an option in its current state. The term moneyness is most commonly used with put and call options and is an indicator as to the comparative value of the option with respect to its exercise/strike price. Moneyness can be measured with respect to the underlying stock or other asset's current/spot price or its future price.
option holder
party that owns an option
In a call, the option holder has the right, but not the obligation, to buy the underlying asset, while, in a put, the option holder has the right to sell the underlying asset. An option holder may sell the option contract itself, at which point the buyer becomes the option holder. Once the instrument is exercised there are typically additional, relevant obligations with regard to settlement.
option issuer
issuer granting the rights defined in the option in exchange for some consideration
option on future
option that gives the holder the right, but not the obligation, to buy or sell a specific futures contract at a specified price on or before the option's expiration date
option premium
current market price of an option contract
The option premium is the income received by the seller (writer) of an option contract to another party. In-the-money option premiums are composed of two factors: intrinsic and extrinsic value. Out-of-the-money options' premiums consist solely of extrinsic value. For stock options, the premium is quoted as a dollar amount per share, and most contracts represent the commitment of 100 shares.
option premium formula
expression used to calculate the premium based either on the price per option or percentage of the notional amount
option trading strategy
trading tactic involving more than one option type, strike price, or expiration date on the same underlying asset
Note that some trading strategies may be considered financial instruments in their own right, but most strategies are not. The critical differentiators include whether the strategy itself can be traded, whether it has a financial instrument identifier independently from the identifier(s) of the embedded instrument(s), such as a FIGI or ISIN, and so forth.
Option trading strategies refer to buying calls or put options or selling calls or put options or both together for the purpose of limiting losses and/or optimizing profits. Basically, these strategies utilize one or more combinations for the best outcome possible based on defined parameters. Simple combinations include option spread trades such as vertical spreads, calendar (or horizontal) spreads, and diagonal spreads. More involved combinations include trades such as condor or butterfly spreads which are actually combinations of two vertical spreads.
out-of-the-money
moneyness classifier that refers to an option whose value in terms of its strike price is not favorable in comparison to the prevailing market price of the underlying asset
OTM
An OTM call option will have a strike price that is higher than the market price of the underlying asset. Alternatively, an OTM put option has a strike price that is lower than the market price of the underlying asset.
protective collar
collar that consists of a covered call and protective put
A protective collar consists of a long position in the underlying security, a put option purchased to hedge the downside risk on a stock, a call option written on the stock to finance the put purchase.
protective put
put option giving the buyer (holder) the right, but not the obligation, to sell the assets specified at with a strike price equal or close to the current price of the underlying asset, on or before a specified date
A protective put is a risk management and options strategy that involves holding a long position in the underlying asset (e.g., stock). A protective put strategy is analogous to the nature of insurance. The main goal of a protective put is to limit potential losses that may result from an unexpected price drop of the underlying asset
synthetic call
put option
option giving the buyer (holder) the right, but not the obligation, to sell the assets specified at a fixed price or formula, on or before a specified date
The seller of the put option assumes the obligation of buying the assets specified should the buyer exercise the option.
risk reversal
option trading strategy that consists of being short (selling) an out of the money put and being long (i.e., buying) an out of the money call, both with the same maturity
A risk reversal is a position which simulates profit and loss behavior of owning an underlying security; therefore, it is sometimes called a synthetic long. This is an investment strategy that amounts to both buying and selling out-of-money options simultaneously. In this strategy, the investor will first make a market hunch; if that hunch is bullish, he will want to go long. However, instead of going long on the stock, he will buy an out of the money call option, and simultaneously sell an out of the money put option. Presumably he will use the money from the sale of the put option to purchase the call option. Then as the stock goes up in price, the call option will be worth more, and the put option will be worth less.
standardized options terms
standardized contract terms established by a securities or options exchange or by an options clearing entity
Such terms may relate to the underlying instruments, exercise price, expiration date, and contract size, for example.
straddle
neutral option trading strategy that involves simultaneously buying both a put option and a call option for the underlying security with the same strike price and the same expiration date
The strategy is profitable only when the value of the underlier varies (rises or falls) from the strike price by more than the total premium paid.
strangle
option trading strategy in which the investor holds a position in both a call and a put option with different strike prices, but with the same expiration date and underlying asset
A strangle is a good strategy if you think the underlying security will experience a large price movement in the near future but are unsure of the direction. However, it is profitable mainly if the asset swings sharply in price.
strike price
price at which a lot of the underlying asset may be bought or sold when the contract is exercised
For call options, the strike price is the price at which the security may be purchased by the option holder; for put options, the strike price is the price at which the security may be sold.
strip strategy
option trading strategy that involves a sequential set of options with periodic reset dates, such that each period between resets behaves like an individual option
Typically, a strip is a strategy that involves being long in one call position and two put options, all with the same strike price on a single underlying stock. The investor who adopts this strategy believes that the underlying price of the stock will plummet in the near-term future. All three of the options will have the same expiration date and the same strike price. If the investor is correct and the price drastically decreases, the puts will pay out substantially. If the investor is wrong and the price of the underlying asset increases, the call option will mitigate the loss. The period between resets may be called a Caplet or Floorlet.
vanilla option
common option giving the buyer (holder) the right, but not the obligation, to buy (via a call option) or sell (via a put option) the underlying assets specified at a pre-determined price (i.e., the strike price, fixed or calculated), on or before a specified date (the expiration date)
Vanilla options include call or put options that have no special or unusual features, and are typically exchange traded.
has calculated market value
indicates a calculated price as of some relative date considered the market value of the option at that point in time
has premium
has cap price
price at which the contract may be exercised
has exercise date offset
indicates the period in days between the reset date and the exercise date
has exercise price
specifies a predetermined price at which the holder commits to buy or sell an underlying asset
has strike price
has exercise schedule
links an option to the schedule specified in the contract that constrains when it may be exercised
An exercise schedule may be as simple as a single date or date period. However, in more complex cases, it may be an ad hoc schedule of individual dates, or a regular schedule of periodic exercise dates.
indicates the exercise convention specified for the option
has interest accrual date offset
indicates the period in days between each reset date and the commencement of interest accrual for the next period
Typically, the option writer collects the premium when the option is initially sold.
has settlement date offset
indicats the period in days between each reset date and the corresponding settlement date
has strike percentage amount
indicates a strike price or level expressed as a percentage of the value of the underlying asset
has strike rate
rate at which the contract may be exercised