How Do Brokers Typically Define the “Near-the-Money” Range?
Brokers and traders often define the "near-the-money" (NTM) range as options with a Delta between 0.30 and 0.70 (for Calls) or -0.30 and -0.70 (for Puts). This range encompasses options that are close enough to the ATM strike to have high Gamma and significant time value, but are not deep ITM or deep OTM.
The exact range can vary by convention.
Glossar
Range
Span ⎊ Range, within cryptocurrency derivatives and options trading, denotes the price differential between the highest and lowest prices observed during a specified period, serving as a fundamental measure of market volatility and potential profit opportunity.
Brokers
Conduit ⎊ These entities serve as the essential interface, connecting sophisticated traders and quantitative analysts to the often-opaque liquidity venues for crypto options and derivatives.