SPAN is a formula set by the exchanges and is based on the time value left on the option, the amount by which the option is in or out of the money, and the volatility of the underlying contract. The Complete Guide to Option Selling - Page 48by James Cordier, Michael Gross - 2005 - 257 pagesLimited preview
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Jay Kaeppel - Business & Economics - 2002 - 271 pages
...variables discussed in Chapter 4. In other words, the amount of time left until expiration, the volatility, the amount by which the option is in or out of the money, and the current level of interest rates are all factors influencing the amount of time premium built into the...