What is a deep in-the-money option?
An option is in the money when a call's strike is below the stock's price, or a put's above it; the amount it is in the money is its intrinsic value 1. Deep in the money, a call's delta moves toward 1.00 2, so its price moves almost dollar for dollar with the stock, and by the formula nearly all of its price is intrinsic value 3.
A $50 stock and its calls with 30 days left at 30% implied volatility (made-up numbers). Move the strike.
In numbers
By the formula the $35 call costs $15.12: $15.00 intrinsic and $0.12 time value, with a delta of 1.00 to two places 3. The $50 call costs $1.80, all of it time value, with a delta of 0.53 3.
What the small time value is
By the formula, far in the money almost all of what remains above intrinsic value is the interest on the strike until expiry 3: by put-call parity a call is worth the stock minus the strike's discounted value plus the put 4, and that put is worth almost nothing there.
What this shows, and what it doesn't
Model prices with one volatility and no dividend, before fees and the bid-ask spread.
Go further
Sources (4), checked 20 October 2026 and 27 October 2026
- The Options Industry Council, “What is an Option?”. Read it (read 27 October 2026)
- The Options Industry Council, “Delta”. Read it (read 20 October 2026)
- Fischer Black and Myron Scholes, “The Pricing of Options and Corporate Liabilities”, Journal of Political Economy 81(3), 637–654, 1973. Read it (read 20 October 2026)
- The Options Industry Council, “Put/Call Parity”. Read it (read 27 October 2026)
Now try it on a scenario of your own
Pick where a simulated stock might be, and by when: drag one dot and see, side by side, what buying shares, one option, or a pair of options (a call or put spread) would each do. Free, no sign-up.
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