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When looking at the OTC Derivatives market, is there a standard moneyness convention that is applied? And if so, what is that bucketed approach? For example: 90%-110% for ATM, 70%-90%, 110%-130%, etc... Is there asset class considerations that would change the band structure?

Is this data useful enough with understanding the activity on the vol surface as a proxy data source?

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  • $\begingroup$ In the FX markets, yes. Please google fx otc options conventions. $\endgroup$ – Magic is in the chain Jul 22 at 21:10
  • $\begingroup$ Not aware of the conventions for the zones/buckets though. $\endgroup$ – Magic is in the chain Jul 22 at 21:26
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I am not aware of any actual formal convention, generally though within +- 1 standard deviation of returns (over the time period to expiry) would be ATM.

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