MU · deep in-the-money options instead of shares
A deep in-the-money Call’s price is almost only its intrinsic value — the share price minus the strike — so it moves nearly like 100 shares for a fraction of their price. What is paid on top is the overpay: strike + premium − share price. Measured on real quotes (NBBO) at 12:00 New York every Wednesday and Friday from 02 Jan 2026 to 18 Sep 2026: 72 days; the medians are shown.
How deep for each term
The least depth at which the option moves like the shares: its delta is at least 0.95, i.e. at least 95 cents per $1 of the share’s move. Dollars are at MU $988.08 (18 Sep 2026), on one share; a contract is 100 shares.
| Term | In the money by | Strike | Overpay at the ask | At the mid | A year’s rateon the strike | A year of rolling% of the price: ask · mid | Delta | Leverage |
|---|---|---|---|---|---|---|---|---|
| same day (0DTE) | 5% | ≈ $939 | $2.080.21% of the price | $0.110.01% | — | — | 0.97 | ×19.3 |
| 1–2 days | 15% | ≈ $840 | $4.770.48% of the price | $1.500.15% | 96.9% | 88.1%27.7% | 0.97 | ×6.5 |
| 3–4 days | 10% | ≈ $889 | $4.870.49% of the price | $0.470.05% | 63.2% | 60.0%5.8% | 0.97 | ×9.5 |
| a week | 20% | ≈ $790 | $8.430.85% of the price | $3.450.35% | 49.2% | 44.5%18.2% | 0.95 | ×4.8 |
| two weeks | 30% | ≈ $692 | $8.270.84% of the price | $4.050.41% | 28.7% | 21.8%10.7% | 0.97 | ×3.2 |
| a month | 40% | ≈ $593 | $10.381.05% of the price | $5.560.56% | 19.5% | 11.3%6.0% | 0.97 | ×2.4 |
| two months | 50% | ≈ $494 | $13.051.32% of the price | $8.840.90% | 14.6% | 6.9%4.7% | 0.97 | ×1.9 |
- The longer the term, the deeper: for MU the same day needs 5% in the money, a week 20%, a month 40%, two months 50%. Over a longer time the share can go further, so the insurance inside the option costs more.
- There is no free leverage. At the mid the overpay is insurance plus interest: the strike is paid only at exercise, and the Call prices that loan at the market rate of about 4.2% a year (a month out, $1.98 a share). Deeper strikes carry less insurance, but the interest stays and the leverage falls (×2.4 a month out).
- The main cost is the spread: deep in-the-money quotes are wide (a week out $8.52, 0.86% of the price), and buying at the ask gives away half of it. A week out the overpay is $8.43 a share at the ask and $3.45 at the mid; a limit order near the mid is much cheaper but does not always fill.
- Per year, short terms cost more: holding the position for a year and buying the option again at the ask at every expiry costs 44.5% of the price a year through weeklies, 11.3% through monthlies and 6.9% through two-month options (at the mid 18.2%, 6.0%, 4.7%).
- The least overpay is on the same day: at 5% in the money it is $2.08 a share at the ask (0.21%), leverage ×19.3, but the position lives only until the close.
- At expiry an in-the-money option is exercised: the Call buys 100 shares at the strike, which takes cash or margin. Selling the option before that at the bid costs the other half of the spread.
Overpay by term and depth · MU Call · at the ask
In each cell: the overpay in percent of the share price, below it in dollars per share at $988.08 and the delta. Tinted: the option moves like the shares (delta ≥ 0.95); outlined: the least such depth for the term.
| In the money by | 0DTE | 1–2 d | 3–4 d | week | 2 weeks | month | 2 months |
|---|---|---|---|---|---|---|---|
| at the money≈ $988 | 0.76%$7.48 · Δ 0.52 | 2.44%$24.08 · Δ 0.52 | 2.04%$20.12 · Δ 0.52 | 4.23%$41.82 · Δ 0.53 | 5.95%$58.82 · Δ 0.54 | 9.19%$90.81 · Δ 0.56 | 14.99%$148.16 · Δ 0.58 |
| 1%≈ $978 | 0.40%$3.99 · Δ 0.71 | 2.23%$22.07 · Δ 0.57 | 1.37%$13.51 · Δ 0.60 | 4.13%$40.84 · Δ 0.56 | 5.98%$59.08 · Δ 0.56 | 8.84%$87.36 · Δ 0.57 | 12.24%$120.98 · Δ 0.59 |
| 2%≈ $968 | 0.29%$2.87 · Δ 0.83 | 1.79%$17.70 · Δ 0.63 | 1.11%$11.00 · Δ 0.67 | 3.57%$35.30 · Δ 0.60 | 5.40%$53.34 · Δ 0.59 | 8.40%$83.01 · Δ 0.59 | 13.63%$134.72 · Δ 0.60 |
| 3%≈ $958 | 0.24%$2.33 · Δ 0.92 | 1.56%$15.38 · Δ 0.68 | 0.76%$7.55 · Δ 0.75 | 3.15%$31.16 · Δ 0.63 | 5.03%$49.65 · Δ 0.61 | 8.08%$79.82 · Δ 0.60 | 13.17%$130.17 · Δ 0.61 |
| 5%≈ $939 | 0.21%$2.08 · Δ 0.97 | 1.02%$10.07 · Δ 0.79 | 0.63%$6.20 · Δ 0.87 | 2.56%$25.25 · Δ 0.70 | 4.15%$41.04 · Δ 0.66 | 6.80%$67.22 · Δ 0.64 | 11.99%$118.48 · Δ 0.64 |
| 7.5%≈ $914 | 0.27%$2.69 · Δ 0.99 | 0.78%$7.72 · Δ 0.86 | 0.52%$5.16 · Δ 0.94 | 1.94%$19.17 · Δ 0.77 | 3.29%$32.47 · Δ 0.72 | 5.75%$56.80 · Δ 0.68 | 9.72%$96.05 · Δ 0.66 |
| 10%≈ $889 | 0.27%$2.67 · Δ 0.99 | 0.65%$6.42 · Δ 0.92 | 0.49%$4.87 · Δ 0.97 | 1.50%$14.78 · Δ 0.83 | 2.68%$26.47 · Δ 0.77 | 4.94%$48.78 · Δ 0.72 | 8.70%$85.94 · Δ 0.69 |
| 15%≈ $840 | 0.41%$4.05 · Δ 1.00 | 0.48%$4.77 · Δ 0.97 | 0.76%$7.49 · Δ 0.99 | 0.97%$9.56 · Δ 0.91 | 1.74%$17.15 · Δ 0.86 | 3.63%$35.91 · Δ 0.80 | 6.74%$66.55 · Δ 0.75 |
| 20%≈ $790 | 0.60%$5.98 · Δ 1.00 | 0.47%$4.63 · Δ 0.98 | 0.78%$7.73 · Δ 0.99 | 0.85%$8.43 · Δ 0.95 | 1.23%$12.16 · Δ 0.92 | 2.54%$25.07 · Δ 0.86 | 5.14%$50.80 · Δ 0.81 |
| 30%≈ $692 | 0.67%$6.66 · Δ 1.00 | 0.43%$4.30 · Δ 1.00 | 0.70%$6.93 · Δ 1.00 | 0.68%$6.73 · Δ 0.99 | 0.84%$8.27 · Δ 0.97 | 1.42%$14.03 · Δ 0.94 | 3.11%$30.72 · Δ 0.89 |
| 40%≈ $593 | 0.56%$5.53 · Δ 1.00 | 0.56%$5.49 · Δ 1.00 | 0.74%$7.27 · Δ 1.00 | 0.54%$5.32 · Δ 0.99 | 0.66%$6.54 · Δ 0.99 | 1.05%$10.38 · Δ 0.97 | 1.96%$19.33 · Δ 0.94 |
| 50%≈ $494 | 0.71%$6.98 · Δ — | 0.71%$6.99 · Δ 1.00 | — | 0.59%$5.79 · Δ 1.00 | 0.62%$6.18 · Δ 1.00 | 0.89%$8.79 · Δ 0.99 | 1.32%$13.05 · Δ 0.97 |
What the overpay is made of · 1–2 days
By put–call parity the overpay at the mid is two things: the price of the out-of-the-money Put at the same strike — the insurance the option carries, since it cannot lose more than it cost — and interest: the strike is paid only at exercise, so the Call holds a loan of the strike at the market rate, less dividends. Buying at the ask adds half the spread; selling at the bid later costs the other half. The market rate in these options is about 4.2% a year.
| In the money by | Option at the ask | Overpay at the ask | Half the spread | InsurancePut at the strike | Interest | A year’s rateask · mid | Delta | Leverage | Days |
|---|---|---|---|---|---|---|---|---|---|
| at the money≈ $988 | $25.46 | $24.082.44% | $0.460.05% | $22.612.29% | $0.350.04% | 420.9%412.6% | 0.52 | ×37.0 | 19 |
| 1%≈ $978 | $31.16 | $22.072.23% | $0.490.05% | $21.962.22% | $0.420.04% | 443.3%432.3% | 0.57 | ×31.1 | 37 |
| 2%≈ $968 | $37.95 | $17.701.79% | $0.590.06% | $17.071.73% | $0.390.04% | 368.8%350.3% | 0.63 | ×25.5 | 37 |
| 3%≈ $958 | $44.83 | $15.381.56% | $0.600.06% | $13.561.37% | $0.380.04% | 312.0%288.4% | 0.68 | ×21.8 | 37 |
| 5%≈ $939 | $59.77 | $10.071.02% | $0.850.09% | $8.810.89% | $0.430.04% | 208.1%196.0% | 0.79 | ×16.3 | 37 |
| 7.5%≈ $914 | $81.62 | $7.720.78% | $1.790.18% | $5.190.53% | $0.250.03% | 156.7%112.6% | 0.86 | ×11.9 | 37 |
| 10%≈ $889 | $105.33 | $6.420.65% | $2.220.23% | $2.960.30% | $0.550.06% | 133.4%77.3% | 0.92 | ×9.4 | 37 |
| 15%≈ $840 | $152.59 | $4.770.48% | $3.160.32% | $1.090.11% | −$0.03−0.00% | 96.9%30.1% | 0.97 | ×6.5 | 36 |
| 20%≈ $790 | $201.85 | $4.630.47% | $3.500.35% | $0.700.07% | $0.290.03% | 99.2%21.2% | 0.98 | ×4.9 | 33 |
| 30%≈ $692 | $300.42 | $4.300.43% | $4.720.48% | $0.160.02% | $0.130.01% | 115.0%6.6% | 1.00 | ×3.3 | 29 |
| 40%≈ $593 | $401.51 | $5.490.56% | $5.800.59% | $0.100.01% | $0.240.02% | 182.4%8.6% | 1.00 | ×2.5 | 19 |
| 50%≈ $494 | $501.71 | $6.990.71% | $7.150.72% | $0.100.01% | −$0.33−0.03% | 238.8%−5.7% | 1.00 | ×2.0 | 9 |
Each column is a median over the days, so the parts need not add up to the overpay to the cent. Typical expiry: 2 calendar days.
How it is calculated
- Days: every Wednesday and Friday of 2026 with a full session; QQQ through 25 Sep 2026, the stocks through 18 Sep 2026 (the end of the project’s minute prices for them).
- Share price: the close of the 11:59 minute (the last trade before 12:00). Option quotes: the vendor’s (Massive) last NBBO at or before 12:00:00, no older than five minutes; the listed contracts as of that day.
- Terms: for 0, 1, 3, 7, 14, 30 and 60 calendar days the first listed expiry on or after that day, grouped by the actual days left. Depths: the listed strike nearest the target depth; both the Call and the Put at every strike.
- Delta: Black–Scholes with the volatility implied by the out-of-the-money option at the same strike and the market rate above. A year’s rate: the overpay divided by the strike (Call) or the price (Put) and by the time to the expiry’s close.
- A year of rolling: the overpay times the number of such terms in a year, in percent of the share price. An in-the-money option is exercised at expiry, so no bid is paid; selling it at the bid instead would add half the spread every term.
- The market rate: the median interest part of Calls 10–50% in the money a month or two out on TSLA, AMD and NVDA, which pay (almost) no dividends.
research/deep_itm_leverage_2026-09-26/deep_itm.py·REPORT.md