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Result: Warrants
Underlying
Effective Gearing = (Delta x Underlying Spot) / (Warrant price x Entitlement Ratio)
Effective gearing is measuring the percentage change of the warrant price in reaction to a 1% change in underlying spot.
(Assuming all other factors remain constant, e.g. implied volatility unchanged)
Sensitivity = (Delta x minimum spread of underlying) / (Minimum spread of warrant x Entitlement Ratio)
Sensitivity is an estimate given the underlying spot moves by one tick (or minimum spread), how many ticks the warrant will move correspondingly.
Implied volatility(IV) is the market's forecast of a likely movement in the underlying spot.
Assuming all other factors remain constant, when IV increases,
the market expects the spot becomes more volatile and
the chance of ending up in-the-money increases which pushes up the warrant price, and vice versa.
Premium=[(Warrant price x Entitlement Ratio + Strike) – Underlying Spot]/Underlying Spot x 100%
Premium is the percentage difference between the market price of the underlying and
the price an investor pays for that security when buying and exercising the warrant.
Delta is an estimate of the expected move of the (adjusted) warrant price based on
a $1 change in the underlying spot.
Delta ranges between 0 to 1 for call warrant, and
between 0 to -1 for put warrants. (“-1”means moving in opposite direction)
Vega(%) is measuring the percentage change of the warrant price in reaction
to a 1% change in the implied volatility of the underlying asset.
(Assuming all other factors remain constant, e.g. underlying spot unchanged)