About Warrant Formula |
| Field Name | Description |
| Code | ► Stock Code |
| Name | ► Warrant Name |
| Ref Price | ► Reference Price. ► The warrant’s last done price |
| Strike | ► The price at which an option may be exercised |
| Underlying | ► The mother share’s price |
| Gearing | ► A measure of how much the call warrant should outperform or under-perform the underlying share over a very
short period of time.
Effective Gearing = Gearing delta
► A gearing of 10 times and a delta of 0.50 would equate to an effective gearing of 5 times, which implies that every
RM1.00 exposure in a call warrant could equate to an effective exposure of RM5.00 in the underlying share.
|
| Prem (%) | ► Premium (%). ► Measures the amount (in %) the underlying share price has to move at expiry date for the investor to break even.
Premium = (Call warrant price + Exercise price) - Underlying share price
Underlying share price
► Positif- Value in Green negative - Value in Red |
| Maturity Date | ► Expiry Date. ► It is the day until which the call warrants can be exercised (American-style), or the day on which the call warrants
can be exercised (European-style).
|
Remaining Days
| ► Maturity Date - Current Date |
| Und/ Strike (%) | ► If the value is > 100% display in Green to denote IN the money
► If the value is <= 100% display in Red to denote OUTof the money |
| I.V | ► Implied Volatility. ► A measure of an underlying share’s expected volatility as reflected by the market price of the call warrants on that
underlying share using an appropriate model. It reflects the market expectations of future volatility in the share price.
An implied volatility of 30% means that the market expected variation of the share price movements is +30% to -30%,
on an annualized basis.
► All things being equal, generally, the higher the implied volatility, the higher the call warrant price. The concept of
implied volatility is not applicable for Zero-strike call warrants.
|
| H.V 90D | ► Historical Volatility for 90 days. |
| Delta | ► The relationship between the expected change in the call warrant price and the corresponding change in the
underlying share price.
Delta = Change in the call warrant price
Change in the underlying share price
► A delta of 0.50 implies that if the value of the underlying share changes by RM0.10, then the value of the call
warrant should change by RM0.05. Zero-strike call warrants have a delta of 1.
|
| Gamma | ► The rate of change in the delta of an option for a small change in the underlying. The rate of change is greatest
when an option is at-the-money and decreases as the price of the underlying moves further away from the strike
price in either direction. A long gamma position is one in which a trader is long options. For a position that is short
gamma, the opposite holds.
|
| Vega | ► Meas7ures the change in an option’s price caused by changes in volatility. Vega is at its highest when an option
is at-the-money. It decreases the more the market and strike prices diverge.
|
| Theta 7D | ► Theta 7 days.► This measures the effect on an option’s price of a one-day decrease in the time to expiration. The more the market
and strike prices diverge, the less effect theta has on a vanilla option’s price. |
| Isuuer | ► The issuer of the SW. |
| In-the-money | ► A call warrant is in-the-money when the underlying share price is above the exercise price of the call warrant,
i.e. the call warrant has intrinsic value. |
| Out-of-the-money | ► A call warrant is out-of-the-money when the underlying share price is below the exercise price of the call
warrant i.e. the call warrant does not have any intrinsic value. |
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