Break even point

For Call: Strike Price + (Call Price x Entitlement Ratio)
For Put: Strike Price - (Put Price x Entitlement Ratio)
For Bull: Strike Price + (Bull Price x Entitlement Ratio)
For Bear: Strike Price - (Bear Price x Entitlement Ratio)

Call Level

Call price or level is the price at which a mandatory call event will occur if the underlying price reaches this level.

Days to Maturity

Days to Maturity is calendar days to maturity date.


Delta is the change in the warrant/CBBC price due to a change in the underlying price.

Effective Gearing(x)

Effective Gearing = Gearing xDelta

Entitlement Ratio

Entitlement ratio is the number of warrants/CBBCs required to convert to a single unit of the underlying.

Funding Cost

The funding cost is the cost to fund the position in the underlying.


Gearing = Share Price / (Warrant Price x Entitlement Ratio)

Implied Volatility

Implied volatility refers to the estimate of future price volatility of the underlying asset.

Lot Size

Lot Size is the quantity increment that the warrant/CBBC can be traded in.

Maturity Date

Maturity Date is when the warrant/CBBC expires.


Moneyness is the strike price relative to the underlying price.

Outstanding QTY

The outstanding quantity is the public holdings of warrants.


Premium is the percentage the underlying price needs to move to break even on the warrant/CBBC price at expiry day.


Premium(%) for a Call Warrant = {[Strike + (Warrant PricexEntitlement Ratio)] - Underlying Price}/Underlying Price x100%
for a Put Warrant = {Underlying Price-[(Strike - (Warrant Price x Entitlement Ratio)]}/Underlying Price x100%
Premium(%) for a Bull Contract = {[Strike + (CBBC Price x Entitlement Ratio)] - Underlying Price} /Underlying Price x 100%
for a Bear Contract = {Underlying Price -[(Strike - (CBBC Price x Entitlement Ratio)]} /Underlying Price x 100%

Spot difference

Spot difference is the difference between the call level and underlying price.

Strike Price

Strike price is a price at which a derivative contract can be bought or sold when it is exercised.


Theta is the daily decay of warrant value.

Tick Sensitivity

Tick Sensitivity = The change in warrant price in ticks for 1 tick change in underlying price


Category R CBBCs may have residual value. The residual value is what the CBBC is worth after the mandatory call event.


Vega is the measurement of the warrant’s price sensitivity to changes in the volatility of the underlying asset.