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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
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(x)
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
Moneyness is the strike price relative to the underlying price.
Outstanding QTY
The outstanding quantity is the public holdings of warrants.
Premium
Premium is the percentage the underlying price needs to move to break even on the warrant/CBBC price at expiry day.
Premium(%)
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
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
Type
Category R CBBCs may have residual value. The residual value is what the CBBC is worth after the mandatory call event.
Vega
Vega is the measurement of the warrant’s price sensitivity to changes in the volatility of the underlying asset.