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10-09-2012, 08:50 PM
(This post was last modified: 10-09-2012, 08:55 PM by AlphaQuant.)
(10-09-2012, 05:17 PM)CityFarmer Wrote: The new warrant (W170724) is valued @0.039, which mean the 3-years forward valuation of share is $0.439
the closing stock price is 0.41
the warrant has a strike of 0.40. maturing 2017, if u assume a dividend rate of 5-10% and no stock splits,
the forward price is 0.29.
based on a close warrant price of 0.039, the implied volatility is ard 35%. which is pretty close to the 1y sampled realised volatility, but rather low compared to the 3y historical, so looks quite cheap actually.
i'm not sure how useful implied volatility analysis is for these warrants though - u dun get enougn contracts to do a spread
and unless borrowiing costs of scrips is cheap enough, u cannot really go short and trade the gamma either.