Warrant scoring is based on the comprehensive evaluation of the degree of out-of-the-money, duration, bid-ask spread, and out-of-stock volume. The score ranges from 0-12 points.
Higher scores may be derivatives that are more suitable for continuous observation under the balance of return and risk.
This scoring tool does not count factors such as trading volume, premium, implied volatility, etc. Investors should pay special attention when referring to the data. The specific criteria for scoring are as follows.
Type\Score | 0 | 1 | 2 | 3 | 2 | 1 |
Extra-money | More than 10% in the price | In-the-money 5% to 10% | 5% within the price to discount | Discount to 5% off-price | 5% to 20% off the price | More than 20% off the price |
Bid-ask spread | Best bid-ask spread +3 or more | Best bid-ask spread +2 | Best bid-ask spread+1 | Best bid-ask spread | ||
Outstanding Quantity | above 50 | 25% to 50% | 10% to 25% | 0% to 10% | ||
Maturity days | 0 to 45 days | 45 to 90 days | 90to 150days | 150 to 270 days | 270to 360 days | 360 days or more |
XX Subscription Certificate A
Strike price 150 yuan
Expiry date July 5, 2016
Bid price/sell price 0.112/0.114
Outstanding Quantity 12.2%
Assuming that the current trading day is January 8, 2016, which is 179 days before the return; the current price of the linked asset is 146 yuan, which is 2.7% outside the price of this round.
Assuming that this round of hedge value is 49.5%, the exchange ratio is 100 to 1, that is, the sensitivity is 1 bar per tick of the underlying stock, the theoretical price of the round fluctuates by 1 bar, and the best bid-ask spread is 1.
According to the scoring criteria, the out-of-the-money degree is 2.7%, and you can get 3 points; the expiry date is between 150 and 270 days, you can also get 3 points; the bid-ask spread is the best bid-ask spread plus 1 bar to get 2 points; out-of-marketvolume between 10% and 20% can get 2 points. According to statistics, the score for this round is 3+3+2+2 = 10 points.
Disclaimer
Different investors have different abilities to bear risks, and there will be deviations in the interpretation and definition of risks. Therefore, the scoring is only for reference and does not mean that it is suitable for all investors.
The score does not buy into any opinions or suggestions on the conclusion of any transaction. Investors need to maketheir judgmentsand bear their profitsand losses when making investment decisions.