Gearing and the ASX 200 index

[Seneca60BC]

Hi all

I understand that as a rough guide, one can calculate the approximate change in the share price and the corresponding change in the warrant price using the gearing value - how does one calculate the approximate change in the warrant price for a ASX200 index warrant.

Say, if the ASX200 went up by 60 points, what is the expected change in the price of the warrant, all else equal.

thanks

 

[Trembling Hand]

Re: Gearing and the ASX200 index

the company that wrote the warrant will normally publish a daily sheet with price guides. have a look at their websites.

 

[Seneca60BC]

Re: Gearing and the ASX200 index

But i have not seen any for indicies.

 

[wayneL]

Re: Gearing and the ASX200 index

Hi all

I understand that as a rough guide, one can calculate the approximate change in the share price and the corresponding change in the warrant price using the gearing value - how does one calculate the approximate change in the warrant price for a ASX200 index warrant.

Say, if the ASX200 went up by 60 points, what is the expected change in the price of the warrant, all else equal.

thanks

It depends on a lot of things; read this thread https://www.aussiestockforums.com/forums/showthread.php?t=1366

As a warrant behaves like an option, there are some answers there. But be aware that conversion ratios, if any, will affect things.

 

[GreatPig]

Re: Gearing and the ASX200 index

The Black-Scholes option pricing formula seems to work pretty well with index warrants (except the ABN Amro minis which are more like CFDs). The conversion ratio is usually 200 (or 0.005, depending on which way you look at it).

GP