Warrant Education
Delta
We wrote about Delta per share and Warrant Sensitivity in the Daily Trader on Monday 11 Aug 08. Delta shows the approximate change in the price of the warrant for a small change in the underlying share (or asset). For example, a delta of 60% means that if the underlying share (or asset) moves $0.10, the warrant should move approximately $0.06 or 60% of the movement of the stock (assuming all other factors are unchanged).
Delta for calls and puts
Deltas for call warrants range between 0% to 100%, while deltas for put warrants range between -100% to 0%. The negative number for the delta of the put warrants is due to the inverse relationship between the price movement of put warrants and their respective underlying shares (or assets).
Delta and Moneyness
For at-the-money (ATM) warrants, the delta is approximately 50%. In-the-money (ITM) warrants tend to have deltas between 50% to 100% for calls (-50% to -100% for puts), while out-of-the-money (OTM) warrants tend to have deltas between 0% to 50% for calls (0% to -50% for puts).
For a full list of warrants with their different parameters including free LIVE pricing, please log on to www.warrants.com.sg