warrant market
Term sheets for all SG warrants can be downloaded from this website, theta.
The sensitivity of a warrant's value to the passage of time, theta, % week shows the theoretical fall in warrant price in 7 days with all other factors remaining the same.
warrant market
Time decay, a term used to describe how the value of a warrant erodes or reduces with the passage of time.
Time decay is quantified by theta, time value.
The portion of a warrant's price that is not accounted for by the intrinsic value, underlying or underlying security.
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The security over which the warrant is issued, vDAX.
Volatility index for the German DAX, often used as a proxy for European volatility levels, volatility IndeX, which gives a measure of implied volatility for the US S&P index.
Vega, the sensitivity of a warrant's theoretical value to a change in volatility, volatility.
Volatility represents the magnitude of the price of the underlying security's movements during a specific time period, the historical volatility of the underlying security can be calculated taking the annualised standard deviation of its return during a defined period.
However, when pricing a warrant, it is necessary to take into consideration the volatility which is anticipated or ''implied'' by the financial markets for the period equal to the maturity of the warrant as it estimates the probability that the warrant will expire in-the-money or more deeply so, warrant.
equity derivative
A Securitised Derivative that cannot be short sold, warrants are issued by a financial institution, which defines their characteristics.
They are traded on the LSE and settled through CREST, in the same manner as share trades, 'Welcome to the new look SG Warrants website.
