词条 | Turbo warrant | |||||||||||||||
释义 |
The strike price of the option is generally the same as the barrier: if the stock hits the barrier, the option expires and becomes worthless. Variations on turbos include: forms where the strike and barrier are not identical; forms where the barrier is only active at, for example, the close of business but the strike is continuously monitored (smart turbos); and forms with no fixed maturity (minis). For comparison, a regular call option will have a positive value at expiry whenever the spot price settles above the strike price. A turbo will have a positive value at expiry when the spot settle above the strike AND the spot has never fallen below the strike during the life of the option (if it had done so the option would have crossed the barrier (=strike) and would have become worthless). MarketsThe first turbo warrants appeared in late 2001.[2] In Germany, buying and selling turbo warrants constitute 50% of all speculative derivatives trading. They are mainly sold to a retail clientele looking for high leverage. Nordic Growth MarketAt the end of February 2005, Société Générale listed the first 40 turbo warrants on the Nordic Growth Market Nordic Derivatives Exchange. During February 2005 turbo warrant trading revenue was 31 million kronor, 56% of total NGM trading revenue of 55 million kronor. Hong Kong MarketTurbo warrants were introduced to Hong Kong Stock Exchange(HKEx) in 2006 in the name of Callable Bullish/Bearish Contracts (CBBC). By the end of 2011, turnover of CBBC comprises 10.84% of HKEx main board turnover. Price calculationSince the price of a turbo warrant behaves like a future contract (plus the barrier), we could say that a turbo is expensive or not related to its future contract. Example: Time 1 year Benchmark interest rates at 2% Stock ACME current price $10 dividend 5% Future contract (1 year)=10-(0.05*10)+(0.02*10)= $9.7 Turbo CALL 1 year parity 1:1 strike at $9 and bid-ask prices:0.98-1 ->related price=9+1=$10 After 1 year (d=dividend):
Comments:
When to use turbo warrants
ExchangesSecurities exchanges that trade this product.
See also
Notes1. ^Xindan Li, Avanidhar Subrahmanyam, Xuewei Yang. Can financial innovation succeed by catering to behavioral preferences? Evidence from a callable options market, Journal of Financial Economics, 128(1): 38-65, April 2018. https://dx.doi.org/10.1016/j.jfineco.2018.01.010 2. ^http://www.pwmnet.com/news/fullstory.php/aid/111/Boosted_leverage.html External links
1 : Options (finance) |
|||||||||||||||
随便看 |
|
开放百科全书收录14589846条英语、德语、日语等多语种百科知识,基本涵盖了大多数领域的百科知识,是一部内容自由、开放的电子版国际百科全书。