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Fundamental Analysis:


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Warrant Name:
Update : 2019-10-15 16:44
Data delay 15 minutes (to comply with SET's rule)
เจาะลึก DW คำนวณราคา DW เปรียบเทียบ DW Specification

Pricing

Warrant
KBAN41C2001A (CALL WARRANTS ON KBANK ISSUED BY JPM # A)
Underlying
KBANK (KASIKORNBANK PUBLIC COMPANY LIMITED)
Last (BHT) (Change) 0.05 (-16.67%) Last (BHT) (Change) 151.00 (2.37%)
Bid/Offer (BHT) 0.04 / 0.06 Bid/Offer (BHT) 150.50 / 151.00
High/Low (BHT) 0.05 / 0.05 High/Low (BHT) 151.50 / 148.00
Volume 410,000 Volume 9,608,000
Value 20,500 Value 1,436,507,350

Warrant Terms

Warrant Name KBAN41C2001A Strike 198.399
Underlying KBANK Ratio (Security:Underlying) 20.93802 : 1
Type Call First Trading Date 2019-07-31
Issue Amount 60,000,000 Last Trading Date 2020-01-14
Issuer JPM Expiry Date 2020-01-17
Exercise Type European Remaining Maturity (Days) 61

Assumed Values

Assumed Underlying Price
Assumed Time To Last Trading Date (Day)
Assumed Implied Volatility (%)
Note that BLS's Pricing Volatility is 57.74 %  
   

Simulated Results*

Simulated DW Price 0.05 Assumed Underlying Price 150.75
Simulated Effective Gearing (x) 12.74 Simulated All in Premium (%) 32.30
Assumed Implied Volatility (%) 37.14 Assumed Remaining Maturity (Days) 61
Underlying Price DW Price at various implied volatility levels
35.14% 36.14% 37.14% 38.14% 39.14%
148.00 0.03 0.03 0.03 0.04 0.05
148.50 0.03 0.03 0.04 0.04 0.05
149.00 0.03 0.03 0.04 0.04 0.05
149.50 0.03 0.04 0.04 0.05 0.05
150.00 0.03 0.04 0.04 0.05 0.05
150.50 0.03 0.04 0.04 0.05 0.06
151.00 0.04 0.04 0.05 0.05 0.06
151.50 0.04 0.04 0.05 0.05 0.06
152.00 0.04 0.05 0.05 0.06 0.06
152.50 0.04 0.05 0.05 0.06 0.07
153.00 0.04 0.05 0.06 0.06 0.07

*DW Prices and technical indicators are calculated slightly different from the model used for market making due to some limitations or unkowns. Therefore the simulated results might be different from the actual.
*The above calculaton is based on standard Black-Scholes assumption.

Disclaimer

  1. There is risk associated with this investment, investors should carefully study information before making the decision to invest.
  2. Bualuang Securities ("BLS") has a relationship with the securities in the paper as being market maker and issuer of derivative warrant. As a result, investors should carefully study information before making the decision to invest.
  3. This document is produced base upon sources believed to be reliable but their accuracy completeness or correctness is not guaranteed. The statement or expressions of opinion herein were arrived at after due and careful consideration to use as information for investment. Expressions of opinion contained herein are subject to change without notice. This document is not, and should not be construed as, an offer or the solicitation of an offer to buy or sell any securities. The use of any information shall be at the sole discretion and risk of the user.