DYL 1.14% $1.34 deep yellow limited

DYLO Pricing

  1. 96 Posts.
    One and all...

    Would any of you be able to provide some commentary on what you think an appropriate price for the Depp Yellow Cal 2022 $0.50 Warrant might be please?

    When I pull up my Bloomberg it comes up with the following:-
    Underlying Price: 0.2875
    Warrant price: 0.076
    Gamma: 0.3853
    Vega, Theta, Rho = all 0
    Time value: 0.08
    Gearing: 3.78
    Breakeven: 98.26%
    Implied Vol: 46.29
    Forward: 0.3194
    AUD Rate (Semi) 2.131%

    I'm an options novice....what are the important paramaters with regards to the warrant pricing and what do you believe should be "fair value" for the Warrant at the moment?

    Thanks
    Nick
 
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