Large market moves such as this week’s carnage can lead to widened spreads in warrants, increase in implied volatility levels

❕Do you know?

↔With the plunge in markets this week, you may find the offer spreads on many warrants being widened due to warrant deltas changing dramatically.

✳✴Some put warrants may have become very deep in-the-money (typically with delta above 85%), while call warrants would have become very far out-of-the-money (typically with delta less than 10%) given today's plunge in stock/index levels

🚫When this happens, you would notice that the offer spreads of warrants have been widened to discourage investors from buying these warrants e.g. DBS call $DBS MB eCW260730(FQCW.SI)$ (https://warrants.com.sg/tools/livematrix/FQCW)

✅Investors interested in buying should consider warrants on tight spreads instead e.g. DBS call $DBS MB eCW260630(9OJW.SI)$ (https://warrants.com.sg/tools/livematrix/9OJW)

👀Those who previously bought warrants which were quoted on tight spreads but which offer prices have since been widened, can be rest assured that the bid prices remain fair and will move in line with what is set out in the live matrix

🔼Another phenomenon during such large market moves is that implied volatility levels would have spiked in the exchange traded options market, potentially resulting in a similar spike in warrant implied volatility levels and warrant prices across call and put warrants

☎For any questions on warrant pricing and spreads, please contact us at +65 6601 0289