i3gambler

TOPGLOV, Time to Look at its Structured Warrants.

i3gambler
Publish date: Fri, 10 Dec 2021, 09:20 AM
My Blog

 

TOPGLOV will announce its 1st Q result today, probably at noon time.

The 4th Q profit was 608m. However, most guru said this 1st Q profit should be around 250m to 400m only due to lower ASP.

The above screen show TOPGLV Historical Volatility, we can see the Volatility is picking up.


Therefore it is good time now to look at its structured warrants, both call warrants and put warrants.

We better calculate the fair value before we trade any structured warrants.

One of the very important input to calculation is the Volatility, we can not know the Volatility between now and the expiry of the structured warrant, so we can only look at the Historical Volatility for reference and from there predict.

See how I calculate the Volatility, using Crude Method.

1) Column C is the daily price change, the formula for Cell C2 is =ABS(LN(B2/B3))

2) Column D is the 10 Days average annualised Volatility, the formula for Cell D2 is =(245*PI()/2)^0.5*AVERAGE($C2:$C11)

3) Column E is the 30 Days average annualised Volatility, the formula for Cell E2 is =(245*PI()/2)^0.5*AVERAGE($C2:$C31)

4) Column F is the 60 Days average annualised Volatility, the formula for Cell F2 is =(245*PI()/2)^0.5*AVERAGE($C2:$C61)

5) Column G is the 90 Days average annualised Volatility, the formula for Cell G2 is =(245*PI()/2)^0.5*AVERAGE($C2:$C91)

Then copy and paste (Formula) downward.

Note:

The 245 is actually, assuming there are 245 trading days in a year.


So, what Volatility to be input into the calculation?

You look at the screen and decide lor.


Last one, very important, must say it loud for three times:

I am not Investment Advisor, Trade at your own risk after checking with your dealer / advisors.

I am not Investment Advisor, Trade at your own risk after checking with your dealer / advisors.

I am not Investment Advisor, Trade at your own risk after checking with your dealer / advisors.

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2 people like this. Showing 2 of 2 comments

Kukubai

Talk lj

2021-12-10 17:50

Kukubai

In the stock market, all the guru are guru lj, all the sifu are sifu cb

2021-12-10 17:52

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