i3gambler

TOPGLOV-C2C

i3gambler
Publish date: Sun, 26 Dec 2021, 05:49 PM
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1) Expiry:

The expiry is actually on 29th July 2022.

However, I prefer to input 26th July 2022, the 3rd day of the 5 settlement days as the effective Expiry.

 


2) Dividend Yield:

The latest dividend payout 1.20 sen was ex-dated on 24th Dec 2021, I expect the same 1.20 sen dividend in March and June 2022.

 


3) Interest Rate:

2.00%

 


4) Volatility:

The latest 10 / 30 / 60 / 90 days Historical Volatility are 59% / 89% / 65% / 62%.

I do not want to input any of the above, I have a new idea.

From now to Expiry, there will be around 142 trading days,

The average Historical Volatility for the past 142 trading days was 51.4%.

Assume there will be a mirror image, I prefer to input 51.4%.

 


5) Fair Value Calculation:

As the exercise ratio is 3.00, The Fair Value of TOPGLOV-C2C is RM0.0808.

 


6) What if:

a) Volatility = 20%, Fair Value = RM0.0157

b) Volatility = 30%, Fair Value = RM0.0351

c) Volatility = 40%, Fair Value = RM0.0562
 
d) Volatility = 60%, Fair Value = RM0.0999
 
e) Volatility = 70%, Fair Value = RM0.1219
 
f) Volatility = 80%, Fair Value = RM0.1436
 
You see, Volatility is very Critical in Fair Value calculation.
 
 

7) Warning:

Please take note that the mother share price is RM2.19, still RM0.26 below the exercise price of RM2.45. Therefore, it is very likely TOPGLOV-C2C will end-up a TOTAL LOSS.

This article is for educational purpose, no recommendation for BUY or SELL, consult your dealer / broker before trading.

Last one, very important, must say it 3 times,

Trade at your own risk.

Trade at your own risk.

Trade at your own risk.

 

 

 

 

 

 

 

 

 

 

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Be the first to like this. Showing 5 of 5 comments

i3gambler

Sold all at RM0.09,
Aiya, sold too early.

2021-12-27 13:24

ahbah

" Therefore, it is very likely TOPGLOV-C2C will end-up a TOTAL LOSS. "

2021-12-27 15:24

i3gambler

True, it is very likely to end-up TOTAL LOSS,
However, there is "Not So Likely" we will make more than 100% Profit.
Average out, the fair Value was RM0.08 yesterday.

Of course, right now the Fair Value is RM0.1166 when mother share is RM2.40.

2021-12-27 16:19

i3gambler

Valid for 28/12/2021 only, Fair Value of C2C:

1) TOPGLOV=2.30, C2C=0.100
2) TOPGLOV=2.32, C2C=0.104
3) TOPGLOV=2.34, C2C=0.107
4) TOPGLOV=2.36, C2C=0.111
5) TOPGLOV=2.38, C2C=0.115
6) TOPGLOV=2.40, C2C=0.118

2021-12-28 09:19

i3gambler

140+/- trading days before effective Expiry,
Volatility for the past 140 trading days = 52.5%, input this to Calculator.

Valid for 29/12/2021 only, Fair Value of C2C:

1) TOPGLOV=2.30, C2C=0.100
2) TOPGLOV=2.32, C2C=0.104
3) TOPGLOV=2.34, C2C=0.107
4) TOPGLOV=2.36, C2C=0.111
5) TOPGLOV=2.38, C2C=0.115
6) TOPGLOV=2.40, C2C=0.119
7) TOPGLOV=2.42, C2C=0.122
8) TOPGLOV=2.44, C2C=0.126
9) TOPGLOV=2.46, C2C=0.130
10) TOPGLOV=2.48, C2C=0.134
11) TOPGLOV=2.50, C2C=0.138

2021-12-29 08:09

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