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"Financial indicators" area in the search parameters of the warrants search

In the "Financial indicators" area of the warrants search, you can narrow down the search using financial indicators. To do this, select the checkboxes on the far left to select the corresponding criteria and specify your search criteria:

ID

Description

Omega

Enter the minimum and/or maximum allowed omega here.

The omega indicates the percentage by which the option value changes if the strike price changes by 1 percent.

Omega is an indicator that estimates the future (that is, "effective") leverage of a warrant. Because of its lower price, the option reacts stronger in value in percentage terms than the corresponding underlying. The warrant is therefore always more volatile than the underlying.

The omega is obtained by multiplying the delta by the current leverage. For example, a warrant with a current leverage of 10 and a delta of 50% has an omega of 5, that is, the warrant rises by about 5% if the underlying rises by 1%. However, it should be noted that delta and omega, like most other key figures, are constantly changing.

Implied volatility

Enter the minimum and/or maximum allowed percentage implied volatility here.

The implied volatility is the volatility that the warrant effectively allows for a security. Assuming that the effective price is identical to the fair price, you can calculate which volatility needs to be set for this price. This will be referred to as the implied volatility.

Delta

Enter the minimum and/or maximum allowed delta here.

Delta refers to the dependency of the warrants price on the underlying price. If the price of the underlying rises by one euro, then the warrant price should theoretically rise by the delta value. For calls, the delta is always between 0 and 1, and for puts between -1 and 0.

For example, if a warrant has a delta of 0.5, then the increase of an underlying by 10 EUR would result in the price of the option rising by 5 EUR. Because the warrant costs only a fraction of of the underlying, the percentage gain with warrants is substantially higher.

Warrants with a delta close to 1 react almost like equities. These are typically warrants which are heavily in the money and have partly lost their speculative character. At-the-money calls usually show a Delta of 0.5 while calls that are heavily out of the money have very small Deltas.

Vega

Enter the minimum and/or maximum allowed vega here.

The vega (sometimes referred to as "kappa") shows the dependency of the fair price on the volatility.

The higher the volatility of an underlying, the greater the value of the warrant. If the volatility of a the underlying increases, then the value of the warrant increases by the value called vega.

The vega thus indicates the expected absolute change in the warrant price in the event of a change in volatility by one percentage point. Calls and puts become equally expensive when volatility increases, so the vega is positive.

This parameter and all parameters below it in the table are hidden by default. For more information on displaying parameters, see Configuring the areas of the search parameters.

Time value

Enter the minimum and/or maximum allowed time value here.

The time value of a warrant is calculated from the difference between the actual price and the intrinsic value of the warrant. This value is always positive and is reduced as the expiration date approaches.

Fair value

Enter the minimum and/or maximum fair price allowed here.

The fair price is calculated according to the Black/ Scholes model.

Premium p. a.

Enter the minimum and/or maximum allowed premium p. a. here. (in percent).

The premium indicates the percentage by which the purchase of the underlying via the warrant is more expensive than the direct purchase of the underlying on the stock exchange.

The premium, or front-end load, is converted to one year in each case. This value makes for a better comparison of warrants with different expiration dates.

Break-even

Enter the minimum and/or maximum allowed break-even here.

The break-even point shows the minimum or maximum price that the underlying instrument must reach by the expiration date of the warrant for the purchaser of the warrant to be able to make a profit by exercising.

Volatility 1 month

Enter the minimum and/or maximum allowed monthly volatility (in percent) here.

Percentage value expressing the fluctuation intensity of a security price. This statistical value is determined based on the price movements in the last month.

Volatility 3 months

Enter the minimum and/or maximum allowed 3-month volatility (in percent) here.

Percentage value expressing the fluctuation intensity of a security price. This statistical value is determined based on the past price movements in the last three months.

Leverage

Enter the minimum and/or maximum allowed lever here.

The leverage shows how the warrant would behave on a purely calculated basis with a price change in the underlying instrument.

The leverage is calculated by dividing the current price of the underlying instrument by the current price of the warrant. If the warrant relates to a multiple or fraction of the underlying instrument, then this factor must be taken into account accordingly in the calculation.

Spread

Enter the minimum and/or maximum spread here.

The spread is the margin between the buying and selling price of the warrant.

Spread, relative

Enter the minimum and/or maximum relative spread here.

The relative spread is the percentage spread between the buying and selling price of the warrant.

Theta 1 week

Enter the minimum and/or maximum allowed theta here.

The weekly theta of a warrant shows by what amount the time value decreases in a week.

Warrants lose their premium over time until they have only their intrinsic value on the expiration date. The amount of the always negative theta increases with the shortening remaining term of the warrant.

The Theta is particularly interesting for option sellers; that is, then you have sold a call or put. For each day that the price does not move significantly, the option seller earns the time value.

Gamma

Enter the minimum and/or maximum allowed gamma here.

The gamma measures the sensitivity of the delta in relation to changes of the underlying price.

The gamma shows by what amount the delta has changed when there is change in the underlying price. The Gamma must always be positive.

Formula: Delta old + gamma = delta new

Example

The price of one equity rises from EUR 100 to EUR 101. Initially, a call has a delta of 0.50. The increase in the equity price to EUR 101 changes the delta to 0.55. The gamma is then 0.05. In other words: The option will track future changes in the underlying asset in the same direction to a greater extent in absolute terms. The gamma is positive for both calls and puts, because the delta of the call changes from 0 to +1 and the delta of the put from -1 to 0 (and thus becomes larger in both cases). It is generally assumed that prices are constantly rising.

Rho

Enter the minimum and/or maximum allowed rho here.

Rho (sometimes referred to as "epsilon") indicates how the value of a warrant behaves when the interest rate changes by one percent.

Because the interest on risk-free investments is also taken into account in the fair price calculation, you can also calculate the change in a warrant's value given a change in the interest rate.

The impact is generally less for warrants with a short remaining term than for warrants with a longer remaining term.

Intrinsic value

Enter the minimum and/or maximum allowed intrinsic value here.

The intrinsic value of a warrant is the difference between the current underlying price and the strike price. It indicates the amount that would be achievable by exercising the warrant.

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