has the horse got a broken leg, page-8

Guess at option price.

Stock is still cum-Capital Return. After this it should drop by 7.5c.

All other things being equal...

Based on today's pricing of $1.36, ex-price will be $1.285. When it is ex-option entitlement, the price will drop further (eg today you are really buying 10 shares and rights to 1 option, exercisable at $1.00). Theoretical formula gives a ex-entitlement price of $1.259, with options have an intrinsic value of $0.25. (Ex-price is based on 10x current price ($1.285-ex-capital return price) + $1.00 exercise price / 11 (total number of new shares). This is if the options really were rights. Arguably, the options have a higher value than straight rights due to time factor, and therefore price decrease "may" be greater...

Using an ex-price of $1.259, option exercise price of $1.00, 2 years to expiry, expected volatility of 50%, risk-free rate of 6.3%, you get an option price of $0.512, using Black Scholes pricing model. If expected volatility is 40%, price becomes $0.464. If expected volatility is 60%, price becomes $0.562.

All of the above is theoretical, and supply and demand will also have a significant impact on the value of the options.

So your estimate of 75-80c may be a bit optimistic

Cheers
Marvin