Hmmm... I know this is not what you want to hear but what you...

Hmmm... I know this is not what you want to hear but what you describe is normal for Warrant trading and MM's will set the I/Vol according to underlying price movements ... remember the higher the risk of a price movement ... the higher the I/Volatility.

That is BSOPM modelling ... I haven't crunched NCPWGC so not commenting on fair value.

Remember, even slight increases in I/Vol work in your favour if you are holding and sharp upward underlying price movement ... cause an increase in I/Vol and the value of your Warrant ... and your profit when you sell.

Those who entered NCP warrants on Friday ahead of todays rally would be benefiting from any increase in I/Volatility today ...

This is one reason I continually talk of EARLY ENTRIES ... to take advantage of I/Vol arbitrage.

Conversely, where Puts are sold down due to a rally ... you will observe I/Vol will also favour earlybirds ahead of the next reversal.

Remember also, that the primary role of MM is to protect/trade Issuer premium income ... not be your buddy.


This is only my view ... read the red stuff.