Warrant — Call
A leveraged bet on a rise: the right to buy the underlying at the strike.
Payoff at maturity
Move the parameters; the product formula and its building blocks are recomputed from the same engine that is tested against the workbook.
- Product
Value 0 %
Per 10'000 of nominal
| Underlying at maturity | Level | Value | Amount | Gain / loss |
|---|---|---|---|---|
| −30 % | 70 % | 0 % | 0 | −10'000 |
| unchanged | 100 % | 0 % | 0 | −10'000 |
| +30 % | 130 % | 30 % | 3'000 | −7'000 |
For leverage products the nominal stands for the initial underlying level; the amount is the value of a position that controlled 10,000 of underlying at the start. Premium, financing and time value are not included.
Data table and formulas
Warrant - Call (2100): value per unit at maturity for an underlying at 0 % → 0 %; 100 % → 0 %; 200 % → 100 % of its initial level.
| Series | Formula | 0 % | 25 % | 50 % | 75 % | 100 % | 125 % | 150 % | 175 % | 200 % |
|---|---|---|---|---|---|---|---|---|---|---|
| Long Call - ATM | 1 × max(S − strike, 0) | 0 | 0 | 0 | 0 | 0 | 25 | 50 | 75 | 100 |
| Product | if S > strike: S − strike; otherwise 0 | 0 | 0 | 0 | 0 | 0 | 25 | 50 | 75 | 100 |
Largest difference between the sum of the blocks and the product formula over the grid: 0.0e+0.
How it is built
Each block drawn on its own, then added. The last chart is the sum, and it is identical to the product line above.
- Long Call - ATM1 × max(S − strike, 0)
- Productif S > strike: S − strike; otherwise 0
Largest gap between the sum of the blocks and the product formula on this grid: 0.0e+0. The same identity is tested for every product and scenario in the site's test suite.
Construction, as listed in the workbook
- Long Call - ATM
In plain English
A call warrant is a plain call option in securitised form. At expiry it is worth the amount by which the underlying exceeds the strike, or nothing. The chart shows this intrinsic value; before expiry the price also contains time value, which melts away towards expiry.
Because the premium is a fraction of the underlying price, small moves in the underlying produce large percentage moves in the warrant. Rising implied volatility raises the price of the warrant even if the underlying does not move.
Chances and risks
Chances
- Leverage on a rise with a known maximum loss (the premium).
- Gains from rising volatility.
Risks
- Total loss if the underlying ends at or below the strike.
- Time decay works against you every day.
- Issuer credit risk.
Who it fits
- Experienced investors with a short-term directional view.
Who it does not fit
- Long-term investors or anyone unable to lose the premium.
Nearby on the map
- 2100Leverage ProductsWarrant — Put
A leveraged bet on a fall: the right to sell the underlying at the strike.Leverage - 2110Leverage ProductsSpread Warrant — Bull
A call warrant with its gains capped, which makes it cheaper and less sensitive to volatility.Leverage - 2110Leverage ProductsSpread Warrant — Bear
A put warrant with its gains capped at a floor level.Leverage - 2200Leverage ProductsWarrant with Knock-Out — Call
A call that is already in the money and dies if the underlying touches the knock-out level.LeverageBarrier - 2200Leverage ProductsWarrant with Knock-Out — Put
A put that is already in the money and dies if the underlying touches the knock-out level above it.LeverageBarrier