Warrant — Put
A leveraged bet on a fall: the right to sell 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 % | 30 % | 3'000 | −7'000 |
| unchanged | 100 % | 0 % | 0 | −10'000 |
| +30 % | 130 % | 0 % | 0 | −10'000 |
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 - Put (2100): value per unit at maturity for an underlying at 0 % → 100 %; 100 % → 0 %; 200 % → 0 % of its initial level.
| Series | Formula | 0 % | 25 % | 50 % | 75 % | 100 % | 125 % | 150 % | 175 % | 200 % |
|---|---|---|---|---|---|---|---|---|---|---|
| Long Put - ATM | 1 × max(strike − S, 0) | 100 | 75 | 50 | 25 | 0 | 0 | 0 | 0 | 0 |
| Product | if S < strike: strike − S; otherwise 0 | 100 | 75 | 50 | 25 | 0 | 0 | 0 | 0 | 0 |
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 Put - ATM1 × max(strike − S, 0)
- Productif S < strike: strike − S; 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 Put - ATM
In plain English
The mirror of the call warrant: worth the amount by which the underlying is below the strike at expiry, or nothing. Put warrants are also used to hedge an existing long position for a limited period.
Time value and volatility behave as for the call: both are paid for in the premium, and time value disappears by expiry.
Chances and risks
Chances
- Leverage on a fall with a known maximum loss.
- Hedge for a portfolio over a defined period.
Risks
- Total loss if the underlying ends at or above the strike.
- Time decay.
- Issuer credit risk.
Who it fits
- Experienced investors hedging or expressing a short-term negative view.
Who it does not fit
- Anyone unable to lose the premium.
Features that can be added
Cross-category features from the workbook that issuers attach to this type.
Nearby on the map
- 2100Leverage ProductsWarrant — Call
A leveraged bet on a rise: the right to buy 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