Lazarre,I can't give an exact price, but can offer a few data points.
I'm using Black-Scholes to value the warrants, which probably tends
to overvalue warrants since the model is designed for options. But,
it still does provide some analytic data points.
With the stock at 2 3/4, an implied volatility of 0.4 (from their
10k), interest rates at 6%, a duration of 3yrs 7 months, and
a $6.5 strike price, an option should trade for 31 cents,
vs the warrant at 3/8 x 17/32. But the warrants are callable at
$7.80, so you can't value them at 31 cents. You've essentially sold
a call that has a value of 21cents, so the spread is worth 10 cents.
Figure fair value somewhere between a dime and 31 cents.
The way the spreads have been on the warrants, you just might break even if the stock goes up to $5.
Hope this helps somewhat. Trying to value these types of warrants
via the BS model is difficult. Anyone out there know how to make
the appropriate adjustments?
Carl |
