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Politics : Ask Michael Burke
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To: Mama Bear who wrote (86204)12/3/2000 6:47:32 PM
From: RockyBalboa  Read Replies (1) of 132070
 
Barb,

by occasion I stomped on the EUN/WS (the new merril Euro/$ wts) yesterday and put it into an option calculator with:

Price = 3.81, $/EUR = .8785, Strike = .8695 ratio = .017391 (1/(50/.8695)), own interest 6.5% foreign (EURO) 4.50% and it returns an implied vol of about 14% which appears a tad high at first glance, when compared to the 13.10/13.40 the option markets quote OTC options.

But the wts may trade at a sort of retail markup, OTC contracts are traded by the million while I can hedge my mini $ portfolio buying those warrants for a certain amount.

As of today:

$/EUR Fair Value

.75   0.84
.80   1.68
.85   2.93
.8785 3.83
.90   4.58
.925  5.54
.95   6.58
1.00  8.84
1.10 13.85
1.25 21.86

Can't tell how it behaves on the market after just one trading day.

Regards

Chr.
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