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Strategies & Market Trends : Options 201: Beyond Obi-Wan-Kenobe
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To: Dan Duchardt who wrote (792)2/28/2003 7:56:01 AM
From: tyc:>  Read Replies (1) of 1064
 
The observation that the theta of a long term warrant we were discussing may be close to zero, is quite fascinating. It seems to me that the only cost of their cheap delta is theta, the erosion of time premium.

The observation seems to be corroborated by the price curve of a different warrant that expires a year earlier. Although at a much lower price level, this warrant appears to be still trading on the same price curve.... thus, theta over the past year has probably been zero.

I'm thinking of replacing common stocks with the same amount of delta provided by their warrants, and putting the freed capital to work elsewhere. There's a particularly high-yielding expiring mine that comes to mind... High yield and cheap delta on a volatile underlying, what better combination could there be ?

Let me know if you would like details of these (and other) Canadian long term gold warrants.(Although I am no expert on the subject)
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