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Strategies & Market Trends : Canadian Options
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To: tyc:> who wrote (1586)7/10/2010 8:45:10 AM
From: Clark Kent  Read Replies (1) of 1598
 
Using HV of 49.5 I get a delta of .088

I'm obviously not calculating the Delta correctly.
I played with the parameters but am not sure what I'm doing

The "delta" indicates how the price of the call will change relative to a change of the underlying common stock. To put this into different words, the warrant will move up the same amount as the delta times the common stock price. The common stock was priced at $51, so 38% of that is 19.38, which was 12X the $$1.60 that the warrant was selling for.... ergo the call offered 12x leverage.

So to calculate leverage divide the price of the call into the price of the common stock times the delta of the call.

38% of $51, divided by $1.60.

Now, what is the leverage of the calls you hold ?
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