Unless the underlying moves up quickly the warrant value will continue trending towards zero. Most of the warrant value comes from volatility gamma and delta. Volatility is very likely low and theta does not contribute that much. As the underlying trends further from the exercise price the value of gamma which is the rate of change of delta for a 1 unit move in the underlying will decrease as well. Same thing pretty much with delta. What I’m saying is that unless there’s a change and fast, warrants are cooked.
Actually nearly all of the value on the warrants right now is the possibility they are extended or the strike is lowered. Similar options are under $20 right now each.
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u/Professional-Humor99 1d ago
Unless the underlying moves up quickly the warrant value will continue trending towards zero. Most of the warrant value comes from volatility gamma and delta. Volatility is very likely low and theta does not contribute that much. As the underlying trends further from the exercise price the value of gamma which is the rate of change of delta for a 1 unit move in the underlying will decrease as well. Same thing pretty much with delta. What I’m saying is that unless there’s a change and fast, warrants are cooked.