Refers to that plug the market price of warrants into the warrant pricing model (such as Black-Scholes model), and the value of volatility obtained by backward extrapolation can be understood as the market's expectation of the volatility of the underlying stock in the future warrant duration.The implied volatility is positively correlated with the price of warrant.That is, in the case of other conditions unchanged, the greater the implied volatility, the higher the price of warrants (whether call or put).
Callable Bull/Bear Contract
1. Call price
CBBC features amandatory call mechanism. When the underlying asset price of the CBBC touchesthe call price before the CBBC expires, the CBBC trading will be suspended, aMandatory Call Event will take place to the CBBC, and CBBC will be settled.
2. Gap percentage of call
It refers tothe percentage of gap between the CBBC call price and ruling price of theunderlying asset.
Gap percentageof call=(the CBBC latest price of the underlying asset—Call price)/Callprice*100%