Current location - Trademark Inquiry Complete Network - Futures platform - The higher the stock volatility, the lower the option value, and the higher the value of convertible corporate bonds.
The higher the stock volatility, the lower the option value, and the higher the value of convertible corporate bonds.
1. Volatility is the degree of fluctuation of the price of financial assets, and it is a measure of the uncertainty of the rate of return on assets, which is used to reflect the risk level of financial assets. The higher the volatility, the more violent the fluctuation of financial asset prices, and the stronger the uncertainty of asset return; The lower the volatility, the smoother the fluctuation of financial asset prices, and the stronger the certainty of asset return < P > 2. From the economic sense, the main reasons for the volatility come from the following three aspects:

1. The impact of macroeconomic factors on an industrial sector, that is, the so-called system risk;

2. The impact of a specific event on an enterprise, that is, the so-called non-systematic risk;

3. The effect of investors' psychological state or expected changes on stock prices

3. The value of options is mainly composed of the following two kinds of values: option value = embedded value+time value

1. Connotation value of options refers to the part of the option price that reflects the relationship between the option price and the current futures price. As far as long option is concerned, its connotation value is the value of the current futures price higher than the option finalization price. If the futures price is lower than or equal to the strike price, then the intrinsic value of the option is zero, but it cannot be negative; As far as short option is concerned, its connotation value is the part of the current futures price that is lower than the strike price of the option. If the futures price is higher than or equal to the strike price, then the intrinsic value of the option is zero. The connotative value of short options cannot be negative.

2. The time value of the time value option refers to the time value of the option. For example, if the option price of a long option is 9, the strike price is 75, and the futures price at that time is 78, then the connotative value of the option is 3, that is, 78-75, and the time value is 6, that is, 9-3. The time value of options not only reflects the time risk during the trading period of options, but also reflects the risk of market price changes. During the validity period of the option, the change of the time value of the option is a process from big to small, from existence to absence. Generally speaking, the time value of an option is directly proportional to the duration of its validity. It can be seen that the option in the price is at least equal to its connotation value; Out-of-price options only have time value, and the longer the time, the greater the value, because the higher the cost of financing.

iv. the conversion value of convertible corporate bonds is the value directly converted into stocks, and its calculation formula is: conversion value = current stock price × conversion ratio. When the conversion price or conversion ratio is not adjusted, the change of conversion value is only related to the price of the underlying stock, so the analysis of the change trend of conversion value should be the same as that of the underlying stock price.