Price sensitivity

Dynamic indicator that measures the change in price of a warrant when the underlying’s value changes

Price sensitivity can be between zero and one for a call, and between zero and minus one for a put.

Warrants that are well out of the money show relatively little change in price when the underlying changes and thus have a price sensitivity near 0. A warrant that is deep in the money, in contrast, is comprised almost exclusively of an internal value. The development of the warrant and the underlying occur almost in parallel. The price sensitivity in this case is near 1 or -1.

Synonym: Delta (warrants)

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