TIDM – Tradeable Instrument Display Mnemonic: an alphanumeric code issued by the Exchange to identify securities
Underlying – search for part of the name of the underlying instrument

This is a free-text search, so partial matches will be returned too. For instance, it is often enough to use the first few characters of a TIDM (e.g. 'G0', instead of 'G086'). The search is not case sensitive.

Search

The search page allows you to define a search using the following drop-down menus:

Underlying –- name of underlying security
Issuer – name of institution that issued the warrant
Instrument – Covered warrant or stop-loss (see Product descriptions)
Category – choose between warrants based on Equities, Indices, Commodities or Currencies
Strike Price – select a range of strike prices (does not take into account currency)
Maturity Date – select a range (min/max) of expiry dates
Type – type of warrant (Call warrant is a right to buy; Put warrant is a right to sell)
Style – style of the warrant (American – exercise at any time until expiry, European – exercise upon expiry)
TIDM –TIDM code of the warrant.

Finally, To launch the search, click the 'Search' button (or 'Reset' to start again).

Search Results

A table lists all warrants and certificates matching your search criteria:

The information in each column is as follows:

TIDM –TIDM code of the warrant
Issuer – Name of institution that issued the warrant
Underlying –- Name of underlying security
C/P – Type of warrant (C denotes a Call warrant, or a right to buy; P denotes a Put warrant, or a right to sell)
Strike Currency/Price – Strike Price and a code representing its currency (GBP for pounds sterling, EUR for Euros, USD for US dollars)
Maturity Date – Date on which the warrant expires
Value Traded (£) – Value, in pounds sterling, of trade for the warrant or certificate in the current session
Bid – Latest Bid
Offer – Latest Offer
+/- (%) – Change in % between yesterday’s close and the latest mid-price
S – Structure - denotes whether a Warrant (W) or Stop-loss (L), see Product descriptions

If there is more than one page of results, use the page link at the top of the search results to navigate through them.

To view a detailed quote, with price and performance data, static information and a chart, click on the blue TIDM. Clicking on the underlying will, where available (for equities), take you to a detailed information page on that underlying security.

To sort the results, click on the arrow next to the relevant heading (either Strike Cur/Price, Maturity Date, Valued Traded (£) or +/- (%).

Detailed Quote

The Detailed Quote screen shows intraday and historical prices, static data and key figures for a chosen warrant (the Certificate Quote screen is very similar, but does not include key figures as these are not applicable to certificates).

This screen is divided into five areas:

Market Overview

Gives an overview of how the warrant and associated underlying are trading.

The data includes:

Last trade – price at which the warrant most recently traded
Bid / Offer– most recent bid and offer for the warrant
Currency – code of currency in which the warrant is denominated (GBX for pence, GBP for pounds sterling)
+/- (%) – movement in price of the warrant compared to yesterday’s close
Value Traded Today – the value (in sterling) of trades today
Number of Trades Today – number of times this warrant has traded today
Volume Traded Today – number of this warrant which have been bought or sold today
Underlying – name of the instrument which is the underlying of the warrant
Underlying price – current price of the underlying (where available)
Underlying currency – code of currency in which the underlying instrument is denominated

Static data
This key information about the warrant is unchanged throughout its life. Most is typically contained in the Term Sheet an issuer publishes when putting out a new warrant.

TIDM – The Tradeable Instrument Display Mnemonic (TIDM) is: an alphanumeric code issued by the London Stock Exchange to identify securities.
ISIN – International Securities Identification Number: a unique international code identifying a securities issue
SEDOL – Stock Exchange Daily Official List number: a code issued by the Exchange to identify all stocks
Type – Type of warrant: Call warrant (right to buy) or Put warrant (right to sell)
Style – American style warrants can be exercised at any time during their life; European style warrants can only be exercised on their Maturity Date
Strike – Price at which the warrant investor can buy or sell the underlying security, either on the Maturity Date (for European style warrants) or at any time throughout the warrant's life (for American style warrants)
Strike Currency – The currency of the strike price (GBP for pounds sterling; GBX for pence sterling; EUR for Euros; USD for US dollars)
Maturity Date – Date on which the warrant expires

Instrument Details

Issue Date – The date on which the warrant was issued
Ratio – The number of shares in the underlying which would be received if the warrant is exercised (for example, a ratio of 0.1 means you would need to exercise 10 warrants to receive a single share in the underlying)
Issue Size – The number of this warrant issued
All time high – The highest price at which this warrant has ever been quoted
All time low – The lowest price at which this warrant has ever been quoted

Key Figures
The key figures are calculated from the static and price data, using established derivatives-pricing models

Intrinsic Value – The amount the investor would receive if the warrant were to expire immediately. For a Call warrant, which gives the right to buy, how far the underlying price is above the strike price. For a Put warrant, which gives the right to sell, how far the underlying price is below the strike price.
Time Value – Calculated as the price of the warrant minus the Intrinsic Value.
Gearing – Number of underlyings the warrant investor controls by investing an amount equal to the underlying price.
Leverage – How many percent the warrant price would move if the underlying price increases by 1%. Also known as Omega or elasticity.
Implied Volatility – the level of volatility implied by the warrant price
Break Even – The price the underlying must a least rise above (for a Call warrant) or fall below (for a Put warrant) to generate a positive return (includes the cost of the minimum number of warrants needed to buy one underlying share) typically strike price plus the premium for a Call and strike price minus premium for Put.
Delta – A measurement of sensitivity of the warrant price with respect to changes in the price of the underlying security. In theory, a delta of 0.5 means a one point change in the price of the underlying results in a half-point move in the warrant price.
Gamma – The sensitivity of the Delta with respect to changes in the underlying price.
Theta – Measures the time decay per day. It is equal to the loss of time value.
Vega – The sensitivity of the warrant price with respect to an increase in the warrant volatility.

Share price performance
An interactive chart allows you to see the warrant's intraday, 1 month, 3 month, 6 month and 1 year price performance.

Risers and Fallers

This page allows you to view the day's top 10 or bottom 10 performing warrants and certificates, as well as the top 10 warrants by value traded. It is important to note that only those warrants which have traded today are displayed.

Use the links at the top of the table to select the view you require – 'Top 10 risers', 'Top 10 fallers' or 'Top 10 value traded'.

The table format is the same as for the Search Results page.

New Issues

This page shows which covered warrants have been issued in the UK market over the past two weeks.

The search options work in the same way as those on the Search page page. The table layout is also the same.

The 'Days' drop-down menu allows you to limit the results shown to those instruments issued a certain number of days ago:

Warrants Analyser

Overview

The Warrant Analyser tool allows users to select a warrant and simulate its likely performance through time until expiry, based on inputted key figures and performance data.

A two dimensional chart illustrates the relationship between the underlying price and fair value, delta, gamma, theta and vega for the warrant.

The tool uses Black-Scholes, the established derivatives pricing model, to simulate warrant performance.

Selecting a Warrant
On the first page of the Analyser, you can search by TIDM of the warrant or name of the underlying (there is no need to enter the whole name – e.g. VODA will suffice for Vodafone).

If there is more than one match, all matches are displayed (fields are the same as in the Search results. If there is only one match, you are taken to the analyser tool for that specific warrant.

Simulating Different Scenarios
The core feature of Warrant Analyser is the simulation of different warrant scenarios. You can set and change various key figures and analyse the warrant's performance.

This section describes how to simulate scenarios using the input fields in the left half of the screen.

After the user has selected a warrant for display, the Warrant Analyser shows fundamental data and key figures for simulation in three sections.

Static Data
This is the static data that identifies the selected warrant, including:

TIDM
ISIN
Underlying
Issuer

Simulation and Key Figures

In the middle section of the page are the customisable parameters on which the simulation is based. By default, all parameters show the current values, and the current values are always shown next to the headings in black, for reference. Use the input fields to change the values and simulate the warrant's potential development under various market conditions.

For example, the tool allows you to explore how the break-even would change if the warrant price moves up or down by a certain amount; or how gearing and leverage change as the calculation date moves into the future.

To see the impact of the changes, click on the “Apply” button and wait for the page to reload.

To revert to the current values, simply click on the Reset button.

Simulated Key Figures
The bottom section shows key figures and sensitivities as a result of the parameter settings in the middle section. Usually, editing changes in the middle show some effect in the first two lines of the bottom section. The key figures are:

The fair value is the theoretical price of the warrant, based on the set customised parameters.
The intrinsic value is the amount the investor would receive if the warrant expires immediately.
The time value measures the value of having the right, not the obligation, to buy (call) or sell (put) the underlying at expiry.
Gearing is the number of underlyings the warrant investor controls by investing the amount of the Spot.
Leverage measures the change of the Warrant price in percent when the Spot increases by 1%. Also known as Omega or Elasticity.
Delta measures the sensitivity of the Warrant price to changes in the Spot.
Gamma measures the sensitivity of the Delta to changes in the Spot.
Rho measures the sensitivity of the Warrant price to changes in the Interest rate.
Theta measures the decay per day. It is equal to the loss of time value.
Vega measures the sensitivity of the Warrant price to an increase in Volatility.

Charting of Warrant Performance

The Warrant Analyser provides 2D charts to illustrate the correlation of several of the simulated key figures (see Customisable Key Figures). The chart updates according to the figures entered by the user.
To switch between 2D charts, use the dropdown menu at the top right-hand corner of the chart.

All charts show the currently simulated underlying price along the X axis, and the simulated key figure along the Y axis.

Scenario Selector

This tool enables investors to compare warrants based on the same underlying, and to determine potential winners and losers under different scenarios for the underlying.

Initially, the user is required to select an underlying, and may narrow the results by selecting the Type, Issuer and Maturity Date from the drop down menus. When you are happy with all of the parameters (note that, apart from Underlying, they may be left blank to increase the number of results received), click on Search to get the results.

The search results shows all warrants for the selected underlying complete with fundamental data and simulated performance. Results are sorted in descending order by performance (ie the warrant which would be expected to perform best will be at the top of the results).

Simulating Future Scenarios

The performance simulation controls allow users to set a time period for the simulation, estimated performance for the underlying and hypothetical change in volatility.

To analyse the possible effects of the underlying's future performance on the displayed warrants, simply change the settings in the 'Performance Simulation' panel:

Any change to one of the controls is reflected in the 'Performance' column of the displayed warrants list only once you click on ‘Apply’.

Hedge Calculator

Select the underlying which you wish to hedge from the drop-down box. A further box will then appear and depending on what type of underlying there may be further options. Enter the amount you wish to hedge (for equities enter the number of shares, for currencies enter the value, for indices enter the value of the index in GBP and for commodities enter the value in GBP).

Pressing search returns a list of covered warrants with which you can hedge – note that any warrant expiring within one month will be excluded from the search results and that, except for currency hedging, only put warrants are displayed.

The available options are presented in ascending order by strike price. A warrant is excluded from the selection if it has less than one month until expiry because this is not deemed suitable for hedging purposes.

Select the warrant you would like to use to hedge, click on ‘Apply’ and you will be presented with the results along with an explanation of the two hedging methods. For currency warrants, only the static hedging option is displayed.