SGX: Strike Prices Of Active Stock Warrants Range from At-The-Money To 10% Away

• The ten most active Structured Stock Warrants in the month to date have been based on the share prices of DBS, UOB, Keppel Corp, OCBC and Singtel. The strike prices of these Warrants vary from being very close to current prices to almost 10% away from current prices.
• Historical 90-day volatilities for DBS, UOB, OCBC and Singtel have been similar at 19.6%, while Keppel Corp has generated the fifth highest 90-day volatility of the STI stocks at 37.0%.
• The five stocks have averaged a 0.6% gain in the month to date, with performances ranging from a 3.4% gain for DBS to a 0.8% decline for OCBC Bank. The five stocks make up half the Index weight of the STI.

The ten most active Structured Stock Warrants in the month to date have been based on the share prices of DBS Group Holdings (DBS), United Overseas Bank (UOB), Keppel Corp, Oversea-Chinese Banking Corporation (OCBC) and Singapore Telecommunications (Singtel). Together these five stocks make up half the weight of the Straits Times Index.  Four of the five stocks are also the largest weights of the MSCI South East Asia Index, with Singtel, DBS, OCBC and UOB making up 16.1% of the MSCI South East Asia Index weights. Keppel Corp is the sixteenth biggest stock of the MSCI South East Asia Index with an Index weight between 1% and 2%. The average Return on Equity (ROE) as of the last filing for the five stocks is 12.3% versus 10.2% for the MSCI South East Asia Index.

The ten most active Structured Stock Warrants in the month to date has consisted of eight Call Warrants and two Put Warrants on the five stocks. The strike prices of these Warrants vary from being very close to current prices to almost 10% away from current prices. The details of these 10 most active Structured Stock Warrants in the year to date are tabled below.

The Structured Stock Warrants with a strike price at-the-money is the DBS S$16.00 Call option. Yesterday the share price of DBS closed at S$16.03. The Structured Stock Warrants with strike prices most out-of-the-money, that is strike prices that are furthest away from the price of yesterday’s close are the OCBC S$7.70 Put Option and the Keppel Corp S$6.00 Call Option. Yesterday, OCBC shares closed at S$8.55 and Keppel Corp Shares closed at S$5.44.

The five stocks have averaged a 0.6% gain in the month to date, with performances ranging from a 3.4% gain for DBS to a -0.8% decline for OCBC Bank. Historical 90-day volatilities for DBS, UOB, OCBC and Singtel have been similar at 19.6%, while Keppel Corp has generated the fifth highest 90-day volatility of the STI stocks at 37.0%.

Structured Warrants traded a total of S$420 million in June month-to-date with 94% turnover from Structured Index Warrants underlying and 6% from Structured Stock Warrants. The top three traded Structured Index Warrants were based on the HSI, HSCEI and STI whereas DBS, UOB and Keppel Corp made the three most active Structured Stock Warrants.

As a whole, traded value in Call Warrants amounted to S$279 million, almost double that of Put Warrants which stood at S$141 million. Within the Structured Stock Warrants, 87% of the traded value were in Call warrants and 13% in Put warrants. This compares with the split for Structured Index Warrants which 65% were in Calls and 35% in Puts.

Specified Investment Products

Structured warrants are an example of Specified Investment Products (SIPs). The MAS has introduced measures for intermediaries to safeguard the interests of individual investors investing in SIPs, which are products with features that might be more complex in nature. Investors now have the opportunity to assess their qualifications to trade SIP or enhance their product knowledge through the SGX online portal available here.