What is delta of warrant and CBBC?

Delta is the ratio of the change in the warrant or CBBC price (after adjusted by the entitlement ratio) to the change in the underlying asset’s price. It shows the absolute changes in the price of the warrant or CBBC if the price of the underlying asset changes.

Delta normally ranges between 0 and 1 for call warrants and 0 and -1 for put warrants (the negative sign shows the opposite directional movement to the underlying). In general, at-themoney call and put warrants have a delta of approximately 0.5 and -0.5 respectively. In-themoney warrants will generally have a higher delta than out-of-the-money warrants with the same underlying asset and maturity. For example, a call warrant with a delta of 0.1 is generally a deep out-of-the-money warrant, whereas a call warrant with a delta of 0.9 is generally a deep in-the-money warrant. Vice versa, a put warrant with a delta of -0.1 is generally a deep out-of-the-money warrant, whereas a put warrant with a delta of -0.9 is generally a deep inthe-money warrant.

In general, the delta of a bull CBBC is close to but not exactly equal to 1 and the delta of a bear CBBC is close to but not exactly equal to -1.