How does an issuer decide the implied volatility level of a warrant when pricing the warrant? Why does implied volatility of warrants over the same underlying asset differ between different issuers?

Implied volatility of a warrant is a key parameter in the issuer’s pricing formulae that cannot be observed directly. However, issuers can estimate the implied volatility of a warrant based on:

(a) the historical volatility of the underlying asset;

(b) the implied volatility of the listed and OTC options based on market data; and

(c) the issuer’s market expectation and cost of issuing such warrant.

Implied volatility level of warrants varies between issuers because each issuer may hold a different market expectation on a particular underlying asset from other issuers and has different issuing cost.