I hold a very deep in-the-money call warrant linked to HSI and expiring in June (in 2 months) with entitlement ratio 10,000. The delta of the warrant is almost 1. The HSI index increased 150 points while HSI June futures contracts increased 110 points. The warrant price increased by HK$0.011 (equivalent to 110 index points) only. Why did it not increase by around HK$0.015 (equivalent to 150 index points)?

HSI warrants are not solely priced based on HSI index. They are mainly priced based on HSI index, interest rate and expected dividend. Since HSI futures contract reflects the value of HSI index, interest rate and expected dividend, the pricing of the HSI warrants is generally priced based on HSI futures contracts.

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