What is “moneyness”? How is it calculated?

“Moneyness” describes where the warrant’s exercise price or strike level is in relation to the price or level of the underlying asset.

In the case of a call warrant, if the exercise price or strike level is:

(a) above the price or level of the underlying asset, the warrant is said to be “out-of-themoney”; or

(b) below the price or level of the underlying asset, the warrant is said to be “in-the-money”.

Numerically, moneyness of a call warrant is calculated by reference to the difference between the underlying asset’s price or level and the exercise price or strike level, divided by the underlying asset’s price or level, as illustrated in the table below.

In the case of a put warrant, if the exercise price or strike level is:

(a) below the price or level of the underlying asset, the warrant is said to be “out-of-themoney”; or

(b) above the price or level of the underlying asset, the warrant is said to be “in-the-money”.

Similar to a call warrant, the moneyness of a put warrant is calculated by reference to the difference between the exercise price or strike level and the underlying asset’s price or level, divided by the underlying asset’s price or level, as illustrated in the table below.