What is the warrant score

Warrant scoring is based on the comprehensive evaluation of the degree of out-of-the-money, duration, bid-ask spread, and out-of-stock volume. The score ranges from 0-12 points.

Higher scores may be derivatives that are more suitable for continuous observation under the balance of return and risk.

This scoring tool does not count factors such as trading volume, premium, implied volatility, etc. Investors should pay special attention when referring to the data. The specific criteria for scoring are as follows.









More than 10% in the price

In-the-money 5% to 10%

5% within the price to discount

Discount to 5% off-price

5% to 20% off the price

More than 20% off the price

Bid-ask spread

Best bid-ask spread +3 or more

Best bid-ask spread +2

Best bid-ask spread+1

Best bid-ask spread

Outstanding Quantity

above 50

25% to 50%

10% to 25%

0% to 10%

Maturity days

0 to 45 days

45 to 90 days

90to 150days

150 to 270 days

270to 360 days

360 days or more

For example

XX Subscription Certificate A

Strike price 150 yuan

Expiry date July 5, 2016

Bid price/sell price 0.112/0.114

Outstanding Quantity 12.2%

Assuming that the current trading day is January 8, 2016, which is 179 days before the return; the current price of the linked asset is 146 yuan, which is 2.7% outside the price of this round.

Assuming that this round of hedge value is 49.5%, the exchange ratio is 100 to 1, that is, the sensitivity is 1 bar per tick of the underlying stock, the theoretical price of the round fluctuates by 1 bar, and the best bid-ask spread is 1.

According to the scoring criteria, the out-of-the-money degree is 2.7%, and you can get 3 points; the expiry date is between 150 and 270 days, you can also get 3 points; the bid-ask spread is the best bid-ask spread plus 1 bar to get 2 points; out-of-marketvolume between 10% and 20% can get 2 points. According to statistics, the score for this round is 3+3+2+2 = 10 points.


Different investors have different abilities to bear risks, and there will be deviations in the interpretation and definition of risks. Therefore, the scoring is only for reference and does not mean that it is suitable for all investors.

The score does not buy into any opinions or suggestions on the conclusion of any transaction. Investors need to maketheir judgmentsand bear their profitsand losses when making investment decisions.