Warrant (Optionsschein)

A warrant (Optionsschein) is a security issued by a bank (the issuer) that gives the buyer the right to buy (call) or sell (put) an underlying asset at a set price.

Difference from exchange-traded options:

• Warrant: issued by ONE bank, the bank sets the prices (OTC), issuer risk
• Option (Eurex): standardised, exchange-traded, no issuer risk

Key figures you need to understand:

• Omega (leverage): by what % the warrant rises when the underlying rises 1%
• Delta: sensitivity to price changes in the underlying
• Theta: daily loss of time value (works AGAINST you!)
• Implied volatility: expected range of fluctuation (higher = more expensive)

The time value problem:

Warrants lose value EVERY DAY – even if the underlying doesn't move. The closer to expiry, the faster the time value melts away. So you don't just have to get the direction right, but also the TIMING.

Knock-out warrants: if the underlying touches a certain threshold → total loss, no matter how briefly it was touched.