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ZKB Call Warrant auf
Swiss Re AG

ISIN: CH1268368326 Security: 126836832 Symbol: SRE2AZ Life cycle
Secondary market

Bid Price 0.045

Ask Price 0.055

Currency CHF

Exchange SIX Structured Products

Volume 1'000'000.00

Volume 250'000.00

Date/time (delayed) 27.05.2024 01:51:26

Sell Buy 

Product Download

Security PDF for download Publication date
Termsheet 05.06.2023
Key Information Document DE 05.06.2023
Key Information Document EN 05.06.2023
Key Information Document FR 05.06.2023
Key Information Document IT 05.06.2023

Price data

  Bid Ask
Price 0.045 0.055
Volume 1'000'000.00 250'000.00
Date/time 27.05.24 13:51 27.05.24 13:51

Current data

Last price paid 0.05
Change -16.67% [ -0.01 ]
Last traded volume n.a. Unit
Cumulative volume 30'000.00 Unit
Date/time 24.05.2024 17:15

Life cycle

Fixing21.06.2024
Settlement date12.06.2023
Last trading21.06.2024
Final fixing21.06.2024
Currency redemptionCHF

Performance

Perf. since issue -37.50%
Year to date (YTD) +150.00%
1 month +400.00%
3 months +25.00%
1 year n.a.
3 years n.a.

Key figures on issue

Issue price0.08
Underlying price on issue92.92
Premium0.03%
Premium p.a.0.35%
Leverage32.12
Implied volatility0.16

Reference data

ISIN CH1268368326
Symbol SRE2AZ
Security 126836832
Exchange SIX Structured Products
Currency CHF
Expiry 28.06.2024
Underlying Swiss Re N, CH0126881561
Underlying ISIN CH0126881561
Strike 114.00
C/P type call
Subscription ratio 25.00
Issuer Zürcher Kantonalbank
Exercise type American
Delivery of securities On Demand
Minimum execution 25
Value day 05.06.2023

Key figures

Premium 3.09%
Premium p.a. 35.20%
Leverage 89.44
Implied volatility 15.92%
Moneyness out-of-the-money
Leverage 32.1230
Delta 0.3592
Gamma 0.0028
Theta -0.0013
Rho 0.0014
Vega 0.0049
Fair value 0.05
Intrinsic value n.a.
Break-even 115.25
SSPA value at risk n.a.
SSPA risk rating n.a.

Product type

SSPA derivative category Leverage
SSPA code Warrant (2100)

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