Valuation date


The day on which the underlying is valued for the purpose of calculating the payout amount, and on which the type of redemption (cash settlement or physical delivery) is decided.


Value at Risk


Value at Risk is a method for calculating the potential loss in the trading position which could arise from price movements. This potential loss is calculated on the basis of market-oriented price changes and stated on the assumption of a certain probability.


VaR


see “Value at Risk”.


Vega


The Vega shows the price movement of a warrant based on the volatility of the underlying. This indicator shows by what amount the price of the warrant theoretically changes when the volatility of the underlying increases by one unit, assuming theoretically unchanged valuation parameters. A Vega of 0.4 means that the warrant rises or falls by €0.40 solely as a result of a 1-point rise or fall in volatility.


Volatility


Volatility (from Latin volatilis: fleeting, volatile) is the measure of the intensity of price fluctuations over a fixed period of time. It is a mathematical measure (standard deviation) of an investment’s risk. Volatility is expressed in percent and serves as a risk measure.
A distinction is made between implied volatility and historic volatility.

 

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