While revising and expanding my essay regarding Implied Volatility for FixedResets I realized that it would be useful to refer to my prior effort regarding Implied Volatility for Straight Perpetuals, which was published in the January, 2010, edition of PrefLetter.
So, the essay Implied Volatility in Perpetual Preferreds (with its addendum, Portfolio Management Implications of Implied Volatility in Perpetual Preferreds) is now publicly available.
[…] am gratified to see that the new issue is fairly priced according to Implied Volatility theory – and that’s without accounting for the redemption lock-out, assuming it […]
[…] with the the recent POW new issue the new issue seems fairly priced according to Implied Volatility theory. The closest direct comparator is GWO.PR.L, paying 1.4125 (compared to 1.425 for the new issue) […]
[…] issue appears to be fairly priced in accordance with Implied Volatility Theory [IVT], with a Theoretical Price of 25.05. However, IVT makes no allowance for the redemption […]
[…] The issue looks fairly priced according to Implied Volatility Theory: […]
[…] am gratified to see that the new issue is fairly priced according to Implied Volatility theory – and that’s without accounting for the redemption lock-out, assuming it […]