Derivatives Warrants

JP Morgan’s derivative call warrant DJI41C2109A with underlying Dow Jones ($5) Futures September 21, suspiciously saw a movement in price of over ~1000x on opening. The DW jumped to THB 27.25 right after the morning session started and quickly dropped to THB 1.00 six minutes post opening of the market. The unusual swing followed yet again in the afternoon session opening with THB 0.65 at 14:00 hours reaching to second high of the day to THB 20.00 at around 15:00 hours. Finally calming down to THB 4.80 on today’s closing. Effective gearing of the warrant is 3.28x with sensitivity of 0.5. The call option is to expire in two days on September 17 and according to the official price schedule price should be THB 0.01. However, the underlying asset does not reflect any unusual price movement. Dow Jones ($5) Futures Sep. 21 is trading at 34,644.00 points (+018%). JP Morgan Thailand declined to comment when Kaohoon reached out on the cause of the suspiciously unusual price movement. A prominent DW issuer claiming anonymity commented “usually the market marker controls the movement of the price, however this particular DW’s price is suspiciously unusual’. Additionally, when reached out to Stock Exchange of Thailand (SET) for comments, the regulatory body stated they are in contact with representatives at JP Morgan for explanation.