well you take the gold/US$ price .. multiply by the US$/Rand exchange rate and you get a rand/gold price .. you put that into black-scholes and you get a fair value .. then the issuer puts their bid/offer from that FV ..
Im glad to see these coming out. Pity (Tho I understand why not) they are not based on the USD value of the underlying. Trading Gold and the Rand (2 vars that often move in tandem) means that an increasing USD gold price is offset against the rising rand. A friendly warning to people looking to trade these from someone who made a huge profit on GLD SSFs only to watch the profits get erodeded practically overnight by a change in the rand. Use it dont use it. Caution is the watchword here. - P
Hi Simon, sorry if I sound pedantic, but there are a lot of variables here. Is it hte jun futers contract, the aug futures contract,or the spot price? And how many commissions variables are there, since who is the market maker for the underlying gold (if this question is relevant?) The difference might seem small, but I like to know exactly how far I am from a warrant jumping into the next bid/ask spread bracket, and it seems that it will be difficult to calculate on a gold or plat warrant?