Investor
Investor Education
ELI Calculator
 

Introduction
  • HKEx has posted an ELI Calculator** onto its website to facilitate investors to better understand the pricing of ELI.
  • HKEx hopes that providing the ELI Calculator to the public will generate more discussion and research on a product which has become quite popular among investors in the past few years. In addition, HKEx hopes that the ELI Calculator can create more research interest in developing other valuation models for the benefit of the whole market, and better tools for investors.

Click to use the ELI Calculator

 

Uses of ELI Calculator
  • This calculator allows ELI investors to:

  1. Calculate a theoretical value for an ELI;

  2. Find out how the above value will change when other factors change; and

  3. Compare the cost of an ELI with other similar products by calculating their respective implied volatility.
Note: There may be other models to calculate the value of ELI.  Please use the calculated figures for reference only.

Examples of Using ELI Calculator
  • To find the value of an ELI, please click   to see the example.
  • To find the implied volatility, please click to see the example.

ELI Valuation
  • The value of an ELI is affected by a number of factors including:
  1. The spot price of the underlying shares (the market price of the underlying shares);
  2. Strike price (a predetermined value);
  3. Volatility (volatility of the underlying shares based on investors' estimates);
  4. Risk-free interest rate (usually the applicable HIBOR rate);
  5. Outstanding days (or the time to expiry, which is the outstanding days of the ELI); and
  6. Discount note rate (the market interest rate of the bond component of an ELI).
 
** Jointly developed for HKEx by Dr. Joseph S K Chan and Dr. Louis Cheng
   of the Hong Kong Polytechnic University.