Volatilies of PF holdings...Izomatic =
I just went through the latest financial filings of some of AAB investees to find the volatilies they use for internally valuating their issued options/warrants using Black Scholes.
Here's what I was able to dig up:
CSM: 74%
CLM: 77%
LGO: 93.31%
LIR: 80%
AVR: 128%
TRT: 40%
KAN: 98%
FOR: 84%
Could not find a volatility for SUE - but I'm sure would be VERY high.
Note: where there were multiple volalities, I took the HIGHEST.
I also used Excel to generate Historical Volatilies (10,20,30, and 90 day) for these various holdings. Here's what I found:
| 10 Day | 20 Day | 30 Day | 90 Day |
| AVR.V | 63.57% | 71.12% | 91.41% | 105.52% |
| TRT.TO | 144.93% | 115.05% | 101.70% | 81.42% |
| KAN.V | 0.00% | 87.39% | 88.39% | 125.80% |
| LIR.TO | 38.21% | 50.00% | 60.21% | 54.30% |
| SUE.TO | 204.75% | 153.85% | 134.94% | 164.02% |
| LGO.V | 116.77% | 117.73% | 118.56% | 109.41% |
| CLM.TO | 28.39% | 33.30% | 41.85% | 37.40% |
| CSM.TO | 7.45% | 10.72% | 13.64% | 47.71% |
| FOR.TO | 152.45% | 125.78% | 132.12% | 123.93% |
As for which figure(s) should be used to calculate FV on the warrants, your guess is as good as mine - but I think using 50% is much too conservative.
I'd probably recommend using 75%-85% - if not higher.
Granted, this would only add $.02 or $.03 to our NAV (if even that) - but then again, every little bit helps ;-)
Thanks for all your work, and please keep it up!!
- jps