Plain-English summary
This bond looks cheap to model by +21.3%. The market is paying 148.38 (% of par) while our pricer says fair value is 179.95. To trade it: buy ¥100M face, short delta × shares of 6976.T to neutralize stock direction, hold until the gap closes (typical: 1-3 months). Greeks below show how the bond responds to changes in stock price, vol, time, and interest rates — these drive your hedge ratios.
Market148.38
Model · Tree179.95
Cheap+21.3%
Bond floor76.33
Parity155.09
Premium-4%
HV6073%
IV—
Δ Delta0.019
Γ Gamma-0.00000
Vega0.63
θ /day-0.003
Position sizing & hedge calculator
Bond cost (mkt)—
Shares to short
Short proceeds—
Expected mispricing—
Theta /day—
Vega /1 vol pt—
Buy ¥100M face of this CB at market 148.38 = —. Short — shares of 6976.T at ¥6,762. If model is right, expected gross convergence P&L is —. After 25bp bond round-trip + 5bp equity round-trip transaction costs, net edge is —. At 1% JPY financing on the long bond, daily carry costs — (offset by short rebate).