Plain-English summary
This bond looks cheap to model by +22.3%. The market is paying 128.38 (% of par) while our pricer says fair value is 157.04. To trade it: buy ¥100M face, short delta × shares of 6963.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.
Market128.38
Model · Tree157.04
Cheap+22.3%
Bond floor84.21
Parity136.47
Premium-6%
HV6064%
IV—
Δ Delta0.026
Γ Gamma0.00000
Vega0.59
θ /day-0.007
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 128.38 = —. Short — shares of 6963.T at ¥4,180. 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).