TARP Warrants Analysis Flawed

by: J.C. Kommer

Linus Wilson claims Treasury Accepts a Lowball Price for TARP Warrants.

I read the paper quickly and it seems Linus is making some pretty wild and laughable volatility assumptions.

The warrants have 9.6 years left to expiration. The paper says: “The low end volatility is the annualized historic volatility. This is obtained from calculating the daily instantaneous returns from January 1, 2009, to May 8, 2009….”

A little over 4 months of data, drawn from a period of unusually high stressed market conditions to evaluate a 9.6 years warrant?

Usual suspects swallow the snake oil.