Merrill Lynch
AXE 1% note on conversion/maturity – bonds are net share settled with a 20-day VWAP averaging perid starting BEFORE maturity 1/18/13-2/15/13. You will get the last coupon if you convert between the final record and pay dates. Bonds still model cheap but losing the 20 days prior to maturity for conversion period is worth 35c in the bonds and 1 vol point (30 vol to 31 implied vol). 30 day vol is 37 and 100d is 34 though and will report 2 more times prior to maturity, once during averaging period. Stock moves up 13% you own at parity or down 18% you own at par, gamma more than 3x average.
AXE 1% v 60.88 113.5-114