Category: Money tips Release Date: 2006-01-31
Although the G Shanghai airport, after the recent weakening, but still can not put warrants to reverse the Shanghai market down trend. The warrants fell 0.99% yesterday to close at 1.693 yuan, 1.7 yuan lower than its intrinsic value. Although the building is a hedge portfolio of shares + warrants can guarantee a minimum of 0.05% within one year of earnings, but investors need for a risk-free arbitrage means a calm way. G Shanghai airport is currently the price of 11.9 yuan, while the Shanghai market warrant is exercisable at a price of 13.6 yuan, that is, its intrinsic value of 1.7 yuan. In theory, warrant price can be broken down into intrinsic value and time value, which represents the duration of the investors in the warrant is the possibility of price fluctuations in the valuation of stock. While the historical volatility rate of 25% of the Shanghai market warrants it, even though there is a full day away from the expiration of 350 days, but the market is not only recognized the value of their time, but also for its intrinsic value would have. Warrant price is lower than the intrinsic value, it makes it warrants a premium appeared negative rate (-0.06%), precisely, is already a discount deal.
In accordance with market acceptance of the hedge portfolio to the current price of shares and warrants are being bought at the same time, input costs of 13.593 yuan, and even if holders of warrants expire, the minimum value of the portfolio is 13.6 million, which a minimum rate of return of 0.05% . However, there are two problems can not be avoided. First of all, taking into account the 2.25% interest rate, the combination of the current situation is not without risk arbitrage portfolio. Only when the combination of the price as low as 13.3 yuan, when can we guarantee the lowest 2.226% due benefits. Secondly, just as some fund managers said, the Shanghai market warrants as waste paper, that is a major shareholder in any case to keep the C of E is share price at maturity of not less than 13.6 yuan. So, in this uncertainty is expected, there were warrants who bought it?
We can also understand from another angle: the unspoken rules in the securities market, the market for large shareholders, "trust" itself has become an invisible put warrants, if investors are optimistic about G Shanghai airport, which just bought the stock in fact would have a positive stock + put warrants combination. Why bother to buy the tangible warrants it?
Say the least, if the investors are the major shareholder of G Shanghai airport, did not hold the confidence of 13.6 yuan, then build the so-called hedge portfolio is not necessary. Watching it with 0.05% arbitrage space, not as good as to seek better investment opportunities. Particularly in the current market, regardless of subject matter related stocks are undervalued stocks, gave all kinds of funding the operation of a rich opportunity.
From the above analysis, the market had been "identified" Shanghai market warrants for the paper, so the trend is difficult to demonstrate linkage with the underlying shares, thus there are stocks fell for several days while the warrants are also days of fall strange phenomenon. If last Friday is being built a combination of shares + warrants, the current loss has reached 0.9%. In fact, there are many brokerage firms recently issued a bullish report on G Shanghai airport, once stabilized the unit up, then the Shanghai market will continue to warrant deep tone. Reporter Zhang Xiang
