Category: Money tips Release Date: 2006-04-25
Since the launch of China's share reform warrants, warrants once market prices are seriously overvalued, but with the system (such as the introduction of the creation of mechanisms) to improve and investors recognize the gradual maturity, warrants gradually increase the efficiency of market pricing. Nevertheless, the warrant transaction price is still often irrational situation, resulting in a large number of arbitrage opportunities, Wuhan Iron and Steel last trading day of warrant prices have continued to underestimate that is highlighted this point
. However, most market participants are unable to grasp such opportunities.
Wuhan Iron and Steel JTB1 arbitrage opportunity to analyze the subscription card in WISCO (Wuhan Iron and Steel JTB1) the last trading day, there has been warrants market prices below their intrinsic value continuing phenomenon. At this point, investors can take arbitrage trading strategies to achieve risk-free return.
Mechanism in the presence of short selling, investors can take, "to borrow G Wuhan Iron and Steel sold at the same time buying Wuhan Iron and Steel JTB1, the right to be OK the next day G Wuhan Iron and Steel also coupons" arbitrage investment strategies. View of the current spot market for the securities does not allow short selling, investors can not be achieved through the strategy of arbitrage.
However, the short arbitrage idea of this operation that had been held by G, or the date of WISCO WISCO G want to buy from hold, investors still learn. In fact, investors can achieve through the two kinds of arbitrage trading strategies: First, through "selling G Wuhan Iron and Steel, Wuhan Iron and Steel to buy JTB1, the right to be OK the next day G Wuhan Iron and Steel" strategy to earn spreads; second is through a "buy Wuhan Iron and Steel JTB1 the next day the right to be OK G Wuhan Iron and Steel "investment strategy to reduce the holding costs, access to risk-free returns.
Wuhan Iron and Steel JTB1 from 11:28:16 arbitrage opportunities began to appear, the cumulative 117 minutes there. Wuhan Iron and Steel JTB1 almost the whole afternoon there has been arbitrage opportunities, and as the closing approaches, the emergence of arbitrage yield amplification phenomenon.
Arbitrage returns are very impressive day, Theory of arbitrage earnings accumulated up to 160 million yuan. One. Arbitrage yields more than 3% of the aggregate opportunity to appear 35 minutes, enabling arbitrage receipts amounted to 110 million yuan.
The day, investors adopt the "sell G Wuhan Iron and Steel, Wuhan Iron and Steel bought JTB1" arbitrage trading strategy to obtain the maximum yield of 9.39% can be achieved when. The time (14:57:20), Wuhan Iron and Steel JTB1 price of 0.47 yuan / copies of the exercise price of 2.62 yuan / share, G Wuhan Iron and Steel price was 3.38 yuan / share, if investors buy Wuhan Iron and Steel JTB1, and to 2.62 yuan / share price of the right line, you can 3.09 yuan / share the stock price of access to G Wuhan, more than the cost of direct purchase of G Wuhan Iron and Steel shares down 0.29 yuan / share. Wuhan Steel to buy at this time each JTB1 cost arbitrage (0.47 +2.62) = 3.09 yuan, revenue of (3.38-3.09) = 0.29 yuan, arbitrage yield of 0.29/3.09 = 9.39%.
Analysis of the actual behavior of investors, arbitrage analysis of Wuhan Iron and Steel JTB1 of this section to be the last trading day of the actual investor trading and arbitrage. According to investors, arbitrage or not, can the Japanese investors are divided into two main categories: seize arbitrage opportunities, investors and failed to grasp the arbitrage opportunities for investors.
(A) seize the opportunity to investors. Can be divided into two situations:
(1) The shares are being sold arbitrage, that arbitrage opportunities arise, the "net selling stocks, the net purchase warrants." Such investors, a "sell stocks and warrants, the right to receive the stock line" trading strategy to reduce holding costs and earn a spread.
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