Category: Money tips Release Date: 2006-07-29
With the long-electricity and Baosteel will resume trading, warrants a few days that the market, investors need to know the characteristics of warrants and investment principles, the National Sheng Securities in a research report conducted a detailed analysis of this, we are excerpts from some of the supply of investors.
Warrants points
Warrants the volatile price movements and there is time-sensitive, higher risk.
Invest in warrants should be noted: the holding time should not be too long, and should pay close attention to the underlying assets, warrants and warrant transaction price changes; warrant investment position should be strictly controlled; strict stop-loss, avoid passive investment.
Warrants really leverage the size of the delta and the leverage ratio by the two co-decision; implied volatility is higher than the reference value for a premium rate index, the same underlying assets issued warrants implied volatility, the lower the the more worthwhile to buy.
Affect the warrant price of factors including: the underlying asset price, exercise price, the underlying asset price volatility, time to maturity, interest rates, and cash dividend distribution and so on.
Warrants investment approach include: hedging position risk, portfolio investment and non-hedging risk-based single investment.
Baosteel shares (Quote - message) (Information Quotes Forum) warrants for the covered warrants, warrants, and European-style warrants.
When the price of Baosteel is between 4.4-5.0 yuan, Baosteel theoretical value of the option 0.545-0.940 yuan.
If the investors will receive warrants from the short term, the proposed holding, in order to enjoy the benefits of Baosteel shares rose, while the holder of the judgments based on the cash market outlook warrants.
In general, the warrants may be involved in the initial listing of a better time, but because of Baosteel warrants warrants, as the first product launched by the stock reaction may be extreme, like the direct involvement of the investor warrants warrants can be measured Baosteel Baosteel price of the corresponding shares of stock prices, warrant price to determine the levels of control risk.
Warrants Investment Note
(1) The holding time should not be too long, and should pay close attention to the underlying assets, warrants and warrant transaction price changes.
The value of time-sensitive nature of warrants, with the remaining time warrants, warrants of the time value falls. At the same time the volatility of warrant prices and volatility of frequency of large investments should therefore warrants close attention to the underlying assets and warrants its own price of the deal. If investors do not have time pay close attention to the price, should not invest in warrants.
(2) warrants investment position to be strictly controlled.
Due to the volatile price movements warrant and there is time-sensitive, higher risk, should not all funds total investment warrants.
(3) strict stop-loss, avoid passive investment.
Studies show that when the warrant price is in the depth out of the money (for example, warrants, is much smaller than the underlying asset price when the exercise price, see the delta index), warrants the price of the sensitivity of the underlying asset prices greatly reduced, unless the underlying asset prices rebound, otherwise, may be almost no sort of relief. In addition, the timeliness of warrants so that the value of warrants decreased over time. Therefore, once the warrant price set below the stop-loss should promptly stop, should not cover their short positions, or wait passively.
Baosteel Warrants theoretical value estimate
According to the split share structure reform, Baosteel statement, if the Baosteel-tradable share reform plan approved by shareholders of the General Assembly adopted, Baoshan Iron and Steel shares to be issued warrants listing.
1, the basic provisions of Warrants
1? Publisher: Baosteel Group Corporation (covered warrants).
2? Duration: 378 days since the warrants were assigned to the circulation of the date of shareholder accounts? With that day?.
3? Warrant type: European Call Warrants? That is on during the existence of warrants? Warrant holder is only entitled to the right line on the right lines.
4? Issue Number: 38? 7.7 million copies of
5? Line of the right Date: Warrants duration of the last trading day.
6? Line of the right ratio: Warrants held by each holder of warrants may exercise price of the Baosteel Group Corporation Baoshan Iron and Steel Company A to purchase the number of shares. The warrant is exercisable at the initial ratio of 1? That a copy may be the exercise price of warrants to purchase one shares of Baoshan Iron and Steel Group, Baosteel's A shares.
7? Line of the right price: 4.50 yuan.
8? Baosteel's A shares ex-dividend, ex-dividend from? Line of the right price and the line of the right to adjust the ratio according to the following rules:
When Baosteel's A shares, when ex? Warrant is exercisable at a price, the right line to adjust the ratio according to the following formula:
The new exercise price = price × the original line of the right Baosteel A Japanese reference price of shares ex / ex Baosteel A day before the closing share price?;
The new line of the right proportion = the proportion of the original line of the right × ex Baosteel A day before the closing price of shares / shares of Baoshan Iron and Steel Company A reference price ex Japan?.
When Baosteel's A shares, when ex-dividend? Warrant is exercisable at a ratio remains the same? Line of the right to adjust prices according to the following formula:
The new exercise price = price × the original line of the right reference price of the underlying stock goes ex-dividend day / the day before ex-dividend closing price of the underlying securities?.
9? Settlement: settlement of stock-based compensation methods? Or Baosteel Group Corporation to line by line the right of the right to charge the price in cash and pay for shares.
2, warrants theoretical value calculation
(1) BS formula
C = S? N D1?-X? E-rT? N D2?
D1 =? Ln S / K? R σ2 / 2?? Tt?? /? Σ? Tt? 1 / 2?
D2 = D1-σ? Tt? 1 / 2
C = warrant price; K = exercise price; T-t = C of E, the remaining number of years; S = underlying asset price; r = risk-free rate of return; σ = historical volatility of volatility.
(2) Parameters
According to Baosteel warrants Issuance Program, to determine the pricing formula variables are as follows: K = 4.5 Yuan; T = 1.0356; r = 1.8%, using the one-year after-tax bank deposit interest rate as the risk-free rate of return; σ = 0.2936, select listing of Baosteel's stock price since the annual rate of return calculated the rate of fluctuation, as Baoshan Iron and Steel stock price volatility.
There is a change only parameter is the price of underlying assets, namely, to obtain warrants when Baosteel's stock price. Reference has been completed share reform of the stock trend resume trading after the shares of Baosteel should have a "natural ex-dividend" process. To Baosteel trading day before the suspension July 22 closing price of 5.14 yuan terms, natural diluted share 4.21 million (2.2 shares per 10 shares to send). As the Baoshan Iron and Steel Group is committed to the shareholders through the share-trading reform of the General Assembly within two months after the program? Such as Baoshan Iron & Steel stock price is lower than 4.53 yuan per share? Baosteel Group Corporation will increase its stake in Baosteel. We assume that the initial S = 4.5 Yuan.
(3) The theoretical value of the estimation and sensitivity analysis
S = 4.5 yuan, we have calculated the theoretical value of warrants out for Baosteel 0.604 yuan.
According to Baosteel in 2005 when the announcement of the simulation of additional consolidated earnings forecast report by Ernst & Young audit?? 2005 estimated pro forma earnings per share of 0.89 dollars? The reference to the foreign company's price-earnings ratio of comparable levels of mature markets? To 5-5.5 times a conservative valuation of dynamic price-earnings ratio? while Baoshan Iron & Steel shares should be a reasonable balance between 4.45-4.90 yuan.
Accordingly, we calculate the theoretical value of the option price of the shares of Baoshan Iron and Steel sensitivity analysis table.
3, Investment Strategy
If the investors will receive warrants from the short term, the proposed holding, in order to enjoy the benefits of Baosteel price rise. At the same time the holder of the judgments based on the cash market outlook warrants.
If you want to direct involvement of the investor warrants, first of all to remind the concerned investments as described in the preceding note and investment methods. At the same time general, the warrants may be involved in the initial listing of a better time. However, as Baosteel is the first one warrants warrants product, the share price reaction may be extreme, investors can estimate the corresponding price of Baosteel Baosteel warrant shares, warrants to determine the price is high or low control risk.
