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Data:2009-12-12 2:34
Warrants for the arbitrageurs bring joy, and this delight is limited. Warrants is a very conducive to the carry trade variety. However, if there is only a one-way warrants, to achieve a real risk-free arbitrage is difficult to do. Due to the risk-free arbitrage is the first direction to avoid the risk, in the absence of a mechanism for short, this point difficult to achieve.
Of course, the opportunities are not, "For the price lower than the theoretical value of the warrants, you can buy shares in proportion to + put warrants, construct Delta-neutral portfolio, which is buying volatility in the stock price to change in either direction can be a profit. "Guotai Junan Securities Research Institute researcher Lee Guan Zheng financial engineering that.
Warrants are based on stock prices and their volatility derivatives. The value of warrants in part by the share price is being determined. "Stock investors can only be bullish or bearish on the stock itself, but after the introduction of warrants on the stock price volatility can be bearish or bullish. It is precisely because the time value of existence, prior to the maturity date, price, within the theoretical value of warrants and positive stock price is not completely linear relationship. When the price of share price within the warrant is being increased by 0.1 million warrants changes in the value must be less than the theoretical 0.1 yuan. Therefore, according to a certain percentage of both stocks and put warrants, we can make stock prices rise more than the profits of the stock position when the position warrants the loss of the C of E in position when the stock fell more than the profits of the loss of the stock positions in order to achieve the same time, to invest in the stock up and down in both directions. "Tao Li Guan-zheng calculations.
He analyzed the Road: "When the investors that the warrants implied volatility of market prices is undervalued, you can buy the shares and warrants to construct long volatility portfolio, so regardless of stock prices rise or fall, as long as its price fluctuates more than a certain extent , investors can profit. "