Warrant Report Baosteel Warrants investment strategy Money Tips

Category: Money tips Release Date: 2006-12-05

Baosteel Warrants Since August 29 the week since the callback finishing a strong trend emerged, August 29, August 30 one-day drop to 7.8%, respectively, 15.38%, pre-Baosteel Warrants sensation in the risks can be effectively released. By Baosteel to stimulate the daily news news August 31 to 1.448 yuan Baosteel Warrants Tiaokonggaokai opened, sideways shock finishing, to close at 1.520 yuan, September 1 to 1.560 yuan Baosteel Warrants opened higher a day around the 1.538 yuan shock finishing Warrants to close at 1.538 yuan. September 2 Baosteel Warrants continue to test a low sharp finishing, closing 1.415 yuan, one-day drop of 8%. Baosteel Warrants turnover this week, five light of day were 134%, 187%, 211%, 116%, 115%, turnover data showed September 1, September 2 to day transactions, warrants sharp decline in investor the speculative atmosphere of weakening, and this afternoon the price of Baosteel Warrants have some supportive role. Baosteel Warrants nearly 5-day fall 15.07 percent, Baoshan Iron and Steel after the warrant prices plunge in the value of the book fast-shape, we believe that the recent price shocks Baosteel Baosteel warrants significant effect on the price. Baosteel Warrants nearly a week, the average implied volatility at around 0.800, the corresponding warrant price is currently stable at about 1.438 yuan.

From the warrants pricing indicators, recent five trading days are basically at a premium rate of more than 33%; Baosteel warrants implied volatility of the past week an average of 0.8357, the corresponding shares of Baoshan Iron and Steel 2.8 times more than the historical volatility. According to our statistics, Hong Kong 3-month implied volatility than the main warrants the historical volatility relative to the average premium of 45% or so, we estimate Baosteel last week, according to the computation of historical volatility of about 0.3, and we think that the future implied volatility of Baosteel warrant a reasonable range of In between 0.5-0.7. However, the power in the Yangtze River before the warrant is not listed, we believe that next week, Baosteel warrants implied volatility of the central value of the 0.800 or so, investors can participate with caution.

For next week's warrants investment, we believe that the value of warrants as the return of Baoshan Iron and Steel, Baoshan Iron and Steel warrant price will remain within a narrow range fluctuations, according to a recent 5 days Baosteel Warrants turnover rate changes, we believe investors can short-term operation warrants the block into the fast out. Baosteel's shares will continue to be volatile next week, finishing, which Baosteel warrant the operation provided the opportunity to price fluctuations. Baosteel warrants implied volatility will fluctuate between 0.70-0.90, that is the price of Baosteel's warrants will be 1.274-1.598 yuan trading band, it is recommended short-term investors in the implied volatility of around 0.70-0.75 when the bold participation of implied volatility in the 0.85 firm sold about -0.90, and the corresponding warrant the security purchase price reference interval 1.274-1.356 yuan, selling price range of 1.518-1.598 yuan.

Terms of Warrants

Warrants Name

Baosteel GTB1 580000

Underlying

Baoshan Iron & Steel 600019

Call / Put

Subscription

Exercise price

4.50

Maturity Date (year - month - day)

2006-08-30

Exchange ratio

1: 1

Last Trading Day (year - month - day)

2006-08-30

Maturity

362 days

Last 5 days of data

Data

8 / 29

8 / 30

8 / 31

9 / 1

9 / 2

Baosteel Warrants Price

1.666

1.409

1.52

1.538

1.415

Intrinsic value

-0.04

-0.04

0

0.03

-0.01

Time Value

1.706

1.449

1.52

1.508

1.425

Premium

38.25%

32.49%

33.78%

33.29%

31.74%

Implied Volatility

0.9375

0.7846

0.8374

0.8372

0.78189

The historical volatility of the past 30 Tiannian

0.3462

0.2084

0.2089

0.2079

0.2028

Delta

0.692

0.665

0.6773

0.6799

0.6665

Leverage

2.677

3.165

2.961

2.945

3.1731

Effectively leverage

1.852

2.104

2.005

2.003

2.1149

Appendix: Description and application of indicators

The intrinsic value: the intrinsic value of warrants = underlying stock price - the latest implementation of the price,

If the underlying security price "= latest implementation of the price, then the intrinsic value of 0;

= The intrinsic value of put warrants the latest implementation of the price - the underlying stock price,

If the underlying security price "= latest implementation of the price, then the intrinsic value is 0.

Time Value: Time value = Warrant actual market price - intrinsic value.

The price of any warrants are intrinsic value and time value and, investment, and you can always calculate the intrinsic value, but the time value of warrants listed as the steady decline, so investors to judge when the warrant price, it should be noted as the line near the right time , warrants the price is bound to keep close to intrinsic value.

A premium rate: warrants a premium rate = ((exercise price + subscription license price / power ratio of line) / subscription price -1) × 100%

Premium rate is before the expiry of the warrants, is how many percentage points change in share prices need to be able to offer investors in the warrant expiration date to achieve a draw (break even). Warrant the risk premium is a measure of the level of an indicator, the higher the premium, playing, and the more difficult.

Implied volatility: The Hong Kong market, known as "implied volatility", implied volatility is the market-related assets within a period of time in the future volatility expectations.

When implied volatility rises, the price of warrants will be increased, and when implied volatility falling, the price of warrants will be reduced. Investors should be buying when the lower implied volatility, implied volatility higher when sold.

Delta: changes in stock prices means that when a unit is expected to warrant the price will follow the changes in volume was flat.

If a warrant pricing more reasonable market, investors can be short-term trading based on the delta, investors could start to determine the underlying shares rose 2,3 days decline, responsibilities warrant the magnitude of price changes is multiplied by the decline in the underlying stock rose hedge value.

Leverage ratio: refers to a specific point in time, the price of the underlying stock and warrants ratio.

Effective Leverage: The leverage ratio delta and multiply, the coefficient reflects the trading price of the warrants underlying stock price sensitivity.

This indicator reflects the packet's stock rose 1%, the corresponding warrant price range, effective the higher the leverage ratio to the more obvious characteristics of small-minded, risk preferences of the investors can choose a valid warrant a higher leverage ratio.