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Data:2009-12-12 2:34
1, the airport's opening price JTP1 more consideration to the actual market price factors
Table, airport JTP1, Baoshan Iron and Steel JTB1, Wuhan Iron and Steel and Wuhan Iron and Steel JTP1 Open JTB1 pricing parameters of the control
Categories
Historical volatility rate%
Implied volatility%
Implied volatility is the historical volatility of the multiplier (times)
Risk-free interest rate%
Baosteel JTB1
30.5
30.5
1
3.33
Wuhan Iron and Steel JTB1
Wuhan Iron and Steel JTP1
32
53
1.65
2.25
Airport JTP1
29.76
35.6
1.20
2.25
Source: De ting investment warrants pricing model
As can be seen from the table, the airport JTP1 opening price by taking reference to the pricing parameters, "implied volatility" which was 35.6%, and the Wuhan Iron and Steel JTB1, Wuhan Iron and Steel JTP1 the pricing mechanism as the basic combination of mature markets of Hong Kong and warrants implied volatility is a historical volatility of about 1.2 times -1.5 times the value of market experience. Baosteel Warrants, compared with seven-year bond yields 3.33% as a risk-free rate, the Wuhan Iron and Steel JTB1 and airport JTP1 risk-free interest rate parameter values, then the use of a one-year deposit interest rate (before taxes) 2.25%, which Select an interest rate closer to reality. We believe that: (New Year's to, and the prices that a little bit Jiusong large envelopes to send WFQQ as long as the stock code to 2.9116 million (mobile), 9.9016 million (DCP) can be financial Wong Tai New Year red envelopes!)
1, and the Wuhan Iron and Steel JTB1, the Airport JTP1's opening price to a certain extent, be combined taking into account the volatility of the rate of market speculation, "a premium" Obviously, the Airport JTP1 sponsors take advantage of market speculation of a strong desire for warrants, appropriate pricing of the central elevation of the Open will be a certain degree of price risk onto the market investors;
2, from the regulator point of view, the airport JTP1 overestimate the opening price of the appropriate warrant to further reduce the prices of speculative space, curb the excessive speculation in order to reduce speculation in the airport after the listing JTP1 space;
3, is expected in the future warrants will be priced closer to the actual market situation, including the renewal of a newly created under the mechanism of the warrants: for example, implied volatility, historical volatility value would be 1.2 times the rate of -1.5 times, without the risk of interest rates will make reference to the same period of time deposit rates 2.25%. This point, we will be opening in the future to be concerned about the price forecast in order to more accurately predict the warrants listed on the first day opening price.
Second, the performance of the first day of listing of the airport JTP1 Review
Airport JTP1 (580998 market, information, advice, more) maximum daily limit adjourn the day compared with more than 300 million yuan, and Vanke early HRP1 Steel and Vanadium PGP1 the amount of funds the access plate to be much smaller, suggesting that the rapid expansion of the warrants market speculative investment funds warrants a clear diversion. Turnover of 36.3495 million copies a day, turnover is 8.18%, are immeasurable letters daily limit. Next Monday if it continues to limit-price JTP1 airport will reach 2.701 yuan, its implied volatility will reach more than 102%, the value will be the creation of a mechanism than the official launch of the highest post-Wuhan Iron and Steel JTP1 implied volatility 98% higher than a lot, so we that the airport JTP1 next Monday to continue the probability of the basic daily limit is zero, the highest point of the day is estimated to reach between 2.58-2.63 yuan, it is recommended to hold the airport JTP1 investors may consider in this price range at high profits. (New Year to, and the prices that a little bit Jiusong large envelopes to send WFQQ as long as the stock code to 2.9116 million (mobile), 9.9016 million (DCP) can be financial Wong Tai New Year red envelopes!)
Third, the proposed operation of the airport JTP1 afternoon
Steel and Vanadium PGP1 from today morning rose rapidly and challenge the previous high of 2.360 yuan is not a successful performance, mainly due to the airport JTP1 effects listed on the first day of the performance because, according to G Sui Airport December 22 closing price of 6.88 yuan airport JTP1 price of 1.851 yuan implied volatility rate of 70% is a historical volatility 29.76% of the 2.35-fold, according to this data calculation, Steel and Vanadium PGP1 the implied volatility up to 63.51%, according to G Steel and Vanadium December 22 calculated on the closing price of 3.49 yuan, Steel and Vanadium PGP1 price is at least 1.901 yuan. (Send WFSD to 2.9116 million (mobile), 9.9016 million (China Unicom), Subscribe to German-ting of the real short-term investments daily stock pond, 2 Yuan / Article)
As we said in December 22 issue of the "Airport JTP1 listed on the first day of combat strategy" that "at present, has traded warrants have six, and their implied volatilities are much larger than its historical volatility. JTP1 removed Wuhan Iron and Steel , the two put warrants the highest average implied volatility of 85% -86%. We believe that the airport JTP1 listing, their implied volatility of 65% -85% for more reasonable, assuming that the market price G Sui Airport 6.77 yuan, thus obtained after the listing of the main airport JTP1 price fluctuations range -2.304 to 1.773 yuan RMB. "
Taken together, suggest that investors take the following long-term operation of the airport JTP1 strategy: A, 1.30 yuan shall be firm and aggressive buying, holding investment ideas; B, 1.78 yuan strong buy, hold speculative ideas; C, 1.78 Yuan -2.30 Yuan appropriate participation can be active speculation; D, 2.30 yuan firm does not participate in, super-cautious speculation. (New Year to, and the prices that a little bit Jiusong large envelopes to send WFQQ as long as the stock code to 2.9116 million (mobile), 9.9016 million (DCP) can be financial Wong Tai New Year red envelopes!)
2004 8 +20 combination of the annual performance of top ten
2005 8 +20 combination of the annual performance of top ten
Securities referred to as
The maximum rise
Securities referred to as
The maximum rise
CYTS
93.71%
G Tianwei
218.11%
G Huahai
73.74%
Suning
108.03%
Shanghai Zhenhua Port Machinery
72.18%
Transmission of shares
70.23%
Qinghai Salt Lake Potash
63.43%
G Fengyuan
64.76%
Shenyang Machine Tool
60.10%
Topway Share
48.69%
Yinjifazhan
51.21%
TeamSun
46.37%
Gree Electric Appliance
47.93%
Huangshan
42.37%
Farah E
46.44%
Tielong
39.15%
Shenbao An A
43.68%
San-Ai Fu
38.37%
G BOE
41.24%
Ma Ying-Long
31.18%
(Germany Ding Investment Strategy Report 2006, a grand release, 8 +20 combination debut)
De ting investors to set up in 1997, is the first certified by the Commission, one of the securities consulting firm, the company has a rich professional knowledge and practical experience of the analyst staff. Germany Ding pragmatic and innovative style of investment to the industry reputation. For a long time, as the first country of more than 50 brokerage firms and other financial, funds, investment advisers, as well as leading financial media company providing a variety of financial reports and financial products and unique, real and authority, was the industry as the "intellectual investment in China library. "
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