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Data:2009-12-12 2:34
Germany Ding Taobao Series (6)
Baosteel Warrants listing time is probably before and after 19th of this month. This is the Shanghai Stock Exchange Vice President Liu Xiao-dong in the "China warrants Development Summit Forum" next year.
Warrants are SSE efforts to promote innovation in products. This year, the Shanghai Stock Exchange also introduces Yangtze Power warrants, the Shanghai 50ETF warrants, it will be an important step in the market warrants. Warrants products of its large size, active trading volume and a stable price formation mechanism will be a good investment products.
In this regard, we have to rent Germany ting investment and finance project team recently developed computational model of warrant prices, through the current commonly used in Monte Carlo, BS, and binomial tree model prices of three kinds of ways of calculating the model theory, for the first time as investors Investment Reference. (Currently broader market has risen 10%, you have the corresponding profits do? De ting the use of optimization for your heavyweight gold send round Quotes of the four selected compensatory growth stocks soared around the corner, then those living on the fast, free online Request receive free of charge or call 021-51036988)
Investment Highlights:
1, according to our recent listing on the Shenzhen Stock Exchange traded four warrants simulated market price and theoretical price of the fit between the degree of view, three call warrants and put warrants exist in a certain amount of premium, which shows the domestic A-share market For the novelty and financial innovation products to a speculative premium;
2, preliminary observation, four analog warrant price and market index real-time movements into a highly relevant, when the market rose into a higher trend, the warrants market price there is a higher premium, put warrants market price there is a low premium; and when the market rose Guaitou down, then the opposite phenomenon. This shows that the basic line with call warrants and underlying securities prices are related to put warrants a negative correlation with the prices of the securities underlying the theory;
3, based on the current stock market performance G resumption of view, the average opening price on the first day or roughly half of the right to fill, it shall be a natural ex post price increase for the ex-dividend half of the combined holdings of major shareholders, the bottom line, so we conservatively expected, G after the first day of resumption of Baosteel price range at 4.53-4.60 yuan between;
4, taking into account as a new phenomenon, after the listing of Baosteel warrants that there are some speculative premium, and because it is European-style warrants, there is no underlying stock after the exercise of the subscription price of the knock-on effects on the existing, so we estimate the initial listing price of Baosteel Warrants about 0.922 yuan or so, then suggesting investors look at Germany-ting financial engineering group warrants the latest calculation of the price calculation model.
5, after Germany tripod warrants calculation model calculations, Baosteel Warrants between Δ of 0.62-0.70, that is, Baoshan Iron and Steel rose 0.1 yuan per share price, that warrants changes in the prices of 0.062-0.070 yuan, warrant price range is the variation in Baoshan Iron & Steel of 340%.
6, after the listing of Baosteel warrants, investors whether the holders of the warrants, it depends entirely on the investors to judge the trend after Baosteel, if the bullish Baosteel may continue to hold the warrants, if we look at the empty Baosteel, you can throw out the warrants. But also can use this as a hedging tool in selling at the same time, after a certain number of Baoshan Iron & Steel to buy the same number of warrants, as a risk-hedging instruments, the number of purchase will have to maintain a Δ-neutral.
1, warrant prices Baosteel
Baosteel Warrants, the exercise price of 4.5 yuan, the exercise ratio of 1:1, ie one can be 4.5 per cent warrants to subscribe for a copy Baosteel, duration of 378 days, warrants type of European warrants, which can only be in existence period of the last day of the exercise of rights, clearing way for settlement of stock-based compensation. China's current method of calculating the price of the basic warrant has (B-S model), Monte Carlo, and the number of model three kinds of binary. Domestic institutional investors used the B-S model, seen from the model, warrant price and the five basic parameters (the underlying stock price, strike price, interest rates, maturity, volatility) there is quantitative relationship, as long as the five basic parameters substituted into the pricing formula, we can calculate the theoretical price of warrants. Experience from overseas markets, the trading prices of warrants are generally higher than the B-S model to calculate the theoretical value. Change in China's securities market, but there are limits to stop, so the volatility of the underlying securities will be less than the formula of these three scenarios implied volatility, so the intrinsic value of warrants in fact less than three out of the theoretical formula price. We use the B-S model to calculate the theoretical value of Baosteel Warrants. Baoshan Iron and Steel Group is committed to implementation of the program within two months, such as Baosteel's stock price is lower than 4.53 yuan per share, Baosteel Group, will invest no more than 20 billion yuan of funds accumulated holdings of the outstanding shares of Baoshan Iron and Steel, optimism is expected to warrant listing date, Baoshan Iron and Steel Share price of 4.55 yuan; Baoshan Iron & Steel in program implementation, its volatility is bound to increase, the historical volatility of the current rate of Baoshan Iron and Steel 26.4%, implied volatility with the latest annual volatility of 35% for a conservative estimate; exercisable at a price 4.5 per; right Zeyi risk-free interest rate period of one year Treasury rate of 1.6% the level of a conservative estimate; due to ex dividend, the rows of the right to adjust prices, and thus the dividend yield is set to 0; the remaining 378 days. Enter the above parameters calculated B-S model, the initial listing of Baosteel Warrants theoretical value of 0.756 yuan, 0.706 yuan of which is the time value.
1, assuming other conditions remain unchanged, Baosteel's future stock price volatility in the range of 4.2-5.5 yuan, while Baoshan Iron and Steel warrants listed on the initial price of 0.527 yuan -1.358 yuan. Baosteel and Baosteel Warrants connection between the trend shown in Figure 1:
2, assuming that warrants listed on Baosteel price of 4.55 yuan, while the other conditions remain unchanged, risk-free interest rates to one-year term bond interest rate of 1.6% -2.8% range, then the warrant price of Baosteel's listed in the early 0.734 yuan yuan -0.760 between the . Baosteel Warrants and the risk-free interest rate movements between the connection as shown in Figure 2.
3, assuming that warrants listed on Baosteel price of 4.55 yuan, while the other conditions remain unchanged, the actual stock price volatility of 40% -45% range, then the warrant price of Baosteel's listed in the early 0.829 yuan -0.922 yuan. Baosteel Warrants and volatility movements between the rate of connection as shown in Figure 3.
4, assuming that warrants listed on Baosteel price of 4.55 yuan, while the other conditions remain unchanged, 378 days duration of the warrant price of Baosteel 0.734 yuan -0.051 yuan. Baosteel Warrants and the duration of the connection between the trend shown in Figure 4, taking into account as a new phenomenon, after the listing of Baosteel Warrants There is a certain speculative premium, and because it is European-style warrants, there is no underlying stock after the exercise of the subscription price impact of the existing effect, therefore, we have estimated the initial listing price of Baosteel Warrants about 0.922 yuan, or even close to 1.00. Then suggesting investors look at financial engineering de-ting group warrants the latest calculation of the price calculation model.
Figure 1: Certificate of Entitlement and Baosteel Baosteel incidence graph of the trend
(Other assumptions remain unchanged)
Figure 2: Baosteel Warrants and the risk-free interest rates associated with Figure
(Other assumptions remain unchanged)
Figure 3: Baosteel Warrants and volatility movements associated with Figure
(Other assumptions remain unchanged)
Figure 4: Baosteel warrants associated with the duration of the trend map
(Other assumptions remain unchanged)
Source: De Ding Investment Option Calculation Model
Second, after the resumption Baosteel price range
As the price of Baosteel additional 5.12 yuan, estimated at around that price range would be a more intensive change hands and the upstream resistance. Assuming a July 22 closing price of 5.14 yuan, as listed on Baosteel Baosteel warrant the price of 10 rides, a natural ex post price of 2.2 shares of 4.21 yuan, calculated at this time warrant theoretical price is 0.48 yuan, due to its market price is below exercise price, the intrinsic value of 0,0.48 price is only meant to its time. Baosteel's listed warrants early, its intrinsic value is greater than zero to meet the conditions, then the price must be naturally diluted to 4.5 per over, which is equivalent to the current 5.49 yuan, up 6.81% compared to 5.05 yuan. Based on the current stock market performance G resumption of view, the average opening price on the first day or roughly half of the right to fill, it shall be a natural ex post price increase for the ex-dividend half of the combined holdings of major shareholders, the bottom line, so we conservatively expect G after the first day of resumption of Baosteel price range at 4.53-4.60 yuan.
After measuring the C of E Δ for Baosteel between 0.62-0.70, that is, Baoshan Iron and Steel rose 0.1 yuan per share price, that warrants changes in the prices of 0.062-0.070 yuan, warrant price range is the change in the magnitude of Baosteel 340%. Baosteel Warrants listing, whether the investor holds the warrant depends entirely on the investors to judge the trend after Baosteel, if the bullish Baosteel may continue to hold the warrants, if we look at the empty Baosteel, you can throw Warrants . But also can use this as a hedging tool in selling at the same time, after a certain number of Baoshan Iron & Steel to buy the same number of warrants, as a risk hedging tool. As a risk-hedging instruments, the number of purchase will have to maintain a neutral Δ. Finally, the warrant transaction will be taken to T +0 way up restrictions than the underlying stock decreases in the corresponding amplification, when the number of warrants in circulation less than 10 million copies, only to participate in a daily call auction.
In short, the warrants of high financial leverage and hedging tools, features, is its charm, which can make investors a small broad. However, the benefits and risks are always relative, said, and warrants the risk of these features are also a source to remind investors of one of the risk-reward ratio.
