He Xiang, Bohai Securities Research Institute

◆ In 2008, the performance of warrant market was relatively resistant, and speculation was obvious

In 2008, the share reform warrants gradually expired and withdrew from the market, while the equity warrants issued and listed with the separate trading bonds are becoming the main types of warrants.

In 2008, as the A-share market experienced a round of sharp decline, the decline of all the positive shares of warrants was also large, which led to the general decline of warrants. However, most of the warrants outperformed the regular stocks in terms of performance. It is precisely because of the high speculative characteristics of the warrant market that their resilience to falls is highlighted.

Although the warrant market is small in size, the transaction is extremely active, and the transaction amount is even higher than that of A-share market on very few trading days. The daily turnover rate of the warrant market is generally about 200%, which fluctuates up and down. At the highest point, the daily turnover rate has exceeded 300% for many times, which is highly speculative.

◆ The warrant market is in an overvalued and high-risk state

From the perspective of theoretical value, implied volatility, historical premium rate and comprehensive comparison with the valuation of Hong Kong warrant market, the market value of A-share warrants is seriously overestimated, and only the valuation of Ejiao, Guodian, Gezhou, Jiangxi Copper and other warrants is relatively low.

Most of the warrants have the risk of returning to zero when the stock price is still lower than the exercise price at maturity, and the possibility that the future positive share price will support the cost of most current warrant holders is even more remote. The relatively low risk warrants are E Jiao, Jiangxi Copper, Guodian, Gezhou, etc.

◆ Investment strategy: conservative speculation, game fluctuation

At present, the warrant market is still a market with high risk and high speculation. Most of the varieties have no investment value and only have speculative trading opportunities. Warrant investors should fully understand the current risk characteristics of the warrant market, and can adopt conservative speculative strategies to conduct speculative transactions and grasp the short-term trading opportunities brought by warrant fluctuations. In the future, we can focus on undervalued and low-risk varieties, high Delta value and high leverage varieties, and low premium and high leverage varieties.

◆ Recommendation of warrant types:

Ejiao EJC1, Guodian CWB1, Gezhou CWB1, Tsingtao Beer CWB1, Jiangxi Copper CWB1

Sina statement: The content of this article is purely the author's personal opinion, which is only for investors' reference and does not constitute investment advice. Investors operate accordingly at their own risk.