Put warrant: continue the dance performance on the needle tip

Song Xi of United Securities

In the first three trading days of this week, the warrant market was actively traded, and some hot varieties also attracted the attention of many investors. At present, it has the following characteristics:

First, the warrant market is popular with short-term funds. As the stamp tax on stock transactions increased from 1 ‰ to 3 ‰, the cost of stock transactions increased significantly, while the advantage of exemption of stamp tax on warrant transactions was more obvious, attracting some investors who pursued short-term opportunities to retreat from the stock market to the warrant market. At the same time, the trading characteristics of warrant T+0 lead to active trading in the warrant market. From the perspective of warrants, only some warrants with higher absolute prices, such as Wuliang YGC1 Except that the trading volume of Yili CWB1 and Yili CWB1 has not changed significantly, the trading volume of other warrants has increased, and the trading volume of the first three trading days of this week has approached the total volume of last week; The price of put warrants fluctuates sharply due to their capital driven characteristics, except Potash fertilizer JTP1 In addition, the trading volume of other put warrants also showed a significant increase, indicating that the current put warrants attracted more short-term funds.

Second, put warrants continue to dance on the tip of a needle. Put warrants, as the only investment variety in the market that can hedge the downside risk of positive shares, performed very well in this round of market adjustment. This week, the five put warrants in the warrant market continued their thrilling performance. On Monday, except for Potash JTP1, which fell by 22%, other put warrants rose significantly, including Wuliang YGP1 Became the focus of the day, up 67%; On Tuesday, under the influence of the rebound of the market, the put warrants saw a brutal sell-off in the tail market, with Potash JTP1, the largest decline, reaching 50%, while Potash JTP1, the smallest decline CIMC ZYP1 It has also reached 23%, and the intraday amplitude of most of the put is more than 80%; On Wednesday, the put warrants opened sharply higher on the basis of the sharp decline of the previous trading day, and there was a general increase in the closing, with the largest increase Valin JTP1 And reached 54.96%.

The sharp fluctuation of put warrants can only be explained as the madness driven by funds. From the perspective of its investment value, its premium rate is still very high, the theoretical value of all put warrants calculated according to the B-S formula is still close to zero, the possibility of exercise at maturity is very small, and the secondary market price has greater risks. The hype of put warrants is completely divorced from the fundamentals, and its price fluctuation is like a dance on the tip of a needle, which must not be maintained for a long time. The hidden worry behind the pomp is very worrying. In particular, Potash JTP1, which is less than one month from its maturity date, will also start its future zero trip in a relatively short period of time, and investors should avoid its huge risks.

Third, the premium rate of warrants has rebounded and the risk has increased. Due to the downward shift of the overall center of gravity of the underlying shares, the leverage of some warrants has increased, and the leverage of investment warrants has begun to appear. Although on the surface, there was a considerable decline in warrants, their premium rate did not decrease significantly. On the contrary, the average premium rate rose from 4.26% on Friday to 11%, while the premium rate of Steel Vanadium GFC1 rose as high as 16%. This shows that the decline in the price of the warrant is mainly affected by the positive shares, but the implied volatility level does not decline but rises, and the overall risk of the warrant market has increased.