On May 17, warrant trading prompted Baotou Steel to subscribe for short-term opportunities

http://finance.sina.com.cn 06:56, May 17, 2006 Sina Finance

Sina Finance Note: excerpted from the daily warrant report of Xiangcai Securities. This is the exclusive cooperation column between Xiangcai Securities and Sina Finance. No unit or individual is allowed to reprint it without permission.

Zhu Huacheng and Huang Yuan

　　 Trading volume of warrant market hit a new high

On May 16, 2006, the market plunged back to 1613 o'clock. In this case, idle funds in the market poured into the warrant market, pushing the trading volume of the warrant market to a new high again, reaching 204.7076 yuan. Under the influence of the market, the put performance on the 16th was better than the warrant. The correction of the steel sector led to two steel put warrants, with Baotou Steel's and Wuhan Iron and Steel's put warrants leading the gains, up 14.507% and 13.507% respectively. The subscription of Wuliangye was still outstanding, driven by the strength of G Wuliangye, with an increase of 10.947% on the 16th and a total increase of 184.94% after the May Day holiday.

Three securities companies, including Guodu Securities Co., Ltd., created a total of 17 million initial subscriptions. Everbright Securities Co., Ltd. created 7 million Wanhua put shares.

CMB G and Handan Steel held a shareholders' meeting, and the trading of CMB put and Handan Steel subscription was suspended for one day.

Next Monday, 90661770 Youngor call warrants, 634632388 Youngor put warrants and 607361050 Qingdao Haier put warrants will be listed on the Shanghai Stock Exchange. At the same time, G Tangshan Iron and Steel Co., Ltd. launched the scheme of convertible corporate bonds with separate transactions, which means that there will be new types of warrants in the market. In addition, long-term electricity

OCT Other warrants are also in the pipeline. In the future, the warrant market will face greater expansion pressure. On the 16th, the market value of the warrant market has reached more than 20.4 billion yuan. In the future, if there is no continuous flow of capital into this market, it is likely that there will be a large-scale adjustment.

This week we recommend Wuliangye subscription, Pioneer subscription and Baotou Steel subscription. The reasons for recommending Wuliangye to subscribe are as follows:

1、 G. Wuliangye still has a large room for growth. On the 16th, the closing price of G Wuliangye was 14.90 yuan, and many research institutions believed that its valuation range was between 16 yuan and 18 yuan. Accordingly, the value of Wuliangye warrant will be greatly increased in the future (the exercise price of Wuliangye warrant is 6.93 yuan), and the warrant price is expected to reach 12.5-14 yuan.

2、 Guizhou Moutai, the leader of the brewing industry, has passed the share reform plan and will resume trading in the near future. The performance of Guizhou Moutai will further stimulate the corresponding sectors. The future trend of G Wuniang Liquor is expected to remain strong.

3、 The expiry date of the Wuliangye warrant is April 2, 2008, so the Wuliangye warrant is of great time value, and investors can also hold it as a medium - and long-term investment.

4、 This right securities firm cannot be established and has no expansion pressure. It is a good choice for both investment and speculation.

On the 16th, the subscription of Capital fell 11.98%, and the closing price has dropped to 3.541 yuan, so we can take the opportunity to build positions.

As G Baotou Steel will be listed as a whole, G Baotou Steel will have the mineral resources advantage of the group company, which will bring substantial benefits to the stock price of G Baotou Steel, and therefore bring huge momentum to the increase of Baotou Steel's subscription. Baotou Steel is expected to pay 2 yuan for subscribing short-term lines.

16 day warrant market transaction statistics

Transaction Date	Number of warrants	Trading volume (100 million)	Volume change rate (%)	Transaction amount (100 million yuan)	Change rate of transaction amount (%)	Warrant market turnover rate (%)
twenty million sixty thousand five hundred and sixteen	twenty	one hundred and fifty-four point seven zero four six	eighteen point two six	two hundred and four point seven zero seven six	twenty-three point seven six eight six	one hundred and eighteen point one four two five
twenty million sixty thousand five hundred and fifteen	twenty	one hundred and thirty point eight one seven four	thirty-seven point six two two eight	one hundred and sixty-five point three nine five four	thirty-nine point nine seven four six	one hundred point one three seven seven
twenty million sixty thousand five hundred and twelve	twenty	ninety-five point zero five five	－	one hundred and eighteen point one six one	－	－

16 day warrant variety value index analysis

Warrant type	Closing price (yuan)	Internal value (yuan)	Time value (yuan)	Premium rate (%)	Exercise price (yuan)	Right proportion	Remaining duration (days)	Leverage ratio
Ansteel JTC1	four point five zero seven	two point eight three	one point six seven seven	twenty-six point zero eight zero nine	three point six	one	two hundred and four	one point four two six seven
Wuliang YGC1	nine point five	seven point two four	two point two six	fifteen point nine four nine two	six point nine three	one	six hundred and eighty-eight	one point four nine one six
Steel Vanadium PGP1	one point five one eight	one point one three	zero point three eight eight	forty-one point six three seven eight	three point one six	one point five three five	three hundred and fifty-three	one point five nine six five
Vanke HRP1	zero point five one one	zero	zero point five one one	forty-nine point seven zero three one	three point seven three	one	one hundred and twelve	twelve point five two four five
Valin JTP1	one point four three	one	zero point four three	eleven point zero two five six	four point nine	one	six hundred and fifty-six	two point seven two seven three
Wuliang YGP1	two point eight three	zero	two point eight three	sixty-three point seven nine six eight	seven point nine six	one	six hundred and eighty-eight	five point zero zero seven one
Shenneng JTP1	one point seven two	zero	one point seven two	twenty-eight point three eight two	seven point one two	one	one hundred and sixty-four	four point three eight three seven
Baosteel JTB1	one point four six four	zero point zero five	one point four one four	thirty-one point zero seven six nine	four point five	one	one hundred and seven	three point one zero seven nine
WISCO JTB1	zero point seven nine	zero point zero three	zero point seven six	twenty-five point nine three eight six	two point nine	one	one hundred and ninety-one	three point seven zero eight nine
Baotou Steel JTB1	zero point nine one eight	zero point one eight	zero point seven three eight	thirty-three point eight five three two	two	one	three hundred and nineteen	two point three seven four seven
Hangang JTB1	zero point nine three eight	zero point three two	zero point six one eight	nineteen point eight zero seven seven	two point eight	one	three hundred and twenty-four	three point three two six two
First JTB1	four point zero two three	zero point six seven	three point three five three	sixty-four point two three three seven	four point five five	one	three hundred and forty-three	one point two nine seven five
Wanhua HXB1	seventeen point seven two six	fourteen point six three	three point zero nine six	thirteen point one zero two	nine	one	three hundred and forty-six	one point three three three one
Wanhua HXP1	four point two zero two	zero	four point two zero two	sixty-two point seven six seven seven	thirteen	one	three hundred and forty-six	five point six two three five
Raw water CTP1	one point seven seven five	zero	one point seven seven five	thirty-seven point three seven eight six	five	one	two hundred and seventy-three	two point nine zero one four
Baotou Steel JTP1	zero point seven one	zero point two seven	zero point four four	twenty point one eight three five	two point four five	one	three hundred and nineteen	three point zero seven zero four
Shanghai Market JTP1	one point six three four	zero point six six	zero point nine seven four	seven point five two seven	thirteen point six	one	two hundred and ninety-five	seven point nine one nine two
CMB CMP1	zero point five one one	zero	zero point five one one	thirty point six four seven eight	five point six five	one	four hundred and seventy-four	fourteen point five zero one
Airport JTP1	one point six five three	zero point four seven	one point one eight three	eighteen point one one six four	seven	one	two hundred and twenty-one	three point nine five zero four
WISCO JTP1	zero point eight one three	zero point two	zero point six one three	twenty point nine two one five	three point one three	one	one hundred and ninety-one	three point six zero three nine

　　 Appendix: Indicator Description and Application

　　 Internal value: The intrinsic value of the warrant=the price of the underlying securities - the latest strike price. If the price of the underlying securities<=the latest strike price, the intrinsic value is 0; The intrinsic value of the put warrant=the latest strike price - the price of the underlying securities. If the price of the underlying securities>=the latest strike price, the intrinsic value is 0.

　　 Time value: Time value=actual market price of warrants - intrinsic value. The price of any warrant is the sum of intrinsic value and time value. Investors can calculate the intrinsic value from time to time, but the time value decreases with the listing of warrants. Therefore, when judging the price of warrants, investors should pay attention to that as the exercise time approaches, the price of warrants will inevitably continue to approach the intrinsic value.

　　 Premium rate: The premium rate is the percentage change of the stock price before the expiration of the warrants, so that the warrant investors can make a hit on the expiration date. The premium rate is one of the data used to measure the risk of warrants. The higher the premium rate, the harder it is to make a match.

Premium rate of warrant=[(exercise price - warrant price/exercise ratio)/price of underlying securities - 1] × 100%

Put warrant premium rate=[1 - (exercise price - put warrant price/exercise ratio)/underlying securities price] × 100%

　　 Implied volatility: The Hong Kong market is called "extension amplitude". The extension amplitude is the market's expectation of the volatility of related assets in the future. When the extension amplitude rises, the price of the warrants will rise, while when the extension amplitude falls, the price of the warrants will fall. Investors should buy when the extension amplitude is low and sell when the extension amplitude is high. 　

(The authors are chief analysts of derivative products of Xiangcai Securities

Fudan Master of Science, University Mathematics Institute)

　　 Sina Finance reminds: >>Please inquire here for details of relevant individual stocks mentioned in the article

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