Primary dealer Guosen Securities
Last week, under the influence of the two expiring warrants, the decline of the warrants in the two markets greatly exceeded that of the stock spot market in the case of a downturn in the stock spot market. The put warrants that were stronger when the stock spot fell in the earlier period were also not spared. In the cumulative data of one week, there were only two put warrants with the lowest premium in the two markets -—— Valin JTP1 and Shanghai Market JTP1 Accumulated increase, and other warrants fell across the board. The warrant is in the worst hit area, with an average decline of 20.82%, and the average decline of corresponding positive shares is 5.98%; The average decline of put warrants was 10.06%, and the corresponding average decline of positive shares was 5.52%. As of last Friday, the negative premium phenomenon of Valin JTP1 appeared again, and the risk free return opportunity of Valin portfolio reappeared.
In addition, compare the decline of each warrant category last week, Vanke HRP1 and Baosteel JTB1 The decline of more than 30%, the highest in both cities. The warrant of Shanghai Steel was dragged down by Baosteel JTB1, with an average decline of 25.57%. It can be seen that last week's market also dragged down similar warrants while the two expiring warrants quickly released risks, which fully met our previous expectations. Vanke HRP1 has officially entered the ranks of "Fairy Wheel" after experiencing the decline last week, and the market price has been below 0.10 yuan. However, this is just the beginning. After experiencing the decline from high to low, it will also experience a painful "from presence to absence". Therefore, deep out of price put warrants will probably experience greater shock in the next two weeks. Generally speaking, the negative premium of put warrants is shares As one of the signs of the strength of the spot market, although the stock spot market was quite depressed last week, it could not be ruled out that the same rapid rebound occurred after a short-term rapid decline. Under such expectations, it is particularly necessary to avoid deep out of price put warrants.
After the extreme form of the market in the previous week has been realized, the trend of warrants is expected to moderate this week, and some of the varieties that have been dragged down and led to a sharp decline are expected to rebound. However, the trend of put warrants is still not optimistic, and the market will understand the true meaning of "out of price warrants" under the demonstration effect of Vanke HRP1. Although we do not rule out the possibility of the doomsday round effect, each rebound will bring a greater decline when approaching the exercise period, and blind speculation will bring great risks. The best way is to select the varieties with clear expectations for individual stocks, low premium and long residual duration to completely avoid high-risk varieties.
