Meng Jintao
Warrants are a kind of stock options. They are called "turbo" warrant in Hong Kong Stock Exchange. The remaining trading time of warrants near the exercise period is very short. The industry calls them "doomsday round". Recently, the sharp fluctuation of this "doomsday round" in the A-share market has caused widespread concern in the market and exchanges.
The "doomsday wheel" acts against the wind
On August 14 and 15, Baosteel warrant“ Baosteel JTB1 ( information quotation forum ) ”It even rose more than 20% for two consecutive days. On the afternoon of August 14, there was a 30% increase, and the turnover rate was as high as 441.28%. In Baosteel Warrant ( information quotation forum ) Under the influence of, all the steel share warrants also rose to the sky, and the red market was closed. In two days, the turnover rate was more than 400%. Even all the people with Baosteel warrants hyped in the market, there were four rounds every day. The colleagues sitting in front of the computer watching the market also stared at the time-sharing trend of "Baosteel JTB1" without blinking, muttering "crazy, crazy!" If it was put in the securities market half a year ago, it would be a trivial matter, Not only did the management ignore it, but also the market did not pay attention to it at all, but this time it was just the opposite.
The exchange was angry. Xinhua News Agency reported that "the relevant person in charge of the Shanghai Stock Exchange said that the" Baosteel Warrant "was nearing its expiration, and the Shanghai Stock Exchange, in its recent transaction monitoring, found that some investors still had irregular operations, suspected of manipulating the price of the" Baosteel Warrant "through a large number of consecutive purchase orders and cancellation orders.", "On the 15th, SSE took measures to restrict trading in an intraday securities account of Guotai Jun'an Securities Co., Ltd. Shanghai Jiangsu Road Business Department."
On August 10, Baosteel Group entrusted Baosteel ( information quotation forum ) It was announced that the last trading day of the warrant "Baosteel JTB1" issued by Baosteel Group was August 23 ( information quotation forum ) The closing price of the positive shares is 4.04 yuan, and the closing price of "Baosteel JTB1" is 0.418 yuan. The embedded value of "Baosteel JTB1" on that day is 0.00 yuan. Even according to the internationally accepted Black Scholes model for calculating the theoretical value of warrants, the current theoretical value of "Baosteel JTB1" is only 0.024 yuan, based on a risk-free return of 2.25% and a volatility of 20% of the stock price of "G Baosteel".
In fact, the closing price of the "Baosteel JTB1" market on August 10 was 0.388 yuan, and the premium rate was infinite based on the embedded value; If calculated according to its theoretical value, the market price premium of the day is 1516%. This is the third risk reminder of Baosteel Group. Although there are risks, it does not prevent speculators from speculating in the market. On August 11, "Baosteel JTB1" fell by 8.25%. On August 14 and 15, the Baosteel warrant "Baosteel JTB1" unexpectedly rose by more than 20% for two consecutive days. For a product with only seven remaining trading days and a value of zero, such crazy speculation, It even used the technique of "a large number of continuous declarations of purchase and cancellation" to lure the market to follow the trend, and it did not pay attention to the real-time monitoring of the exchange.
It is no wonder that the Exchange has "taken measures to restrict trading in the session", but whether the management should also consider whether the warrants serving the share reform, since its birth, have encouraged speculation and exacerbated market shocks.
Products serving the share reform
In the middle of July 2005, the Shenzhen and Shanghai Stock Exchanges respectively published the interim management measures for warrants management, which stipulated the companies issuing warrants, and required them from the indicators such as the circulating market value, the circulating capital stock, and the cumulative turnover rate. Only the large cap stocks in the market can meet these indicators. At that time, it was also at the beginning of the second batch of pilot projects of share reform that such a new type of transaction was produced, with an obvious purpose of serving the share reform.
At that time, market participants commented that warrants provided an opportunity for large state-owned companies to issue "empty checks" during the share reform. The consideration plan for share reform includes warrants. Non tradable shareholders do not need to send shares or cash, but only warrants. The tradable shareholders see that warrants can benefit from the secondary market in the future, and they happily voted in favor. Most of these warrants will not be necessary to exercise when they expire.
Generally, the warrant is to purchase the stock from the major shareholder who issues the warrant at a certain price. When the stock price in the secondary market is higher than the exercise price, who will exercise. The put warrant is that the warrant holder can sell the shares to the warrant issuer at a certain agreed price. It is not difficult for major shareholders to create good news for the listed company. This has been an industry secret. A good situation will drive up the price of the secondary market, and there is no need to exercise the put warrant. Except for butterfly warrants, the put and call warrants issued at the same time will definitely have one kind of exercise. This time, it was guessed correctly by market people.
It seems that Baosteel's warrant has no value for exercise. Vanke ( information quotation forum ) The exercise price of put warrants is 3.638 yuan. On August 16, Vanke's stock price closed at 6.30 yuan. When it could be sold at 6.30 yuan, no one would choose to sell it at 3.638 yuan. Vanke's warrants would become a piece of waste paper. In the share reform, Vanke did not give out shares due to the low shareholding ratio of major shareholders, but gave out 8 put warrants for every 10 shares. The 27 warrants currently traded in the A-share market are all included in the consideration plan in the share reform plan.
According to the statistics of Shanghai Stock Exchange, as of July 13, there were still more than 49000 Baosteel warrant accounts in the distribution of G Baosteel's share reform warrants without any trading behavior, holding 8.9 million Baosteel warrants in total, including 885 accounts holding more than 1000 warrants and 3.35 million warrants in total. These warrants were obtained from the distribution of consideration for G Baosteel's share reform, and most of these warrants were held in individual accounts. Even at the current price, the market value of these warrants is 4.95 million yuan. I hope these investors will sell these warrants as soon as possible. Otherwise, after August 23, they will be worthless electronic junk symbols.
Trading rules encourage speculation
Warrants realize "T+0" transactions. Buying on the same day can sell on the same day, which results in the daily turnover rate of more than 400% mentioned at the beginning of the article. At present, in the domestic securities market, only warrants can be traded on "T+0", which can be bought and sold several times a day. A fund can be used multiple times on the same day. The profit seeking nature of the fund will also make the fund flow to the warrant transaction. The calculation of the price limit is related to the closing price of the positive shares the day before yesterday. When converted to warrants, the price limit is basically above 30%.
The next day when WISCO's warrant was listed, it rose by 42.58% to reach the limit, and the third day, it rose by 29.86% to reach the limit. Maotai put warrant ( information quotation forum ) The initial reference price was set at 0.149 yuan. The previous day's price of Maotai regular shares was 43.99 yuan, which converted the price of Maotai put warrants to 1.524 yuan. On that day, the increase of Maotai warrants reached 922.82%. On the next day of listing, the increase of 99.28% still touched the limit.
As a speculator in the market, as long as the price is rising and today's price has not touched the limit, he can fully chase the rise. If he is wrong, he can also immediately sell the stop loss. It is enough for the operation of large funds to have an increase of less than 10% a day, let alone 20% - 30% room for manoeuvre.
Therefore, on December 6, 2005, only 6 warrants were traded on that day, with a turnover of 10.181 billion yuan, while the total turnover of 1227 A-shares traded on that day was only 7.892 billion yuan, with 6 warrants trading more than 1227. On July 14, 2006, 27 warrants were traded on the market, with a turnover of 24.375 billion yuan. The enthusiasm of the market for warrants obviously exceeded the normal level, and the unfair creation did not curb speculation.
It is reported that in the first half of 2006, if the trading commission of warrants was calculated at 0.1%, the warrant business alone would bring 1.877 billion yuan of income to the exchanges and securities companies. This is normal income, and the market is justifiable. However, since the listing of WISCO warrants, the securities companies can create warrants for trading for the warrants issued by a company, and the income gained from it makes the market doubt the fairness of the securities companies' creation. Since the media questioned the fairness of the "creation" system at the beginning, the creation and cancellation of warrants have never stopped.
First, the creation of warrants has resulted in the incalculability of the market's negotiable quantity. Because the creation of warrants by securities companies only needs to be approved by the Exchange and disclosed in the public media. The main stakeholders involved in the creation of warrants are the issuer of warrants, the shareholders of tradable shares, the Exchange and the creation of securities companies. The beneficiaries of the creation of warrants are mainly the creation of securities companies and exchanges. The creation of warrants in the case of hot warrants is simply an additional risk-free return for securities companies.
Moreover, for the holders of tradable shares, they obviously value the latter more in terms of the theoretical value and market price of warrants. The higher the price of warrants in the short term, the greater the actual income they may obtain. The number of warrants in circulation in the market is directly related to the price of warrants, and the creation of warrants will obviously reduce their actual income to a certain extent. Moreover, before voting on the share reform plan, the listed company's share trading reform plan only mentioned that the warrants may be created, but the number of created warrants is unknown to the listed company, and such speculative management will be severely hit.
However, the management believes that the speculative nature of Baosteel warrants is obvious, so it is necessary to create warrants in the subsequent listing of WISCO warrants. The purpose of creation is to stabilize the market, combat speculation, and make the price of warrants tend to return rationally. However, WISCO warrant is the most created warrant, and its price trend chart shows no rational return. Uncreated Shenzhen market New steel vanadium ( information quotation forum ) warrant Steel Vanadium PGP1 ( information quotation forum ) The intraday oscillation was no higher than WISCO Warrant.
The butterfly warrants of WISCO will expire on November 22, 2006, which is the third warrant to expire. The butterfly warrants of WISCO are also the most created and cancelled warrants by securities companies. According to WIND information statistics, the latest balance of WISCO call warrants is 1.405 billion, the first issue of WISCO Group is 474 million, and the latest balance of WISCO put warrants is 679 million, The first issue of WISCO Group was 474 million, and the latest balance was higher than the issue amount.
The price of the regular shares of WISCO is now about 2.4 yuan, the exercise price of the call warrants is 2.90 yuan, and the exercise price of the put warrants is 3.13 yuan. The put warrants have exercise value, and the intrinsic value of the call warrants is basically zero. According to the analysis of senior people as early as July 10, the maximum possible price range of WISCO shares when they expire is 2.7 to 3 yuan, The founder of the call and put warrants will make a total profit of about 1 billion yuan, which will be shared by the investors who hold the expired warrants. The current investors who hold the two warrants of WISCO will lose a total of 900 to 1.23 billion yuan if they hold the expired warrants. It is a wise choice to sell them as soon as possible, but selling them will also transfer the losses to the next investor, If the creator of warrants does not cancel their warrants before the expiration, investors will not be able to avoid the loss of nearly 1 billion yuan. The expiration of WISCO warrants is still 3 months away. Let's quietly watch how the creators of warrants ended.
Pay attention to varieties with long maturity
Now the A-share market continues to decline, and it is not optimistic that there will be a big increase in the second half of the year, while the valuation focus of put warrants continues to move downward. There is a view that since there are warrants in the market, we can use them to build a combination of put warrants and underlying securities, on the one hand, to avoid the risk of stock market decline; On the other hand, use the market to obtain low risk returns.
Valin JTP1 ( information quotation forum ) It is a put warrant with a maturity date of March 1, 2008, which has a high time value and is in a discount state. If in the exercise period, there will be risk-free profits. This situation also occurred during the downturn of warrants, but with the active warrant market, the discount gradually disappeared, the premium appeared, and the premium rate continued to rise, the highest being close to 20%, which means that the portfolio has at least 10% yield at the discount. Similarly Shanghai Market JTP1 ( information quotation forum ) At present, the premium rate is about 6%, and the maturity date is March 6, 2007.
Wuliang YGC1 ( information quotation forum ) Expired on April 2, 2008, it is the warrant with the longest time to maturity. At present, it is the warrant with the highest time value among all the warrants, and its premium rate is less than 10%. Although the current stock market is risky, investors who are fond of risk may also want to try it.
