Market participants believe that the closing price of WISCO's subscription is too low, but the closing price of its put is too high, and the charm of butterfly warrants is finally apparent
Li Jing
Some insiders believe that the final exercise of the warrants is determined by the positive shares, but in the final five exercise days of the WISCO warrants, the number of the relevant warrant exercise rate and the purpose of the exercise will in turn affect the short-term trend of the positive shares. He believes that the trend of Wuhan Iron and Steel Corporation's regular shares in these five trading days is likely to have dramatic changes
Yesterday, as the first butterfly warrant in the market, WISCO's warrant officially ended. However, for these two warrants, which had no suspense about whether to exercise or not, it still gave the market two "surprises": there was an arbitrage space of 0.23 yuan between the closing price of WISCO subscription (580001. SH) and the regular shares and exercise price of WISCO; As for the put of WISCO, when the theoretical value was zero early, there was no return trend to zero at the end of the day, and the closing price was as much as 0.06 yuan.
Market participants generally believe that the subscription price of WISCO is too low and the put price of WISCO is too high simply from the final closing price of the two warrants.
Why does subscription leave arbitrage space
The final closing price of WISCO's subscription was 0.497 yuan, and its exercise price was 2.62 yuan, while the closing price of WISCO's regular shares yesterday was 3.35 yuan, which means that if you do not consider the exercise costs and the service fees of selling the regular shares of WISCO, you can buy WISCO's subscription at the end of yesterday's session, and then exercise today, there is theoretically an arbitrage space of 0.23 yuan (3.35-2.62-0.497).
"The only explanation for this situation is that, although there is arbitrage space, it needs to bear the risk of stock price fluctuations that can not be sold immediately after 16 days of exercise," said Huang Wenqing, a researcher of Guotai Jun'an New Product Development Department, "According to the regulations, the warrant cannot be sold for profit on the same day after the exercise, but can only be sold on the next day. For investors, there is a risk of fluctuations in the equity of one day. If the equity falls by 0.23 yuan or more on that day, the gains and losses of the investor's exercise will not be worth the loss."
citic securities A derivatives researcher also held the same view. At the same time, he pointed out that the exercise cost of investors must also be considered. "Buying a warrant is 0.497 yuan, but if you want to exercise, you have to pay more than five times the warrant price, so the investment cost is too high."
The above two people said that it was based on these two considerations that investors did not buy WISCO warrants crazily and made their arbitrage space close to zero when there was obvious arbitrage space yesterday.
At the same time, the market was also puzzled by the trend of WISCO's put at the end of yesterday. Different from several warrants whose theoretical value was zero that had been closed before, there was no trend of rapid collapse, panic selling, and price approaching zero in the late market. Even compared with the subscription of WISCO, the late market trend was relatively more stable, and the final closing price was as much as 0.06 yuan.
Huang Wenqing believed that the move could only be explained by speculation, that is, before the closing of the last exercise day on the 22nd, the positive share price fell below the exercise price of 2.83 yuan. "Since the cost of holding warrants is still 0.06 yuan, investors with this idea will be able to maintain their principal only if they fall below 2.77 yuan at least. This actually means that in the next five trading days, the positive shares will fall by at least 18% before they have a chance to make a profit. This does not take into account the transaction costs of buying positive shares to exercise their rights, so for these investors, the chances of final profit are relatively small."
The Game of Put Not Returning to Zero
The above persons are analyzed from the perspective of holding WISCO call warrants or WISCO put warrants separately. Some market participants pointed out that if an investor holds these two warrants at the same time, the situation will be different.
Due to the existing arbitrage space of the warrant holders, according to the general idea, the investors who currently hold the warrant holders of WISCO will choose to exercise today. If these people are all speculators, it is expected that they will automatically sell the positive shares from the exercise in the morning of the 17th.
"Due to the concentrated action of exercise investors, the extreme effect is that the regular shares of WISCO may fall by the limit in the morning of the 17th." The source pointed out that, "Judging from the trading situation of WISCO's up and down limit on the latest trading day, the selling order of 150 million shares of WISCO is expected to reach the down limit. However, WISCO subscribes 474 million shares in total. Even if not all of the shares are exercised, 300 million shares are exercised. The results of centralized selling of these shares from the exercise can also be imagined."
More extreme may be that the stock price will fall in the future. However, when the stock price reaches 2.77 yuan or less, investors who hold both WISCO subscription and WISCO put can no longer sell, because at this time it is entirely possible to control the risk of the stock price falling by exercising the put warrants in their hands.
However, the person pointed out that the centralized selling after the exercise of WISCO's subscription led to a possible sharp decline or even an unlimited limit, which was just the assumption that its holders were purely speculative arbitrage. In fact, there were institutions holding warrants to lock in costs. In addition, in order not to be forced to dilute the equity in the big fluctuation of the positive shares, we will sell the positive shares yesterday and hold them in the future through exercise.
Some insiders believe that the final exercise of the warrants is determined by the positive shares, but in the final five exercise days of the WISCO warrants, the number of the relevant warrant exercise rate and the purpose of the exercise will in turn affect the short-term trend of the positive shares. He believes that the trend of Wuhan Iron and Steel Corporation's regular shares in these five trading days is likely to have dramatic changes, and investors should be cautious in participating.
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