Ping An Securities Derivatives Department Zhang Junjie
In recent years, some share reform warrants have been delisted upon expiration, and most of them are in the price of subscription warrants, with negative premium on the last trading day. For example, March 23 is Baotou Steel JTB1 The premium rate of Baotou Steel JTB1 is -5.39% based on the closing price on the last trading day of the day. Similarly, Hangang JTB1 The premium rate on the last trading day is -5.55%. Two subscription certificates expired last week First JTB1 and Wanhua HXB1 The final premium rate is also -2.80% and -3.35% respectively. A common feature of these warrants is that they are all subscription certificates in deep price. So, why do these in price subscription warrants have discounts on the last trading day? The main reasons are as follows:
First of all, there is no short selling mechanism in China's stock market, and the subscription certificate has a negative premium rate on the last trading day, so investors cannot carry out risk-free arbitrage by short selling positive shares and buying subscription certificates. Taking Baotou Steel JTB1 as an example, if there is a short selling mechanism, investors can sell short on their last trading day Baotou Steel shares At the same time, buy the same amount of Baotou Steel JTB1, and then exercise on the next day. Return the stocks obtained from exercise to the borrowed stocks from short selling, and you can obtain risk-free profits. In this way, the negative premium of Baotou Steel JTB1 will disappear rapidly due to the existence of arbitrage factors.
Secondly, on the last trading day of warrants, if the premium rate of in price subscription warrants is greater than 0, it is obviously more cost-effective for investors to sell warrants than to exercise warrants, and rational investors will choose to sell warrants. If the premium rate of the in price subscription certificate is very close to 0, the market price of the in price subscription certificate is almost the same as its intrinsic value, and the exercise of the warrant held is not more cost-effective than the exercise of the warrant sold. Moreover, the exercise of the warrant in China adopts negotiable securities For payment settlement, if an investor holds the exercise of in price subscription warrants, it is troublesome to prepare additional funds to buy corresponding positive shares at the exercise price. Therefore, the result of the game is that some investors choose to sell warrants, which will also lead to a negative premium rate of warrants.
Third, since the stocks obtained from the exercise must be sold on the next trading day, investors will also face the risk of falling stock prices if they choose to exercise their warrants. Therefore, these investors are worried about the decline of the stock price and will also choose to sell warrants on the last trading day, thus reducing the premium rate of warrants.
Therefore, the slight negative premium of in price warrants on the last trading day is normal under China's current warrant trading rules. When the negative premium degree on the last trading day of the subscription certificate is relatively low, for example, the negative premium degree is less than 3%, and investors may not earn a stable profit when they buy the subscription certificate and exercise the right the next day. Only when the negative premium degree is relatively high, such as the negative premium degree is higher than 5%, and the investors judge that the stock price of the positive shares will not fall sharply, they will be more likely to make profits by buying the negative premium subscription warrants on the last trading day.
