Small cap new warrants burst ZTE warrants own valuation is relatively low
http://www.sina.com.cn 10:17, March 17, 2008 Sina Finance
Guotai Jun'an Securities Zhang Han
Summary:
Last week, the index fell below 4000 points, and the corresponding positive shares of all warrants fell. At the same time, most warrants were also driven down. Only three small cap new warrants recorded positive returns in a single week, while the other small cap new warrants also suffered a small decline. Among them, Shanghai CWB1 rose nearly 42% in a single week, with an implied volatility of 150%, while Shenzhen SFC2 fell 16.44% in a single week, It is the only warrant whose decline exceeds that of the regular shares. In terms of trading volume, the trading volume of Wuliang, Yunhua and Steel warrants shrank by about 30%, while the trading volume of new warrants was about 50%.
The outbreak of new small cap warrants was expected. In terms of capital, despite the theoretical valuation analysis, under the background of such a decline in the overall market, the performance of regular stocks of warrants was unsatisfactory. At this time, steel, Wuliang Warrants and Yunhua Warrants with slightly smaller market values (with a market value of about 2 billion yuan) were boosted The energy required is obviously greater than the small cap warrants with a market value of only about 1 billion.
Therefore, if the positive stock market fails to form a decent rebound, the warrant market may still maintain the scenario of speculating in small cap warrants in turn. If the positive stock market can set off a strong rebound, the banking stocks with a large decline in the previous period are generally considered to be the leaders in the rebound, and the Shenzhen Development Bank SFC2 with a market value of only 1.15 billion yuan is particularly noteworthy. We believe ZTE ZXC1 is also a high-quality product in the rebound. First, ZTE warrants have a relatively low valuation (87% implied volatility, 67.85% premium rate) and a small market value (800 million yuan); Second, ZTE It will benefit a lot from telecom restructuring.
1. Analysis of domestic warrant market
Last week, the index fell below 4000 points, and the corresponding positive shares of all warrants fell. At the same time, most warrants were also driven down. Only three small cap new warrants recorded positive returns in a single week, while the other small cap new warrants also suffered a small decline. Among them, Shanghai CWB1 rose nearly 42% in a single week, with an implied volatility of 150%, while Shenzhen SFC2 fell 16.44% in a single week, It is the only warrant whose decline exceeds that of the regular shares.
The trading volume of the index shrank, but the trading volume of new warrants was more active than that of last week, while the trading volume of old warrants was relatively quiet. The trading volume of Wuliang, Yunhua and Steel warrants shrank by about 30%, and the trading volume of new warrants was about 50%.
The total turnover of warrants last week was 136.339 billion yuan, accounting for 22.75% of the market. The premium rate of warrants rose significantly last week, and the premium rate of most new warrants reached a six-month high.
2. Investment strategy
The outbreak of new small cap warrants was expected. In terms of capital, despite the theoretical valuation analysis, under the background of such a decline in the overall market, the performance of regular stocks of warrants was unsatisfactory. At this time, steel, Wuliang Warrants and Yunhua Warrants with slightly smaller market values (with a market value of about 2 billion yuan) were boosted The energy required is obviously greater than the small cap warrants with a market value of only about 1 billion.
Therefore, if the positive stock market fails to form a decent rebound, the warrant market may still maintain the scenario of speculating in small cap warrants in turn. If the positive stock market can set off a strong rebound, the banking stocks with a large decline in the previous period are generally considered to be the leaders in the rebound, and the Shenzhen Development Bank SFC2 with a market value of only 1.15 billion yuan is particularly noteworthy. We think ZTE ZXC1 is also a high-quality product in the rebound. First, ZTE warrants have a relatively low valuation (87% implied volatility, 67.85% premium rate) and a small market value (800 million yuan); Second, ZTE will benefit a lot from the telecom restructuring.
