Ping An Securities Derivatives Department
In the eyes of many investors, the price limit system of warrants seems unpredictable. For example, on July 23, 2007, WISCO CWB1 rose by 23.37%, that is, the limit, while on April 24 this year, WISCO CWB1 rose by 33.99%, still without the limit; On June 10 of this year, SFC2 of Shenzhen Development Bank fell by 30.79% and was sealed at the limit, while on June 19, it fell by more than 50% and did not fall at the limit... What is the matter?
The rise and fall limits of China's stock market are calculated in percentage, and some investors habitually "transplant" this rule into the warrant market, thus being puzzled by the rise and fall limits of warrants. In fact, since warrants are derivatives, the price change mainly depends on the change of the positive share price, and has a certain leverage effect. Therefore, it is unreasonable to set the limit of rise and fall with a fixed percentage.
To give a simple example, if the exercise price of a European warrant is 10 yuan, the price of the underlying stock on the day before the expiration date is 10.5 yuan, and the corresponding market price of the warrant is 0.6 yuan. If the shares fall by the limit on the day of maturity, the warrant is obviously worthless, so the decline of the warrant should be close to 100%. It can be seen that it is obviously not feasible to limit the rise and fall of warrants to a fixed percentage of the warrant price.
Therefore, in order to effectively retain the leverage characteristics of warrants, relax the fluctuation space of warrants, and at the same time prevent excessive speculation in the market, the limit range of China's warrants is limited by absolute prices rather than percentages. According to Article 22 of the Interim Measures for the Administration of Warrants of the Exchange, the trading of warrants shall be subject to the price limit, and the price limit shall be calculated according to the following formula:
The rising price of the warrant=the closing price of the warrant on the previous day+(the rising price of the underlying securities on the current day - the closing price of the underlying securities on the previous day) × 125% × the exercise ratio;
The decline price of the warrant=the closing price of the warrant on the previous day - (the closing price of the underlying securities on the previous day - the decline price of the underlying securities on the current day) × 125% × the exercise ratio.
When the calculation result is less than or equal to zero, the decline price of the warrant is zero.
To be specific, Shanghai Stock Exchange and Shenzhen Stock Exchange are different in some details of calculation: when calculating the price, Shanghai Stock Exchange needs to first round the results of each step to the minimum price unit, while when Shenzhen Stock Exchange calculates the price, it first calculates the price of the underlying securities (accurate to 0.001 yuan), and the rest of the calculation steps do not round, The final calculated rise and fall price of the warrant is rounded to the nearest 0.001 yuan.
Taking SFC2 of Shenzhen Development Bank as an example, the closing price of SFC2 of Shenzhen Development Bank on the trading day before June 10 this year was 10.050 yuan, the price of regular shares was 24.75 yuan, and the price decline of regular shares was 24.75 × (1-10%)=22.275 yuan. Therefore, the decline price of the warrant is 10.050 - (24.75-22.275) × 125% × 1=6.956 yuan, which is also the closing price of SZSE SFC2 on the same day.
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