Primary dealer of warrants Guosen Securities
Due to the large adjustment of warrants in the early stage, although the market experienced a weak oscillation last week due to the impact of ICBC's listing, the overall warrant market remained stable, except for WISCO warrants and airport put warrants near the exercise period（ Airport JTP1 ）In addition, the prices of other varieties fluctuate slightly, but the range is not large. The market price of warrants rose by 2.93% on average last week. Excluding the impact of WISCO's call and put warrants, the market price of warrants rose by 3.96% on average last week, of which the average price of put warrants rose by 2.23%, and the average price of call warrants rose by nearly 4%.
Shenneng put warrant（ Shenneng JTP1 ）The exercise and delisting of WISCO made WISCO's call and put warrants（ WISCO JTB1 ， WISCO JTP1 ）Become the species closest to the exercise date. Last week, Wuhan Iron and Steel JTB1 and Wuhan Iron and Steel JTP1 continued to be written off in a large amount. On Monday, the price of WISCO rose sharply, which stimulated the price of WISCO warrants to rise sharply. Due to the lack of necessary short selling mechanism in China, when the increase in the price of call warrants exceeds the increase in the price of regular shares, the price of put warrants will inevitably rise. Therefore, the premium of Wuhan Iron and Steel JTB1 and Wuhan Iron and Steel JTP1 is rising at the same time. However, the warrant price will converge to the intrinsic value before expiration, so there will be a squeeze premium between Wuhan Iron and Steel JTB1 and Wuhan Iron and Steel JTP1 in the near future. We remind investors to pay attention to the inherent risks when investing in WISCO varieties.
Last week“ G Valin ”+“ Valin JTP1 ”And“ G Shanghai Airport ”＋“ Shanghai Market JTP1 ”Compared with the warrant market, the performance of the Shanghai Airport portfolio is better than that of the market and Valin portfolio, with the standard deviation of the portfolio value accounting for only 2.94% of the average, and the portfolio value rising by 7.36%; Last week, the ratio of the standard deviation of Valin's portfolio value to the average value was only 0.39%, and the portfolio value rose 1.47%. The stable trend of these two portfolios over a long period of time has proved that they can effectively defend against risks in both the warrant market and the spot market when there is a sharp decline, and there will also be better opportunities to cash in returns when the market is optimistic.
The data shows that the warrant premium rate and implied volatility are relatively stable this week, which indicates that the market has been adjusted in place and the price of most varieties can be expected to rebound significantly. Considering that the warrant market has many varieties near the exercise date, the market will face unprecedented pressure, and the price of varieties will not rise mainly by increasing the premium rate. Therefore, we suggest that investors focus on stocks with low premium rate and positive share price supported by performance.
