Primary dealer of warrants Guosen Securities
Last week, with the sharp rise and fall of the steel plate in the market, the warrant market began to adjust the prices of the varieties that had risen significantly in the previous period and were not supported by the price changes of regular shares, which was mainly reflected in the Baotou Steel warrants（ Baotou Steel JTB1 ）And the put warrants of WISCO that became the doomsday round（ WISCO JTP1 ）The prices of the two put warrants fell by 10.24% and 23.86% respectively.
As the market continued to hit new highs last week, the performance of call warrants was significantly better than that of put warrants due to the support of positive share price changes. Last week, the price of call warrants fell by 0.84% on average, while the price of put warrants fell by 0.94% on average.
Although the price of warrants had a pullback last week, compared with the change of the corresponding positive share price last week, the pullback of warrants was obviously weak, expanding the premium rate of warrants. Although the overall level of warrant premium rate has risen, the change of premium rate of individual varieties should be paid attention to by the market and become the last round of Anshan Iron and Steel call warrants（ Ansteel JTC1 ）On last Friday, there was a discount transaction. In the current environment of revaluation of the steel sector, the negative premium of Angang's subscription has made the investment value of the warrants superior to the direct purchase of Angang's positive shares shares Especially for institutions, holding Angang JTC1 to exercise its rights upon maturity can avoid the impact of its purchase of regular shares on the price of regular shares.
The expansion of warrant premium rate has increased the risk of investment in the warrant market relative to equity stocks. Last week, the premium rate/historical volatility level of the warrant market was significantly higher than that of the previous statistical cycle. Although the increase of implied volatility level increases the risk of warrant market investment relative to equity investment, it reflects that funds begin to flow into the warrant market from another aspect, which will inevitably push up the overall price of warrants.
Last week, due to the expansion of premium rate, the warrant market activated the creation of securities companies. Although the total number of warrants market decreased by 193 million, the actual increase of warrant market was 95 million, regardless of the two warrants on the WISCO project. A total of 13 securities companies participated in the creation/cancellation activities, involving 13 varieties. As part of the consideration of share reform, covered warrants in the current market will gradually withdraw from the historical stage. With the introduction of convertible bonds and equity warrants of separate trading enterprises, if covered warrants are not introduced, the creation/cancellation activities of securities firms will gradually disappear from the warrant market.
One phenomenon in the warrant market last Friday deserves investors' attention, that is, the put warrants, except for Wuhan Iron and Steel Group JTP1, which immediately entered the exercise period, are collectively red. Considering the performance of the market index after the last time this situation occurred, the market performance is strikingly similar, and the role of warrants as a value discovery tool has been strengthened. Therefore, We suggest that investors should pay attention to the information appearing in the warrant market when making investment decisions.
