Primary dealer of warrants GF Securities Guo Yong
The newly listed warrant CWB1 (580012) was again popular in the market, and some investors expressed their wish to know the valuation method of this new warrant.
Some investors will get the warrant pricing report or investment strategy report written by professional institutions from various channels before the listing of new warrants. Some investors will ask: How is the pricing method of new warrants different from that of old warrants? Why do you usually only see the valuation report of new warrants? In fact, there is nothing special about the valuation method of newly listed warrants, such as the common Black SC holes model, binary tree model, etc. This operation process involves the knowledge of financial engineering, and investors without time and energy actually do not need to study deeply.
The key point is that the listing of new warrants is the same as that of new shares. There is often a process of price positioning, and the volatility is often large. This is the case with the recent explosion of CWB1. Once the market consensus is reached, the price will tend to be balanced. The difference is that, shares The driving factors of are mainly from the fundamentals and capital technology. When new driving factors appear, the stock price will be adjusted to another relative equilibrium position driven by supply and demand forces; The warrant is different. The warrant is a derivative product, and its main driving factor lies in its terms and the price change of the positive shares. Therefore, the rise and fall of the positive shares will drive the change of the warrant price. The passage of time and the change of the market risk-free interest rate will affect the change of the warrant price. It can be seen from this that the valuation report of warrants is a bit like a last resort, which can only be carried out by taking the historical share price and historical volatility of the positive shares before listing, or the assumed share price and implied volatility. Once the stock price changes, the theoretical price of warrants will naturally change, and the validity period of valuation is very short.
As long as investors understand this truth, they should not be bothered by "new" words or reports in operation. For Cloudization CWB1, we can probably consider the following factors: First, the fundamentals of positive shares are optimistic, and many analysts give investment ratings for increased holdings, which is conducive to the performance of warrants; Second, considering Yuntianhua The circulation of warrants is small, with only 54 million shares, and 18 million shares held by major shareholders, and the securities companies cannot create them, so there is no creation risk; Third, investors who use volatility analysis can refer to the fact that the implied volatility of warrants is currently concentrated between 90% and 120%. Of course, this is the method of following the market; Fourth, investors who use leverage premium analysis can roughly measure that when the warrant price reaches about 14.5 yuan and the equity price is 21.7 yuan, the effective leverage is less than 1.12 times, and the investment leverage has basically disappeared, while the premium rate is more than 50%, which has become very attractive and even has the risk of overestimation.
