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Li Junfeng, Jinxin Securities Warrant Center
Delta
The offset value reflects the change of the theoretical price of the warrant when the price of the relevant asset changes by one yuan.
The hedging is also to calculate the opportunity rate of investors to exercise warrants at the maturity date according to the pricing model.
Offset is also a hedge ratio, which shows the number of shares that the issuer needs to buy or sell when hedging a warrant.
Example: PetroChina of Societe Generale Securities（ information quotation forum ）The offset value of the warrant (9546) is 45%, which means that the theoretical price of the warrant will change by 0.045 yuan (1.00 yuan × 45% ÷ 10) every time PetroChina shares change by 1.00 yuan (10 shares for 1 share).
This also means that in order to hedge 10 million subscription certificates, the issuer needs to purchase 450000 shares of PetroChina.
Premium
Premium refers to the percentage of the relevant asset price that needs to change when the warrant expires, so that investors can achieve no gain or loss.
Premium of subscription certificate (expressed as a percentage of the price of relevant assets):
Premium={[exercise price+(subscription price × exchange rate)] - spot price}/spot price × 100%
Premium of put warrant (expressed as a percentage of relevant asset price):
Premium={spot price - [strike price - (put warrant price × exchange rate)]}/spot price × 100%
example:
The price of Foxconn warrants (9905. HK) on July 21, 2004
Reference spot price: 100 yuan
Exercise price: 95 yuan
Warrant price: 1.59 yuan
Exchange rate: 10 shares for 1 share
calculation:
Premium={[HK $95.00+(HK $1.59 × 10)] - HK $100.00}/HK $100.00 × 100%
Premium=10.90%
Short term, medium term and long term
Warrants can be divided into out of price, in price, in price, short term, medium term and long term. How to define the warrants with different ages and different value conditions?
The length of warrants refers to the remaining investment period of warrants. We define warrants with a remaining period of less than one month as short-term; The remaining period of one to three months is defined as medium term; If the remaining maturity is three months or more, we call it long-term. At present, the listing regulations stipulate that the minimum term of newly issued warrants is six months. Due to the continuous introduction of new types of warrants, some special warrants are issued for as long as two years.
From the difference between the exercise price and the positive share price, warrants can be subdivided into in price to deep in price, or out of price to deep out of price. Generally speaking, if the strike price is more than 20% away from the spot price, we will call it deep out of the price or deep in the price. However, this 20% is only a concept, not an absolute watershed. Depending on the volatility of the share price, it is possible that more than 10% can be regarded as deep out of price or deep in price securities.
From the perspective of moderation, ordinary investors can consider three month warrants whose exercise price is about 5% away from the spot price. Aggressive investors can choose out of price and/or short-term warrants; Conservative type can choose the warrant in the price and/or in the longer term. However, regardless of whether it is long-term or short-term, in price or out of price, warrants are always leveraged investment instruments. Pay special attention to cash allocation and execution of erosion arrest. Don't just look at returns and ignore your ability to bear risks.
Remaining investment period
Very short term under one month
One to three months short-term
Mid term of more than three months
Over six months
Sina statement: The content of this article is purely the author's personal view, only for investors' reference, and does not constitute investment advice. Investors operate accordingly at their own risk.
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