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(Lingshan) With the coming resumption of the trading of Changdian and Baosteel, the warrants will be listed soon. Investors need to master the characteristics and investment principles of the warrants. A research report of Guosheng Securities has made a detailed analysis of this, and we provide some excerpts for investors to refer to.
Key points of warrant
The warrant price fluctuates greatly and has timeliness, and the risk is high.
Attention should be paid to investment warrants: the holding time should not be too long, and close attention should be paid to the changes in the transaction prices of warrants and their underlying assets; The warrant investment position must be strictly controlled; Strictly stop loss and avoid passive investment.
The true leverage effect of warrants is determined by both hedge value and leverage ratio; The reference value of implied volatility is higher than the premium rate indicator. The lower the implied volatility of warrants issued on the same underlying asset, the more worth buying.
Factors affecting the price of warrants include the price of underlying assets, exercise price, price volatility of underlying assets, time to maturity, interest rate level, cash dividend distribution, etc.
The methods of warrant investment include hedging position risk, portfolio investment and non hedging risk single investment.
Baosteel（ information quotation forum ）Warrants are covered warrants, call warrants and European style warrants.
When the price of Baosteel shares is between 4.4-5.0 yuan, the option theoretical value of Baosteel shares is between 0.545-0.940 yuan.
If the investor's warrant comes from the grant, it is recommended to hold it in the short term to enjoy the income from the rise of Baosteel's share price. At the same time, the holder can redeem the warrant according to the judgment of the future market.
Generally speaking, the initial stage of warrant listing may be a good time to intervene, but since Baosteel's warrants are the first to launch warrants products, the stock price reaction may be excessive. Investors who want to directly intervene in warrants can calculate the corresponding share price of Baosteel's warrants, judge the price of warrants, and control risks.
Notes on warrant investment
(1) The holding time should not be too long, and close attention should be paid to the changes in the transaction prices of the warrants and the underlying assets of the warrants.
The value of warrants has timeliness. As the remaining time of warrants shortens, the time value of warrants also decreases. At the same time, the fluctuation range and frequency of the warrant price are large, so the transaction price of the underlying assets and the warrant itself must be closely watched when making warrant investment. If investors do not have time to pay close attention to the above prices, they should not invest in warrants.
(2) The warrant investment position must be strictly controlled.
Due to the large fluctuation range of warrant price, timeliness and high risk, it is not suitable to invest all funds in warrants.
(3) Strictly stop loss and avoid passive investment.
Research shows that when the warrant price is outside the deep price (for example, when the underlying asset price of the warrant is much lower than the exercise price, see the hedge index), the sensitivity of the warrant price to the underlying asset price is greatly reduced. Unless the underlying asset price rebounds significantly, there is almost no possibility of unwinding. In addition, the timeliness of warrants reduces the value of warrants over time. Therefore, once the warrant price falls below the set stop loss level, stop loss in a timely manner instead of covering positions or waiting passively.
Theoretical value estimation of Baosteel warrant
According to the instructions for the non tradable share reform of Baosteel, if the non tradable share reform plan of Baosteel is approved by the general meeting of shareholders, the warrant of Baosteel will be issued and listed.
1. Basic terms of warrants
1. Issuer: Baosteel Group Corporation (covered warrant).
2. Duration: 378 days from the date when the warrant is transferred to the account of the shareholders of tradable shares (including that date).
3. Type of warrant: European call warrant, that is, during the duration of the warrant, the warrant holder only has the right to exercise on the exercise date.
4 "Number of copies issued: 38-7.7 million
5 "Exercise date: the last trading day of the warrant duration.
6. "Exercise ratio: the number of A-shares of Baosteel Group held by each warrant holder at the exercise price. The initial exercise ratio of this warrant is 1, that is, one warrant can purchase one A-share of Baosteel Corporation from Baosteel Corporation at the exercise price.
7. "Exercise price: 4.50 yuan.
8 "The ex right and ex dividend exercise price and exercise proportion of A-share shares of Baosteel Co., Ltd. will be adjusted according to the following rules:
When the A-share of Baosteel Co., Ltd. is ex right, the exercise price and exercise proportion of the warrant will be adjusted according to the following formula:
The new exercise price=the original exercise price × the reference price of A-shares of Baosteel on the ex right day/the closing price of A-shares of Baosteel on the day before ex right ";
The new exercise ratio=the original exercise ratio × the closing price of Baosteel A shares on the day before the ex right/the reference price of Baosteel A shares on the ex right day ".
When Baosteel A shares are ex dividend, the exercise ratio of the warrant remains unchanged. The exercise price is adjusted according to the following formula:
The new exercise price=the original exercise price × the reference price of the underlying securities on the ex dividend date/the closing price of the underlying securities on the day before ex dividend.
9 "Settlement method: stock payment means that Baosteel Group will collect cash and pay shares from the exerciser at the exercise price.
2. Calculation of theoretical value of warrants
(1) B-S formula
C=SN D1-Xe-rTN D2
D1=ln S/K+ r+σ2/2 T-t/σ T-t1/2
D2=D1-σ T-t1/2
C=warrant price; K=exercise price; T - t=the remaining life of the warrant; S=price of the underlying asset; R=risk-free rate of return; σ=historical volatility.
(2) Determination of parameters
According to the warrant issuance plan of Baosteel, the variables in the above pricing formula are determined as follows: K=4.5 yuan; T = 1.0356；r = 1.8%， The one-year bank deposit interest rate after tax is adopted as the risk-free rate of return; σ = 0.2936， The annual rate of return since the listing of Baosteel's stock price is selected to calculate the volatility as the volatility of Baosteel's stock price.
The only variable parameter is the price of the underlying asset, that is, the share price of Baosteel when the warrant was obtained. Referring to the trend of the stocks that have completed the share reform, the stock price of Baosteel should have a "natural ex right" process after the resumption of trading. Based on the closing price of 5.14 yuan on July 22, the trading day before the suspension of Baosteel, the stock price after natural ex right is 4.21 yuan (2.2 shares for every 10 shares). As Baosteel Group promised, within two months after the shareholder meeting passed the share trading reform plan, if the share price of Baosteel was lower than 4.53 yuan per share, Baosteel Group would increase its shareholding in Baosteel. We assume that the initial S=4.5 yuan.
(3) Theoretical value estimation and sensitivity analysis
S=4.5 yuan, and the theoretical value of Baosteel warrant calculated by us is 0.604 yuan.
According to the simulated consolidated earnings forecast report announced at the time of additional issuance of Baosteel shares in 2005, which was reviewed by Ernst&Young Huaming Certified Public Accountants, "the expected earnings per share for 2005 reference is 0.89 yuan, while with reference to the price earnings ratio level of comparable companies in mature foreign markets, the reasonable balanced share price of Baosteel shares should be 4.45-4.90 yuan based on a conservative valuation of 5-5.5 times dynamic price earnings ratio.
On this basis, we calculate the sensitivity analysis table of the theoretical value of options to the price of Baosteel shares.
3. Investment strategy
If the investor's warrant comes from the grant, it is recommended to hold it in the short term to enjoy the gains from the rise of Baosteel's share price. At the same time, the holder cashes the warrant according to the judgment of the future market.
If investors want to directly participate in warrants, they should first remind them to pay attention to the investment precautions and investment methods mentioned above. At the same time, generally speaking, the initial stage of warrant listing may be a good time for intervention. However, since Baosteel's warrant is the first warrant product, the stock price reaction may be excessive. Investors can measure the share price of Baosteel corresponding to the warrant price of Baosteel, judge the price of the warrant, and control the risk.
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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