The risk of short-term rebound of put warrants increases accordingly

Guangzhou Securities Research Institute Lu Zhenning

There was an obvious correction in the A-share market on Thursday. As positive shares fell, put warrants rebounded, especially after 2 p.m, Shanghai Market JTP1 、 Airport JTP1 And other varieties suddenly rose by a huge amount, and JTP1 at the closing airport ranked first with a 6.31% increase. The decline in positive shares and the relationship between securities companies and Hangang JTB1 、 Yago QCB1 Under the dual influence of the creation of warrants, warrants with outstanding performance in the early stage almost fell across the board.

Looking back at the recent performance of the warrant market, although the signs of reactivation are obvious, the continuity of the market is not strong, and few varieties can rise for more than three consecutive days. As A-shares enter the shock stage, the warrant market may show two characteristics: first, the active trend of the warrant market will continue. As the warrants are profitable when the stocks rise or fall, with the reduction of A-share market opportunities, hot money will not miss the opportunities in the warrant market. Second, the continuity of the market is not good, and the market hot spots will change quickly. At present, there is limited space for A shares to move up and down. When the positive shares are in a volatile trend, the most likely performance of warrants will also fluctuate with it, and the volatility will be greater under the influence of leverage effect. In this market environment, T+0 short-term trading opportunities will be abundant, but it is not suitable for buying warrants and holding them for a long time. And because the market changes rapidly, the risk will also increase accordingly.

As the Shenzhen Stock Index has shown signs of short-term break, the short-term stock index may fall along the trend, thus bringing short-term trading opportunities for put warrants. Investors can properly pay attention to the active put warrants when A-shares fall, such as Shanghai Market JTP1, Airport JTP1 Raw water CTP1 、 Yago QCP1 It is a put warrant with more active performance recently. However, as there is not much room for A-share decline, and put warrants generally have no investment value, investors should not be too eager to fight.

Listed this Tuesday Guodian JTB1 The closing price is 2.45 yuan, the intrinsic value is only 0.33 yuan, the theoretical value is less than 1 yuan, the implied volatility is 120%, and the premium rate is more than 40%, so the overestimation is very obvious. In Thursday's session, it showed that there was a sharp rise and fall in volume, and there was a sign of capital flight. As the creation warrants can be listed and traded on Friday, Guodian JTB1 will have obvious short-term adjustment pressure.