There is a local rebound opportunity in the warrant market

First release in Beijing

This week, the warrant market is still in the process of cyclical structural adjustment, but some warrant varieties are active and have a prominent trend. According to WIND system statistics, this week there were 20 rising warrants and 5 falling warrants among 25 warrants. Among them, Airport JTP1 This week, it rose by nearly 20%. We believe that under the influence of multiple factors, there is a local rebound opportunity in the warrant market in the near future.

Strong desire for oversold rebound

Since October, the daily transaction amount and daily turnover rate of the warrant market have been declining, which fully shows that the warrant market is in a light situation. From the perspective of transactions, the minimum daily transaction amount was 2.196 billion yuan, the maximum was 6.390 billion yuan, the average daily transaction amount was 4.857 billion yuan, and the average daily turnover rate was only 37.97%, far lower than the average daily transaction amount and average daily turnover rate in any period of the warrant market.

First of all, from the perspective of valuation, the average premium rate of warrants is on a downward trend at present. Among them, Wanhua HXB1 and Ansteel JTC1 The premium rate is low, First JTB1 and Guodian JTB1 The premium rate is high. The average premium rate of put warrants is about 25%, which is also far lower than the previous figure. among CMB CMP1 and Wuliang YGP1 The premium rate is high, while Valin JTP1 The premium rate is the lowest, -0.38%. The average implied volatility of call warrants is 1.039, and the average implied volatility of put warrants is 0.499. At the same time, the average ratio of market price to theoretical value in call warrants is 1.87 times, and the average ratio of put warrants is 10.32 times. From the above data, we can see that the average premium rate and the average implied volatility of the warrant market, after adjustment in the past three months, have shown a significant downward trend as a whole compared with the previous period, and are at a relatively low point. Their market prices have generally declined, enhancing the rebound momentum.

Secondly, the investment value of warrants such as Wanhua HXB1, Valin JTP1 and Ansteel JTC1 began to show gradually due to their recent continuous decline. At the same time, according to past experience, the warrant market, which has been silent for many days, tends to perform better when the A-share market is relatively depressed. In particular, after a period of decline, the short-term cumulative decline of some warrant varieties is relatively large, and the desire for oversold rebound is stronger.

Increased trading opportunities of warrant varieties

As we all know, the short-term fluctuations of stock market indexes are often highly related to the call or put varieties in the warrant market. When the stock market index is in an upward trend, there is an obvious upward expectation for the warrants as a whole. If the positive shares with warrants have a strong trend, then the expected increase in the exercise value of their warrants will constitute. Therefore, in the warrant market, call warrants will be active, especially the soaring of equity shares, which will directly stimulate the strength of corresponding call warrants. On the contrary, when the stock market index is in a trend of adjustment or decline, put warrants have an upward expectation. If the positive shares with put warrants are also in the trend of adjustment or decline, or even collapse, it will directly stimulate the rebound of put warrants. This is the leverage effect between the stock market and the warrant market, as well as the root cause of warrant investors seeking arbitrage opportunities in the warrant market. Therefore, warrant investors should attach great importance to it.

At present, the sharp shock of the Shanghai Composite Index at the thousand eight mark undoubtedly increases our trading opportunities. The successful issuance and listing of ICBC, the world's largest IPO, not only provides investors with high-quality blue chip varieties, but also tests the capacity of China's A-share market. Therefore, Industrial and Commercial Bank of China As the first weighted index stock in China's securities market, it will have an impact on the operating trend of the Shanghai Composite Index. In addition, after 1998, the share price structure has undergone overall adjustment and polarization, and the "28" or "19" phenomenon in the market may spread or even expand. Therefore, these factors will cause the stock index to fluctuate at a high level, or some of the positive shares with warrants will also fluctuate at a high level. Using the leverage effect between the above stock market and warrant market, as well as between the positive shares and warrants, it is not difficult to see that if the market index drops or the underlying positive shares fall sharply, it may cause the warrant market to have local rebound opportunities, especially stimulate the put warrants to generate trading opportunities.

Among them, we believe that, Haier JTP1 (580991) There may be trading opportunities for put warrants. First, from equity Qingdao Haier From the perspective of trend, the stock has a strong trend in the near future, with obvious upward channels and short-term shocks; Secondly, Haier JTP1 has recently hit the lowest price of 0.499 yuan since its highest price of 1.872 yuan. At present, the low level platform of the warrant has increased significantly.