National Securities R&D Center Huang Changqing
As of April 23, 2007, 35 warrants have been launched in the warrant market. At present, 20 warrants are still trading in the market, including 5 separate convertible bond warrants.
According to our research on the warrant market, warrant traders should consider the following main aspects when choosing specific types of warrants: the fundamentals and themes of equity shares; Value indicators of warrants, such as premium rate; Speculative indicators of warrants, such as total market value, leverage ratio, etc; Technical analysis, such as K line, moving average, turnover rate, etc; The impact of the creation of warrants.
On August 18, 2005 Baosteel JTB1 After analyzing the data of warrant market since its launch, it is found that some shaped historical data experience can be excavated from it, and it can give useful guidance to warrant traders from the operational strategy level.
Comparison of returns of different warrants
With the gradual expiration of share reform warrants and the continuous introduction of separate convertible bond warrants, separate convertible bond warrants will become the mainstream of the domestic warrant market in 2007. In order to study the strength and weakness of the market performance of share reform warrants and separate convertible bond warrants, we conducted a statistical analysis of the yields of 13 share reform warrants and 5 separate bonds launched before and after the domestic warrant market. Statistical data show that the average daily return on equity of the segregated bonds is only 0.27%, which is lower than 0.43% of the share reform warrants, but the average daily return on equity of the former is up to 5.73%, which is far higher than 1.70% of the latter, while the average daily excess return on the segregated bonds is 5.46%, which is 4.3 times the average daily excess return on equity reform warrants of 1.27%.
Profit opportunity of separating convertible bond warrants
Since the launch of the first separate convertible bond warrant in December 2006, Magang CWB1, Sinochem CWB1 and Yunhua CWB1 have been launched successively. As they are separable bonds, there is no possibility of being created by innovative securities companies at present. These warrants have performed very well since their listing, and the first day of listing was closed with a trading limit, while Yunhua CWB1, which was listed on March 8, had two trading limits in a row, up 83.8%.
We find that the returns of warrant traders participating in the split bond and warrant placement on the first day of warrant listing exceed the returns of positive shares and indexes during the capital freeze period. And we also find that the correlation between the former and the positive stock return is much higher than that between the former and the index. Therefore, warrant traders participating in the placement of segregated bonds can obtain excess returns that exceed the index and positive shares in the same period, and the absolute value of the returns obtained by participating in the placement of segregated bonds mainly depends on the performance of their positive shares during the capital freeze period. Therefore, warrant traders can consider participating in the placement to obtain warrants for the upcoming separate bonds.
Negative premium on the last trading day
As of April 23, 15 warrants had reached the last trading day, of which 7 were subscription warrants. Of the seven warrants whose trading has been terminated, four have negative premiums of more than 5% on the last trading day, which allows arbitrage. Because there are certain risks when the warrant holder exercises, the occurrence of a certain negative premium on the last trading day of the warrant is also a risk compensation. This risk includes that the positive shares may be opened at a low price on the first day of the exercise of the warrant. In addition, the positive shares obtained after the exercise of the warrant can only be listed and circulated on the next day, which also increases the exercise risk of the warrant holder.
We use Wanhua HXB1 For example, we observed the change trend of premium rate of Wanhua HXB2 before its expiration in the near future, and found that the negative premium level of Wanhua HXB1 converged to a certain extent before approaching the final trading day, but remained above - 7%, and remained - 10.13% on April 20, the first day of the exercise stage, In this way, the traders participating in Wanhua HXB1 arbitrage have successfully obtained the Yantai Wanhua Of shares This is a typical case of arbitrage transactions before the expiration of warrants.
Doomsday speculative opportunity
At present, 8 put warrants have terminated trading in the secondary market, and these put warrants with zero intrinsic value and serious out of price will often have some "rebound" pulse rise when the absolute price is low on the last trading day; Although the risk of holding these warrants is great, the warrant market itself has great speculative characteristics. At the same time, warrants have a T+0 trading mechanism, which makes it possible for warrant traders to seize these opportunities.
On how to seize these speculative opportunities, we still emphasize the "last in, first out" strategy: only when such opportunities occur and the purchase point has been established, warrant traders are the safest to enter the market. If there is no opportunity, do not force intervention. "Better miss than make mistakes". For warrant traders who are good at short-term, It is possible to successfully withdraw from the whole body.
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.
