At present, warrant issuers and sponsors in the A-share market disclose some conventional indicators in the warrant related information disclosure according to the requirements of the regulatory authority, without involving overly professional terminology. The main reasons are twofold. One is the discussion of the applicability of some indicators in the A-share market, Second, investors who are not familiar with the details may be misled by the literal meaning of some short-term indicators. We have several common indicators in this move to help investors better understand the analysis of financial derivatives in the market.
Indicator 1: Offset value.
The sensitivity of the hedge measure derivative price to the underlying asset price change. The offset value shows the change of the theoretical value of derivatives under the change of each unit of the underlying asset price. Generally, the contra value of call warrants is positive, while the contra value of put warrants is negative. For example, if the offset value of a stock's warrant is 0.5, the warrant price will theoretically rise by 0.5 yuan for every 1 yuan increase in the share price; If the subscription ratio is 10 warrants to 1 share, the price change of each warrant will be 0.05 yuan. At different time points, the real-time price and volatility of the corresponding underlying stock at different times, as well as the expiration time of warrants and the risk-free yield of the current market and other indicators, may be very different.
Indicator 2: Time consumption value
The time lapse value shows the change degree of the warrant price caused by the change of the remaining time length of the warrant. Since the time lapse value measures the impact of time lapse on derivatives, its value must be negative. For example, if the daily time lapse value is -0.0015, it means that the theoretical value of the warrant will drop by 0.0015 yuan every day as time passes, assuming that other factors remain unchanged.
Indicator 3: Leverage
Simple lever value is calculated as target negotiable securities The price of is higher than the multiple of the warrant price, and the equation is: share price of related assets/(warrant value X subscription ratio). The actual leverage value includes the hedging value, which can more accurately calculate the actual leverage provided by the warrant. The equation of actual leverage value is: simple leverage value X offset value. For example, if the actual leverage value is 10, that is, if the price of the underlying security rises by 1%, the theoretical price of the warrant will rise by 10%.
Investors must note that the technical parameters mentioned above are subject to change from time to time and are only applicable to a short period of time.
Using outdated data can lead investors to make incorrect investment decisions.
China International Finance Co., Ltd
