□ GF Securities Guo Yong
In the first two trading days of 2008, the transactions in the warrant market were relatively light. The only bright spot was that Yunhua CWB1 rose nearly 10% accumulatively in the two trading days, but it was still less than the 15.8% increase in the regular shares, which disappointed investors in the leverage effect of warrants.
Many investors do not understand the real reason why warrants lose out of regular shares or leverage does not work. In fact, the reason is very simple, because the current warrants are not covered warrants, and there is a lack of warrant traders to maintain reasonable bilateral quotes. The price of warrants is only driven by funds, and the market is lack of efficiency, making leverage not work. For example, Yunhua CWB1 rose 1.72% on Thursday compared with Wednesday, and the premium rate fell to - 4.6% from - 0.7% on Wednesday, down 3.9%. Although the positive shares rose 5.3%, 3.6% more than the warrants, it was offset by the decline of 3.9% in the warrant premium rate.
We can understand that the "kinetic energy" of positive shares driving the rise of warrants has been temporarily stored in the negative premium. The accumulation of negative premium of warrants is like a compression spring, which will release energy or return to zero when compressed to a certain extent. However, in addition to the fact that the premium rate on the maturity date will inevitably return to zero, it is uncertain when such market correction will occur. Obviously, the closer the warrant is to the maturity date, the greater the opportunity for correction.
Recently, some media reported that a warrant player had repeatedly entered the market on the last trading day of warrants and bought a large number of warrants to exercise. The premise of this strategy is to be optimistic about the future trend of the positive shares, or there is an obvious negative premium on the last trading day of the warrants. The positive shares can be directly purchased by using the warrant exercise to save costs. This is an arbitrage strategy to reduce uncertainty and improve the odds of success.
The negative premium often reflects the investors' expectation that before the expiration of the warrants, the positive shares have a higher probability of falling, or the investors adopt a conservative strategy. For example, Masteel CWB1 once set a negative premium record of - 20%, which proved that the market expectation was correct, and then the positive shares fell back far more than 20%. Obviously, for such negative premium warrants, it is a very important skill to choose the right time to intervene. Usually, we can choose to intervene when the warrants are about to expire or when the positive stock trend is established.
For investors who are optimistic about the future market, there are currently three warrants in the market that are more interesting. In terms of effective leverage, WISCO CWB1 is the highest, reaching 2.3 times, but the disadvantage is that the premium rate is -11.76%, and there is still room for downward adjustment; In terms of premium rate, Wuliang YGC1 The negative premium of is the deepest, reaching - 14.6%, but the disadvantage is that the positive shares have gone through a wave of suspected five waves of decline since mid October, which is not technically very favorable. If investors think that the positive shares can reach a new high, the warrant should be a better choice; If we talk about the trend of positive shares, Yuntianhua The short-term rise is the strongest, but the disadvantage of Cloudization CWB1 is that it has just entered a negative premium state and is far from the maturity date.
