Shanghai Stock Exchange investor education column
□ Ping An Securities Derivatives Department
At present, the valuation levels of different warrant varieties in China's warrant market are quite different, some of which have higher valuations, while others have lower valuations. For example, Yunhua CWB1 and Shanggang CWB1 have similar remaining maturities, but from the perspective of premium rate, they are far from each other. Based on the closing price on April 3, the premium rate of Cloudization CWB1 is -11.62%, while the premium rate of Shanggang CWB1 is as high as 65.54%; For another example, both are steel subscription certificates with similar remaining periods. The premium rate of Steel Vanadium GFC1 is -3.57%, while that of Magang CWB1 is 9.98%. Obviously, the negative premium subscription certificates such as Yunhua CWB1 and Steel Vanadium GFC1 are undervalued relative to the current price of their positive shares. Compared with other subscription certificates whose premium rate often exceeds 50%, such subscription certificates are very "cheap".
So, is it true that investors will make money if they buy such cheap subscription certificates? The answer is no. In fact, even buying "cheap" warrants with a negative premium rate cannot guarantee that investors will make money or even lose money. For example, based on the closing price on February 29, the premium rate of Steel Vanadium GFC1 is only -13.15%, which is the lowest among all subscription certificates. It can be said that it is the cheapest subscription certificate. If the investor buys the warrant at the closing price of Steel Vanadium GFC1 of 10.012 yuan on February 29, the closing price of Steel Vanadium GFC1 will be 7.792 yuan by April 3, and the investor will lose 22.17%.
Why is it possible to lose money by buying a subscription certificate with a negative premium? This is mainly due to the sharp decline of the positive shares corresponding to the warrants. Take steel vanadium GFC1 as an example, Pangang Steel Vanadium The closing price was 13.30 yuan on February 29 and 10.07 yuan on April 3. During this period, the share price of Pangang Vanadium Steel fell 24.29%, which directly led to the decline of GFC1.
Investors who buy warrants with low valuation will make money if the positive shares change in a favorable direction and the extended volatility of warrants remains unchanged or increases; If the positive shares change in an unfavorable direction, investors may lose money. For warrants with a negative premium rate, investors may still lose money even if their warrants expire. For example, if an investor buys a subscription certificate with a premium rate of - 10% and holds it until its maturity, if the positive share falls by more than 10% during this period, the investor will lose money.
Therefore, investors can not only rely on the judgment of the valuation level of warrants to buy warrants. In fact, warrant trading decisions should mainly depend on investors' views on the trend of positive shares. If the investor is optimistic about the trend of the positive stock, he will buy the corresponding subscription certificate; If you are short of the positive stock trend, you will buy the corresponding put warrant. Of course, although buying warrants with low valuations may not necessarily make money, warrants with low valuations are less risky than warrants with high valuations. In addition, warrants with low valuations tend to follow the trend of positive shares, while warrants with high valuations tend to deviate from the trend of positive shares, which is more difficult to grasp. Therefore, generally speaking, investors should try their best to buy warrants with lower valuations on the premise of having a clear view on the trend of positive shares. (The article is only for reference, and the profit and loss caused by investment based on it has nothing to do with it.)
