Zhang Zhibin
Since Baosteel's warrant was listed on the Shanghai Stock Exchange on August 22, 2005, the warrant market in mainland China has experienced nearly three years of development, with 50 warrants coming on the market successively. During this period, there were both share reform warrants and warrants that could be split into bonds, of which 32 had been delisted at maturity.
For ordinary investors, the characteristics of derivatives such as warrants are unfamiliar to them, and even more investors lost money because they bought the put warrants that are about to expire and have no intrinsic value by mistake. So, after nearly three years of trading, what are the rules for the price changes of 50 warrant varieties that have appeared in the mainland warrant market?
The intrinsic value determines the warrant price
In short, the difference between the stock price and the exercise price is the intrinsic value of warrants. This indicator is simple and intuitive, which is easy for traders involved in warrants to obtain and judge, and the intrinsic value calculated by all traders is unique. The calculation of theoretical value requires tedious parameter selection and formula calculation. More importantly, the difference in parameter selection will lead to large deviation in the theoretical value calculated by traders. Therefore, the intrinsic value, rather than the theoretical value, has important reference significance for measuring the price of warrants.
Since the exercise price of the warrant is determined in advance, the price of the positive shares related to the warrant becomes the only variable that determines the intrinsic value of the warrant, and the importance of the positive shares related to the warrant price increases accordingly.
Dr. Z, a derivatives researcher at a well-known securities firm, pointed out that with the continuous rise of the equity price, the intrinsic value of the warrant has been rising, which will change the traders' expectations of the future price of the warrant, generate additional speculative demand, and then drive the absolute price of the warrant to rise, and the rise of the warrant price will have a certain pulling effect on the equity price. The accelerator effect between warrants and equity prices also exists when prices fall, which is one of the reasons why warrants are more risky than stocks.
Warrants with small circulation are sought after
Dr. Z said that if a single warrant is regarded as an independent trading variety, the current circulation of the warrant is the supply of the warrant. The impact of supply and demand on the pricing of the warrant will be directly reflected in the impact of the circulation of the warrant on the price of the warrant. The warrant with smaller circulation is more likely to be sought after by traders, so the price in the secondary market will be higher.
This law can also be reflected in the absolute price of existing warrants. At present, the prices of warrants with less than 70 million units in circulation in the two cities are all above 6 yuan, while petrochemical CWB1 (580019. SH) with 3.03 billion units in circulation has become the lowest priced warrant in the two cities at a price of more than 2 yuan.
Occasional factors induce price changes
Dr. Z said that the occasional events in the market, such as the warrant price reaching the psychological level of some traders, the first cancellation of the warrant, the new low of the warrant price, the expiration of the warrant and so on, will have a noticeable impact on the trend of the warrant price.
For example, on October 27, 2005, the warrant price of Baosteel fell below the opening reference price of 0.688 yuan for the first time after a continuous decline. Although it has been many months since the first day of listing of Baosteel's warrants, the price has changed over time Baosteel (600019. SH) The price change is not of any substantive significance, but many traders in the market regard this price as an important supporting price, so when Baosteel Warrant reached this price, it started a round of considerable rebound on October 28, 2005 as an independent trading product without major changes in the underlying stock price.
Which soared 161% last week China Southern JTP1 (580989. SH) is also a typical example. When China Southern Airlines JTP1 was nearing its expiration, major securities companies began to cancel the Tianliang warrants created previously, and the price of China Southern Airlines JTP1 also changed. China Southern Airlines JTP1, which was almost a piece of waste paper, soared from the lowest 0.305 yuan to 1.35 yuan, becoming the focus of the market.
