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Our reporter Wang Tao
Report from Shanghai
There is little craziness in China's capital market today. However, Baosteel Warrants broke the silence of the capital market. Since its listing 48 hours ago, it has risen by 130%, stirring up the air of the exchange.
Irrational rise
After nine years, the warrants reappeared in the securities market. On August 22, Baosteel Warrants (code 580000) were listed on the Shanghai Stock Exchange.
In 1996, warrant trading was suspended due to excessive speculation.
Baosteel warrants, which have attracted much attention from the market, belong to call warrants. The total number of listed warrants is 387.7 million, the exercise price is 4.5 yuan, and the duration is from August 18, 2005 to August 30, 2006.
It may be that nine years has suppressed too much energy. On the first day of listing, the stock market opened at a ceiling price of 1.263 yuan, up 83.58%, and nearly 176 million yuan was traded throughout the day.
On August 23, the second day of Baosteel's warrant trading, the trend continued to be crazy, opening at 1.35 yuan. After jumping high, it rose again, up to 1.83 yuan, up 44%, and finally closed at 1.586 yuan, up 25.57% throughout the day.
According to the relevant simulation calculation, the exercise price of the warrant is 4.5 yuan, the annual volatility of the stock price is 30.5% (nearly one year), and the risk-free return rate is 3.3%. According to the Black Scholes formula, the theoretical value of the warrant on the first day of listing is calculated as: when the underlying security price is 5 yuan, 4.8 yuan, 4.5 yuan and 4.2 yuan, the theoretical price of the warrant is 0.96 yuan, 0.82 yuan, 0.62 yuan and 0.46 yuan respectively.
According to this simulation method, the stock prices of G Baosteel (600019. SH) on August 23, 22 and 19 were 4.62 yuan, 4.63 yuan and 4.57 yuan respectively, and the theoretical value of Baosteel warrants should be between 0.62 yuan and 0.8 yuan.
In an interview with reporters, Hua Yi, Vice President of Guotai Jun'an in charge of investment banking business, said frankly that the market had a process of understanding the price, which was a little higher than expected.
The calculation method of the limit on the rise of warrant price is: the rise of warrant price=the closing price of the warrant on the previous day+(the rise of the underlying securities on the current day - the closing price of the underlying securities on the previous day) × 125% × the exercise ratio.
"According to the B-S model, the Shanghai Stock Exchange had previously given an opening reference price of 0.688 yuan, which combined various factors and was basically recognized by the fund." Wang Guowei, the chief investment officer of Hua'an Fund, said that the first day's rise of 83.58% was alarming, although the market had expected that Baosteel warrants would be popular in the market.
The market had doubts about whether the warrant had a rise and fall range, but the rise board appeared on the first day of listing. This is a big deviation from the stock price of G Baosteel, said Dr. Tian Hongwei, product manager of Guotai Junanji Jinbao.
G Baosteel's share price opened at 4.65 yuan on August 22 and closed at 4.63 yuan, the lowest being 4.58 yuan. In the eyes of many insiders, the soaring price of Baosteel warrants is not normal.
According to the listing announcement of Baosteel warrants, when the stock price of G Baosteel changes, the price of Baosteel warrants will also change accordingly.
"This situation is related to the fact that warrants are new equity derivatives, and domestic investors have the habit of speculation." Tian Hongwei believes that the warrant price of 1.263 yuan is absolutely irrational. When the stock price is 5 yuan, the theoretical price of warrants is only 0.96 yuan.
"Generally speaking, the price fluctuation of warrants has a leverage of 4 to 5 times that of the stock price, that is, the stock price rises by 1%, and the warrant price rises by 4% - 5%, but the market performance on August 22 is obviously not in this range." said a QFII investment consultant.
Before the listing of Baosteel's warrants, CICC predicted that in the short term, 1.12 yuan and 0.46 yuan could be regarded as the "top" and "bottom" of the price of Baosteel's warrants respectively.
"Now, this top is easily broken down. When investors invest in warrants, they should balance the leverage indicators and risk indicators such as premium rate." The QFII investment adviser advised.
Profitable exit of institutions
Huayi said that investors must rationally analyze their own risk tolerance, and the pricing of warrants must not be divorced from the fundamentals. They must value warrants rationally, and must not blindly follow the trend.
What worries insiders is that warrants are high-risk securities derivatives. Baosteel's warrants rose sharply on the first day of listing, and the Exchange was very cautious about the trading of warrants.
"The price of Baosteel's warrants is very irrational. Under the current circumstances, funds will consider taking profits out of the market." Another fund manager said, "The market always likes to speculate on new products, but often ignores the risks involved. Now many investors have not realized that warrants are high-risk products."
It is reported that the Exchange requires each member unit, namely the brokerage business department, to sign a risk disclosure letter with customers to comprehensively introduce relevant business rules for investors who trade warrants for the first time and fully reveal the possible risks.
The person said that at the price of 1.263 yuan, if the right is exercised immediately, the secondary market price of G Baosteel must reach more than 5.763 yuan, so that investors will not lose money. However, the current price of G Baosteel is only about 4.6 yuan. Of course, the price of warrants also includes time and other factors. However, investors' blindness has greatly increased the risk of warrants.
"The following trend is very serious in the market now. It is estimated that in about a week, Baosteel's warrants will fall sharply, and the final takers will have a great risk, and investors will taste the risk." The insiders judged.
Before the listing of Baosteel's warrants, the regulatory authorities stipulated that the funds could be held in Non tradable shares The warrants obtained passively in the reform may be sold or exercised in accordance with relevant regulations.
"The characteristic of funds is to avoid risks, which is the first priority of fund investment. The overheated investment variety funds will choose to avoid." The person said.
And shares In contrast, the price of warrant products fluctuates greatly. Due to the inherent high leverage of warrant products, the volatility of warrant transactions in the secondary market is far greater than that of stocks.
It is understood that fund managers with similar views to this person are quite common, which probably means that the fund will sell its Baosteel warrants.
However, some news pointed out that Baosteel's warrant rose and fell on August 23, which was caused by agency shipments.
According to the statistics of the top ten heavy positions disclosed in the Fund's second quarter report, as of June 30, the Fund held a total of 44.52% of the outstanding shares of Baosteel, which means that the Fund holds the same proportion of positions in Baosteel warrants, i.e. 174 million shares.
It is reported that the fund company's willingness to choose to go out is very obvious, and the fund is still lack of investment experience in financial derivatives, so in the short term, it will not adopt active strategies in warrant investment, and more will be wait-and-see and test.
On August 22, the trading volume reached 170 million. Except for a brief dip of 1.26 yuan, it was firmly sealed on the trading limit board all day long, and 1.27 million hands were still hanging high at the closing. Dong Wenqing from Guotai Jun'an New Product Development Department analyzed that about 300 million yuan of capital was involved in the purchase and sale of Baosteel warrants on the first day, and it is impossible to determine the nature of investors for the time being. However, there is a great possibility for hot money to participate.
Warrants urgently need to be expanded
Warrants had a crazy history in the 1990s. From the opening price of 4 yuan to the highest price of 23.6 yuan in 1993, Shenzhen Bao'an Warrants were suspended by the management due to excessive speculation.
Obviously, today's market will not let this phenomenon happen again, and it is a realistic problem to find a way to deal with the speculation of warrants.
In the relevant regulatory provisions of the Exchange, there is a provision that the SSE will have the right to take an emergency intraday suspension in case of serious abnormalities in the trading of warrants and their underlying securities.
This means that if this crazy performance continues, there may be an emergency suspension.
From the perspective of internal factors, the above QFII investment consultants believe that the lack of variety and small scale are the main reasons for irrational growth. Compared with enthusiastic funds, Baosteel warrants are small in scale and still a scarce resource.
The total number of Baosteel warrants is 387.7 million, and the total number of Changdian warrants is 407.22 million. Based on the upper limit of 3%, the fund can invest up to 7.2 billion yuan in warrants.
Comparatively speaking, the total market value of Baosteel warrants calculated at the price of 1.2 yuan is less than 400 million yuan, and the fund will have an important impact on the price trend of Baosteel warrants no matter whether it moves forward or backward.
Huang Wenqing believes that according to the Interim Measures for the Administration of Warrants, qualified institutions can create the same kind of warrants for the warrants that have been listed and traded. For institutions such as Baosteel, this method can be adopted to appropriately expand the market capacity of warrants.
In this regard, the fund manager agreed that Baosteel can choose to create warrants, and the entire warrant market needs to be further expanded to alleviate the current pressure if it is to gradually move towards the ideal.
Hua Yi said that the successful listing of Baosteel's warrants has given other companies a lot to learn from. As long as listed companies meet the conditions for issuing warrants and the fundamentals are sufficient to support the active trading of warrants, they can spare no effort to promote warrants.
On August 2, Fang Xinghai, Deputy General Manager of SSE, believed that warrant products could bring leverage tools and leverage effects without allowing margin trading, which could greatly activate market transactions.
The statement that 50ETF warrants of Shanghai Stock Exchange will be launched this year has been confirmed by the senior management of Shanghai Stock Exchange frequently recently.
At the same time, Yangtze Power The introduction of warrants is also in progress.
Changdian is a warrant, which is different from Baosteel's warrant. When the Changdian warrant is exercised, the warrant holder purchases shares from the listed company at the agreed price, which will cause the expansion of capital stock.
"As it involves refinancing, the warrant scheme of Changdian is being submitted to the National Development and Reform Commission for approval, and it is estimated that it will be launched soon." Huang Wenqing believes that "the introduction of Changdian warrants and SSE 50ETF warrants as soon as possible can play a certain role in diverting capital from chasing warrants."
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.
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