国信证券-权证市场日刊-060818

国信证券金融衍生产品部Warrant$Daily星期五2006-8-18报告发布人:贺金凌郑重申明权证市场日刊本报告提供涉报告完成时间:2006年8月18日09:03:46及权证交易的所有重要指标和关键数据并前一交易日深沪权证市场总成交3396.8927万手每天动态更新总成交金额60.4558亿元人民币权证板块正股总成交167.1943万手本报告有助于权证板块正股总成交金额10.5502亿元人民币透视权证价值前一交易日权证市场最大涨幅8.78%掌控权证风险前一交易日权证市场最大跌幅-32.34%发现套利机会前一交易日权证平均涨跌幅度-1.41%提高胜算机率距到期日最短的权证，剩余时间12天但本报告中的任何数据或结论都不构成投资建议。基本数据权证名称正股价格行权价格行权比例到期时间剩余天数鞍钢JTC15.473.391.0002006-12-5109万科HRP16.223.641.0002006-9-417五粮YGC112.566.871.0002008-4-2593五粮YGP112.567.891.0002008-4-2593钢钒PGP13.063.161.5352007-5-3258华菱JTP13.534.771.0002008-3-1561深能JTP1-6.691.0002006-10-2669宝钢JTB14.124.201.0002006-8-3012武钢JTB12.492.621.0002006-11-2296武钢JTP12.492.831.0002006-11-2296包钢JTB12.101.941.0002007-3-30224包钢JTP12.102.371.0002007-3-30224邯钢JTB13.502.731.0002007-4-4229首创JTB14.134.401.0002007-4-23248万华HXB112.956.381.4102007-4-26251万华HXP112.959.221.4102007-4-26251欢迎订阅原水CTP14.894.901.0002007-2-12178欢迎交流沪场JTP113.1513.601.0002007-3-6200招行CMP17.905.591.0002007-9-13790755-82130890机场JTP16.426.901.0002006-12-22126雅戈QCB15.373.661.0002007-5-21276权证市场日刊AllRightReservedPage1of6国信证券金融衍生产品部雅戈QCP15.374.091.0002007-5-21276海尔JTP14.334.291.0002007-5-16271中集ZYP111.358.871.1282007-11-23462长电CWB16.255.351.0002007-5-24279茅台JCP144.2530.300.2502007-5-29284钾肥JTP117.2115.101.0002007-6-29315市场表现权证名称正股涨跌幅权证价格权证涨跌幅权证涨停幅权证跌停幅注意鞍钢JTC1-2.15%2.83-4.94%23.49%23.49%万科HRP1-1.27%0.05-16.39%1311.67%100.00%权证的涨跌停价位,五粮YGC1-1.41%7.01-2.46%22.09%22.07%是正股涨跌停价差五粮YGP1-1.41%1.156.00%146.94%100.00%的1.25倍,因此权证钢钒PGP1-0.33%0.998.78%65.38%65.38%的单日涨跌停幅度华菱JTP1-0.56%1.201.61%37.12%37.03%可能远大于正股的深能JTP1-%--%#VALUE!#VALUE!10%,超过100%的单宝钢JTB1-0.72%0.34-32.34%105.00%100.00%日涨跌,甚至更高，武钢JTB1-0.80%0.60-1.15%51.15%51.15%从理论上说存在的。武钢JTP1-0.80%0.520.77%60.00%60.00%包钢JTB1-0.94%0.79-4.23%31.57%31.69%另外,这里的权证价包钢JTP1-0.94%0.511.18%51.37%51.57%格只取2位小数,邯钢JTB10.00%1.23-0.81%35.32%35.32%并且正股的实际首创JTB1-2.36%1.58-4.40%31.63%31.63%涨跌停幅度有可能万华HXB1-1.52%9.35-2.38%24.29%24.10%不是精确的10%,加万华HXP1-1.52%1.331.06%176.29%100.00%上小数取舍的原因,原水CTP1-1.21%0.881.97%71.28%71.28%权证的实际涨跌停沪场JTP1-1.50%1.225.73%144.52%100.00%幅度有可能会稍微招行CMP1-0.63%0.370.54%270.27%100.00%不同于这里用10%正机场JTP1-1.08%1.061.62%77.33%77.43%股涨跌停测算出的雅戈QCB1-2.89%2.71-5.78%23.97%23.97%数据，请读者留意！雅戈QCP1-2.89%0.631.93%110.81%100.00%海尔JTP1-1.59%0.764.27%75.34%75.34%中集ZYP1-1.13%1.052.54%159.02%100.00%长电CWB1-0.79%2.56-1.84%30.19%30.19%茅台JCP1-1.64%1.040.77%136.50%100.00%钾肥JTP11.06%1.671.27%128.79%100.00%风险提示权证名称权证风险提示鞍钢JTC1隐含波幅太高,距到期只剩109天万科HRP1价格严重高估,隐含波幅太高,深度价外(-41.48%),距到期只剩17天五粮YGC1隐含波幅偏高五粮YGP1价格严重高估,深度价外(-37.18%)钢钒PGP1价格偏高华菱JTP1价格与隐含波幅在合理范围内,非价外权证,距到期尚有561天,风险较小深能JTP1#VALUE!宝钢JTB1价格严重高估,隐含波幅太高,距到期只剩12天权证市场日刊AllRightReservedPage2of6国信证券金融衍生产品部武钢JTB1价格严重高估,隐含波幅偏高,距到期只剩96天武钢JTP1距到期只剩96天包钢JTB1价格高估,隐含波幅偏高包钢JTP1价格与隐含波幅在合理范围内,非价外权证,距到期尚有224天,风险较小邯钢JTB1隐含波幅偏高首创JTB1价格严重高估,隐含波幅太高万华HXB1价格与隐含波幅在合理范围内,非价外权证,距到期尚有251天,风险较小万华HXP1价格高估,深度价外(-28.8%)无风险利率原水CTP1价格高估,隐含波幅偏高取值说明沪场JTP1价格与隐含波幅在合理范围内,非价外权证,距到期尚有200天,风险较小招行CMP1价格严重高估,深度价外(-29.24%)剩余期限t≤90天机场JTP1价格偏高,隐含波幅偏高无风险利率r=1.37%雅戈QCB1隐含波幅偏高90天t≤183天雅戈QCP1价格严重高估,深度价外(-23.84%)r=1.66%海尔JTP1价格高估,隐含波幅偏高183天t≤365天中集ZYP1深度价外(-21.85%)r=1.8%长电CWB1价格高估,隐含波幅太高365天t≤547天茅台JCP1价格严重高估,隐含波幅偏高,深度价外(-31.53%)r=2.02%钾肥JTP1价外(-12.26%)547天t≤730天r=2.16%理论价值权证名称价内外金额内在价值时间价值B-S模型理论价值依据剩余期限的鞍钢JTC12.082.080.02532.1053长短,取对应期万科HRP1-2.580.000.00000.0000限银行存款利率五粮YGC15.695.690.31176.0017的税后净收益率五粮YGP1-4.670.000.17830.1783作为无风险利率，钢钒PGP10.100.150.45830.6118这样更为合理。华菱JTP11.241.240.17601.4160深能JTP1#VALUE!#VALUE!#VALUE!#VALUE!宝钢JTB1-0.080.000.04150.0415武钢JTB1-0.130.000.13760.1376★长电股本CWB1是武钢JTP10.340.340.06010.4001认购权证，到期包钢JTB10.160.160.13110.2911行权增发股票会导包钢JTP10.270.270.07430.3443致稀释效应，使股邯钢JTB10.770.770.07700.8470票价格下降。本报首创JTB1-0.270.000.30010.3001告在测算理论价格万华HXB16.579.260.17569.4393时已考虑了该因素万华HXP1-3.730.000.49620.4962长的作用。不过G原水CTP10.010.010.35760.3676电大股东承诺如果沪场JTP10.450.450.88221.3322.8权证价格低于1招行CMP1-2.310.000.09620.0962元可按1.8元回售。机场JTP10.480.480.17520.6552因此，本权证的最雅戈QCB11.711.710.16411.8741低价应为1.8元。雅戈QCP1-1.280.000.19800.1980海尔JTP1-0.040.000.26520.2652中集ZYP1-2.480.001.03081.0308长电CWB10.900.900.11311.0131★茅台JCP1-13.950.000.12150.1215权证市场日刊AllRightReservedPage3of6国信证券金融衍生产品部钾肥JTP1-2.110.001.19981.1998价值判断权证名称权证价格水平判断权证与正股联动关系鞍钢JTC11.34倍理论价值,适度认购权证与正股联动下跌万科HRP1理论价值为0,严重高估认沽权证与正股同向下跌,背离反向联动关系五粮YGC11.17倍理论价值,适度认购权证与正股联动下跌五粮YGP16.45倍理论价值,严重高估认沽权证上涨,与正股下跌联动钢钒PGP11.62倍理论价值,略高认沽权证上涨,与正股下跌联动指标说明华菱JTP1仅.85倍理论价值,低估认沽权证上涨,与正股下跌联动深能JTP1#VALUE!#VALUE!价内外幅度测度的宝钢JTB18.2倍理论价值,严重高估认购权证与正股联动下跌是当前正股价格距武钢JTB14.36倍理论价值,严重高估认购权证与正股联动下跌离行权价格还有多武钢JTP11.3倍理论价值,适度认沽权证上涨,与正股下跌联动远，正值是价内，包钢JTB12.71倍理论价值,太高认购权证与正股联动下跌负值是价外。价外包钢JTP11.48倍理论价值,适度认沽权证上涨,与正股下跌联动愈远，随着时间的邯钢JTB11.45倍理论价值,适度认购权证下跌,而正股维持不动流失，权证到期毫首创JTB15.27倍理论价值,严重高估认购权证与正股联动下跌无价值的可能性就万华HXB1仅.99倍理论价值,低估认购权证与正股联动下跌愈大。万华HXP12.68倍理论价值,太高认沽权证上涨,与正股下跌联动原水CTP12.39倍理论价值,较高认沽权证上涨,与正股下跌联动溢价率是衡量正股沪场JTP1仅.92倍理论价值,低估认沽权证上涨,与正股下跌联动要涨跌多少权证投招行CMP13.85倍理论价值,严重高估认沽权证上涨,与正股下跌联动资者才能实现盈亏机场JTP11.62倍理论价值,略高认沽权证上涨,与正股下跌联动平衡，因此也叫打雅戈QCB11.45倍理论价值,适度认购权证与正股联动下跌和点。雅戈QCP13.18倍理论价值,严重高估认沽权证上涨,与正股下跌联动海尔JTP12.87倍理论价值,太高认沽权证上涨,与正股下跌联动中集ZYP11.02倍理论价值,适度认沽权证上涨,与正股下跌联动长电CWB12.53倍理论价值,太高认购权证与正股联动下跌