刘岱:华菱认沽权证保本投资策略分析

        

        

        

        

            刘岱

          2006年8月16日

          (特殊阐明):本样稿仅供新浪网银河证券认为如何部独家运用,没有确认达标不得转载安心网站!) 

          一、华菱认股权证的基本制约

          华菱授权证(038003)是2006年3月2日上市市的欧式授权证,亲近的日期是2008年3月1日,一亿册。初始预购价格钱为人民币元,6月23日装束的最新预购价格钱为元。

          与安心权证相形,权证上市市以后走势稳固。见图1。。

          图1 权证与证券走势

        

          二、交火权证授权证本钱结成谋略

          华菱的权证为we的所有格形式补充了以以誓言约束本钱装饰的机遇。。图2射中靶子取消是华菱权证的预购价格钱。,粉取消是交火权证和G warri的解决积和。学派原稿是铬锡红线下面的白色线,在该市日同时买进同一的量的华菱授权证和G华菱证券,能以誓言约束装饰不赔本,文件、协议等失效行使加标题可实现预感的结果无风险有助益。

          比如,2006年4月28日(文件、协议等失效新来某年级的学生),权证价钱为人民币,证券价钱金钱,两者都积和是元。,比当初的行使价还低。,更加思索市本钱,它也下面的行使价钱。。就是说,该日买进华菱权证与G华菱证券结成的装饰者,文件、协议等失效行权的无风险进项,它比同步性的存款利息率高得多。。

          进项率高于7%的机遇少量地。,控制装饰结成的作用过失为了实现预感的结果进项。。we的所有格形式意识,认股权证和标的证券的结成使安定了独身warran,就是说,当华菱股价高涨时,装饰结成的付出代价会兴起。是否你看好华菱的证券,你可以购买行为下面的粉取消的认股权证和证券装饰结成。。是否G华菱像预感的那么高涨,装饰结成将以高的的有助益利润。;是否华菱持续下跌,控制装饰结成的装饰者至多可以控制到文件、协议等失效。,经过行权实现预感的结果无风险进项,确保基金不减少。

          图2 警令与G战结成走势

        

          从华菱权证及其它授权证的市制约看,权证价钱和规范股价积和然而临时人员的。,它很快就会回到行使价钱并超越它。。华菱的考察令仅到一定程度仍有某年级的学生半的历史。,G华菱的股价同时有很多高涨的机遇。,故此,装饰结成实现预感的结果高于无风险有助益率的概率。

          不久以前8个市日,权证和G华菱的解决积和一向下面的,给装饰者补充了不盈不亏装饰的机遇。见齿顶。

          负的溢价率表现文件、协议等失效行权有正的进项。不久以前独身市日(8月14日)买进华菱权证与证券结成,至多可实现预感的结果无风险进项,去除市费后的进项为。

          2006年8月16日

          齿顶:华菱授权证溢价率表

        日期

        其他人员术语
(年)

        华菱 JTP1

        G华菱

        溢价率

        权证 +证券

        溢价率
(思索市费)

        预购价格

        2006-3-2

        2.00

        1.645

        3.64

        10.58%

        5.285

        10.93%

        

        2006-3-3

        2.00

        1.531

        3.71

        9.19%

        5.241

        9.55%

        

        2006-3-6

        1.99

        1.532

        3.7

        8.97%

        5.232

        9.33%

        

        2006-3-7

        1.99

        1.532

        3.61

        6.70%

        5.142

        7.07%

        

        2006-3-8

        1.98

        1.53

        3.52

        4.26%

        5.05

        4.63%

        

        2006-3-9

        1.98

        1.576

        3.46

        3.93%

        5.036

        4.31%

        

        2006-3-10

        1.98

        1.513

        3.55

        4.59%

        5.063

        6%

        

        2006-3-13

        1.97

        1.422

        3.75

        7.25%

        5.172

        7.61%

        

        2006-3-14

        1.97

        1.426

        3.72

        6.61%

        5.146

        6.97%

        

        2006-3-15

        1.96

        1.4

        3.7

        5.41%

        5.1

        5.76%

        

        2006-3-16

        1.96

        1.402

        3.65

        4.16%

        5.052

        4.53%

        

        2006-3-17

        1.96

        1.386

        3.6

        2.39%

        86

        2.76%

        

        2006-3-20

        1.95

        1.341

        3.64

        2.23%

        81

        2.59%

        

        2006-3-21

        1.95

        1.373

        3.63

        2.84%

        5.003

        3.20%

        

        2006-3-22

        1.95

        1.348

        3.63

        2.15%

        78

        2.52%

        

        2006-3-23

        1.94

        1.303

        3.69

        2.52%

        93

        2.88%

        

        2006-3-24

        1.94

        1.312

        3.57

        -0.50%

        4.882

        -0.13%

        

        2006-3-27

        1.93

        1.334

        3.55

        -0.45%

        4.884

        -0.08%

        

        2006-3-28

        1.93

        1.318

        3.61

        0.78%

        28

        1.15%

        

        2006-3-29

        1.93

        1.294

        3.64

        0.93%

        34

        1.30%

        

        2006-3-30

        1.92

        1.311

        3.53

        -1.67%

        4.841

        -1.29%

        

        2006-3-31

        1.92

        1.275

        3.58

        -1.26%

        4.855

        -0.88%

        

        2006-4-3

        1.91

        1.208

        3.55

        -4.00%

        4.758

        -3.62%

        

        2006-4-4

        1.91

        1.198

        3.62

        -2.27%

        4.818

        -9%

        

        2006-4-5

        1.91

        1.2

        3.65

        -1.37%

        4.85

        -1.00%

        

        2006-4-6

        1.90

        1.23

        3.58

        -2.51%

        4.81

        -2.14%

        

        2006-4-7

        1.90

        1.186

        3.55

        -4.62%

        4.736

        -4.24%

        

        2006-4-10

        9

        1.157

        3.61

        -3.68%

        4.767

        -3.31%

        

        2006-4-11

        9

        1.175

        3.59

        -3.76%

        4.765

        -3.38%

        

        2006-4-12

        9

        1.208

        3.56

        -3.71%

        4.768

        -3.33%

        

        2006-4-13

        8

        1.237

        3.51

        -4.36%

        4.747

        -3.98%

        

        2006-4-14

        8

        1.187

        3.61

        -2.85%

        4.797

        -2.48%

        

        2006-4-17

        7

        1.198

        3.59

        -3.12%

        4.788

        -2.74%

        

        2006-4-18

        7

        1.198

        3.58

        -3.41%

        4.778

        -3.03%

        

        2006-4-19

        7

        1.215

        3.54

        -4.10%

        4.755

        -3.72%

        

        2006-4-20

        7

        1.22

        3.56

        -3.37%

        4.78

        -2.99%

        

        2006-4-21

        6

        1.244

        3.68

        0.65%

        24

        1.02%

        

        2006-4-24

        5

        1.355

        3.55

        0.14%

        5

        0.52%

        

        2006-4-25

        5

        1.406

        3.34

        -4.61%

        4.746

        -4.21%

        

        2006-4-26

        5

        1.406

        3.34

        -4.61%

        4.746

        -4.21%

        

        2006-4-27

        5

        1.219

        3.46

        -6.39%

        4.679

        -6.00%

        

        2006-4-28

        4

        

        

        –

        

        –

        

        2006-5-8

        2

        1.275

        

        -5.99%

        4.695

        -5.60%

        

        2006-5-9

        1

        1.335

        3.53

        -0.99%

        4.865

        -0.61%

        

        2006-5-10

        1

        1.4

        3.6

        2.78%

        5

        3.15%

        

        2006-5-11

        1

        1.35

        3.66

        3.01%

        5.01

        3.37%

        

        2006-5-12

        1

        1.355

        3.85

        7.92%

        5.205

        8.27%

        

        2006-5-15

        0

        1.43

        3.9

        11.03%

        5.33

        11.36%

        

        2006-5-16

        1.79

        1.487

        3.66

        6.75%

        5.147

        7.11%

        

        2006-5-17

        1.79

        1.404

        3.88

        9.90%

        5.284

        10.24%

        

        2006-5-18

        1.79

        1.542

        4.14

        18.89%

        5.682

        19.21%

        

        2006-5-19

        1.79

        1.501

        4.11

        17.30%

        5.611

        1

        

        2006-5-22

        1.78

        1.524

        4.18

        19.23%

        5.704

        19.55%

        

        2006-5-23

        1.78

        1.634

        3.92

        16.68%

        5.554

        17.02%

        

        2006-5-24

        1.77

        1.416

        3.88

        10.21%

        5.296

        10.55%

        

        2006-5-25

        1.77

        1.421

        3.86

        9.87%

        5.281

        10.21%

        

        2006-5-26

        1.77

        1.401

        3.9

        10.28%

        5.301

        10.62%

        

        2006-5-29

        1.76

        1.495

        3.99

        14.66%

        5.485

        19%

        

        2006-5-30

        1.76

        1.512

        3.91

        13.35%

        5.422

        13.69%

        

        2006-5-31

        1.75

        1.488

        3.87

        13%

        5.358

        12.17%

        

        2006-6-1

        1.75

        1.452

        3.92

        12.04%

        5.372

        12.38%

        

        2006-6-2

        1.75

        1.292

        3.86

        6.53%

        5.152

        6.87%

        

        2006-6-5

        1.74

        1.258

        4

        8.95%

        5.258

        9.29%

        

        2006-6-6

        1.74

        1.303

        4.07

        11.62%

        5.373

        11.95%

        

        2006-6-7

        1.73

        1.39

        3.74

        6.15%

        5.13

        6.50%

        

        2006-6-8

        1.73

        1.37

        3.78

        6.61%

        5.15

        6.97%

        

        2006-6-9

        1.73

        1.52

        3.65

        7.40%

        5.17

        7.76%

        

        2006-6-12

        1.72

        1.497

        3.66

        7.02%

        5.157

        7.38%

        

        2006-6-13

        1.72

        1.414

        3.65

        4.49%

        5.064

        4.86%

        

        2006-6-14

        1.72

        1.441

        3.58

        3.38%

        5.021

        3.75%

        

        2006-6-15

        1.71

        1.386

        3.63

        3.20%

        5.016

        3.56%

        

        2006-6-16

        1.71

        1.29

        3.69

        2.17%

        8

        2.53%

        

        2006-6-19

        1.70

        1.357

        3.65

        2.93%

        5.007

        3.30%

        

        2006-6-20

        1.70

        1.35

        3.72

        4.57%

        5.07

        3%

        

        2006-6-21

        1.70

        1.316

        3.72

        3.66%

        5.036

        4.01%

        

        2006-6-22

        1.69

        1.274

        3.75

        3.31%

        5.024

        3.66%

        

        2006-6-23

        1.69

        1.221

        3.75

        5.39%

        71

        5.73%

        

        2006-6-26

        1.68

        1.213

        3.85

        7.64%

        5.063

        7.98%

        

        2006-6-27

        1.68

        1.184

        3.93

        8.78%

        5.114

        9.11%

        

        2006-6-28

        1.68

        1.229

        3.89

        9.00%

        5.119

        9.33%

        

        2006-6-29

        1.67

        1.244

        3.93

        10.31%

        5.174

        10.64%

        

        2006-6-30

        1.67

        1.21

        3.84

        7.32%

        5.05

        7.66%

        

        2006-7-3

        1.66

        1.203

        3.85

        7.38%

        5.053

        7.72%

        

        2006-7-4

        1.66

        1.229

        3.82

        7.33%

        5.049

        7.67%

        

        2006-7-5

        1.66

        1.218

        3.75

        5.31%

        68

        5.65%

        

        2006-7-6

        1.65

        1.191

        3.89

        8.02%

        5.081

        8.36%

        

        2006-7-7

        1.65

        1.108

        3.94

        7.08%

        5.048

        7.42%

        

        2006-7-10

        1.64

        1.038

        3.97

        6.02%

        5.008

        6.35%

        

        2006-7-11

        1.64

        0.957

        4.13

        7.70%

        5.087

        8.02%

        

        2006-7-12

        1.64

        1.005

        4.03

        6.60%

        5.035

        6.93%

        

        2006-7-13

        1.64

        1.177

        3.78

        7%

        57

        5.32%

        

        2006-7-14

        1.63

        1.186

        3.79

        5.46%

        76

        5.81%

        

        2006-7-17

        1.62

        1.235

        3.8

        7.00%

        5.035

        7.34%

        

        2006-7-18

        1.62

        1.24

        3.79

        6.89%

        5.03

        7.23%

        

        2006-7-19

        1.62

        1.35

        3.67

        6.84%

        5.02

        7.19%

        

        2006-7-20

        1.62

        1.2

        3.72

        4.06%

        2

        4.41%

        

        2006-7-21

        1.61

        1.228

        3.73

        5.07%

        58

        5.42%

        

        2006-7-24

        1.61

        1.265

        3.66

        4.26%

        25

        4.62%

        

        2006-7-25

        1.60

        1.205

        3.71

        3.94%

        15

        4.29%

        

        2006-7-26

        1.60

        1.236

        3.7

        4.51%

        36

        4.87%

        

        2006-7-27

        1.60

        1.262

        3.65

        3.92%

        12

        4.27%

        

        2006-7-28

        1.59

        1.214

        3.64

        2.34%

        4.854

        2.69%

        

        2006-7-31

        1.59

        1.265

        3.59

        2.40%

        4.855

        2.76%

        

        2006-8-1

        1.58

        1.259

        3.56

        1.40%

        4.819

        1.77%

        

        2006-8-2

        1.58

        1.289

        3.47

        -0.29%

        4.759

        0.09%

        

        2006-8-3

        1.58

        1.27

        3.48

        -0.55%

        4.75

        -0.17%

        

        2006-8-4

        1.58

        1.27

        3.46

        -1.13%

        4.73

        -0.75%

        

        2006-8-7

        1.57

        1.24

        3.48

        -1.41%

        4.72

        -1.03%

        

        2006-8-8

        1.56

        1.179

        3.54

        -1.41%

        4.719

        -1.04%

        

        2006-8-9

        1.56

        1.208

        3.5

        -1.74%

        4.708

        -1.37%

        

        2006-8-10

        1.56

        1.201

        3.52

        -1.36%

        4.721

        -0.99%

        

        2006-8-11

        1.56

        1.202

        3.51

        -1.62%

        4.712

        -1.25%

        

        2006-8-14

        1.55

        1.239

        3.5

        –

        4.739

        –

        

          注: 权证溢价率=(标的证券价钱 权证价钱表演价钱)/sub

          (作者系银河证券认为如何中心高级认为如何员)

          新浪网财经提示:请在这时检查文字中提到的互相牵连证券的详细制约。

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