6月份以来,权证市场经历了一波快速的调整,26只权证遭受了不同程度的下跌。以收盘价计算,5月31日至6月22日期间,各权证的跌幅普遍在20%以上。从成交情况看,权证市场的成交金额也有萎缩之势。那么,在目前权证市场普遍低迷的市道下,投资者应当如何应对并进行相应的操作呢?笔者认为,必须区分近期各权证下跌背后的本质,某些权证在后期可能会有良好表现的机会,而某些权证则蕴含了较大的风险。
我们认为两类机会仍然值得投资者关注。其一是优质标的认购证值得中期投资。目前交易所权证相比正股的交易优势主要有:T+0的高流动性交易机制、低廉的交易费用和较低的绝对价格。因此,对于基本面良好的股票,由于权证的杠杆效应,其认购权证至少值得中期投资。典型的例子如五粮YGC1。类似的,投资者可选择当前隐含波动率较低,溢价率不高,到期时间较远的认购权证进行中期投资,如万华HXB1和长电CWB1等。其中长电权证因有到期能以1.8元回售的保本条款,也值得关注。
其二是权证价格跌破内在价值后的修正。由于我国的权证市场的定价还远非有效,因此权证价格跌破内在价值情况的出现也就不足为奇了。相信投资者对今年3月份沪场JTP1跌破内在价值后带来的正股+认沽权证的套利策略还记忆犹新。6月19日,万华HXB1在盘中也曾一度跌破其内在价值,引发了随后的反弹。
风险当然也是值得投资者重视的。香港市场将即将到期的权证称为“末日轮”。由于时间价值的损耗,“末日轮”的价格在到期前会快速向内在价值靠拢,如果是价外权证,“末日轮”的价格将急剧向零回归。由于价外“末日轮”绝对价格低廉,其将吸引众多投机客的关注,暴涨暴跌将随时发生,风险极大。目前,宝钢JTB1和万科HRP1将于2006年8月底9月初到期,成为我国权证市场上头两只“末日轮”,尤其是万科HRP1,目前已处于深度价外。因此,尽管万科HRP1近期已出现大幅下跌,且其绝对价格相当低,但仍是风险极大的品种,建议投资者予以回避。
目前10只认购权证中,钢铁股认购权证有5只,其有一个共同的特点,即高隐含波动率。钢铁类认购权证的调整压力不容小觑。
6月份权证市场表现一览
代码名称权证最新余额
(亿份)区间涨跌
(元)区间涨跌幅
(%)区间振幅
(%)区间成交量
(亿份)区间成交金额
(亿元)正股代码正股简称正股历史波动率
(%)
030001.SZ鞍钢JTC11.13-1.19-27.1740.6212.4943.24000898G鞍钢36.87
030002.SZ五粮YGC12.98-1.5-15.1534.3923.88197.27000858G五粮液40.04
038001.SZ钢钒PGP12.33-0.627-35.9542.3223.4131.62000629G新钢钒36.16
038002.SZ万科HRP121.40-0.332-59.0769.40150.2555.91000002G万科A36.78
038003.SZ华菱JTP16.33-0.238-15.7426.0663.3789.57000932G华菱32.69
038004.SZ五粮YGP13.13-1.419-52.9563.3231.8959.53000858G五粮液40.04
038005.SZ深能JTP14.38-0.777-51.7766.9639.3844.67000027G深能源31.63
038006.SZ中集ZYP14.24-1.584-58.1561.7527.9549.35000039G中集48.29
580000.SH宝钢JTB13.88-1.145-57.7170.9260.4977.42600019G宝钢27.67
580001.SH武钢JTB114.15-0.588-41.8862.89292.89338.87600005G武钢32.04
580002.SH包钢JTB19.05-0.476-29.2457.86219.43316.67600010G包钢34.35
580003.SH邯钢JTB110.93-0.688-27.8482.31209.39490.88600001G邯钢36.23
580004.SH首创JTB12.30-1.531-44.6950.4433.9588.51600008G首创30.20
580005.SH万华HXB10.60-3.453-22.7940.582.7735.26600309G万华50.52
580006.SH雅戈QCB12.09-2.012-38.1444.1618.3175.99600177G雅戈尔50.10
580007.SH长电CWB14.07-1.345-29.3337.2930.89118.60600900G长电20.82
580990.SH茅台JCP16.48-0.042-2.76178.6792.56215.68600519G茅台44.98
580991.SH海尔JTP16.83-0.817-51.1358.5144.3252.59600690G海尔21.80
580992.SH雅戈QCP16.81-0.923-56.6668.5763.0269.23600177G雅戈尔50.10
580993.SH万华HXP11.53-1.506-48.2555.1111.3625.71600309G万华50.52
580994.SH原水CTP13.53-0.828-45.7065.2942.2660.71600649G原水29.50
580995.SH包钢JTP17.29-0.263-31.6941.33162.69115.77600010G包钢34.35
580996.SH沪场JTP15.68-0.604-36.7845.1329.0240.13600009G沪机场25.75
580997.SH招行CMP122.41-0.214-35.4340.89137.1166.19600036G招行25.34
580998.SH机场JTP12.55-0.617-41.5549.7019.8524.33600004G穗机场24.45
580999.SH武钢JTP17.08-0.303-32.0342.07114.0088.83600005G武钢32.04
权证价值指标一览
代码名称最新价格内在价值时间价值溢价率(%)行权价格行权比例剩余存续期(天)杠杆比率
030001.SZ鞍钢JTC13.192.081.1119.543.611671.78
030002.SZ五粮YGC18.406.621.7813.206.8716511.61
038001.SZ钢钒PGP11.1201.1228.253.161.53493161.98
038002.SZ万科HRP10.2300.2333.963.7317523.04
038003.SZ华菱JTP11.271.150.123.314.916192.94
038004.SZ五粮YGP11.2601.2650.867.89165110.70
038005.SZ深能JTP10.7200.7215.627.12112710.47
038006.SZ中集ZYP11.1401.1438.6010152012.66
580000.SH宝钢JTB10.8400.8421.134.21704.96
580001.SH武钢JTB10.820.010.8130.652.6211543.22
580002.SH包钢JTB11.150.340.8134.70212822.03
580003.SH邯钢JTB11.780.990.7920.922.812872.13
580004.SH首创JTB11.900.431.4730.334.413062.55
580005.SH万华HXB111.707.793.913.586.381.40973090.86
580006.SH雅戈QCB13.262.161.1018.973.6613341.78
580007.SH长电CWB13.241.271.9729.775.3513372.04
580990.SH茅台JCP11.4801.4847.8930.30.25342126.23
580991.SH海尔JTP10.7800.7817.984.3913295.63
580992.SH雅戈QCP10.7100.7141.864.0913348.24
580993.SH万华HXP11.6201.6243.029.221.40973096.22
580994.SH原水CTP10.980.030.9519.20512365.05
580995.SH包钢JTP10.570.110.4619.532.4512824.13
580996.SH沪场JTP11.0401.049.3013.6125813.34
580997.SH招行CMP10.3900.3929.165.59143718.82
580998.SH机场JTP10.870.090.7811.26711847.96
580999.SH武钢JTP10.640.20.4416.842.8311544.09