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附表
1、附表1：权证基本情况表
权证
代码 |
权证名称 |
权证类型 |
发行
数量
(亿份) |
余额 (亿份)
(20060310) |
初始
行权价 |
存续
期限
(天) |
上市日期 |
030001 |
鞍钢 JTC1 |
认购权证 |
1.13 |
1.13 |
3.60 |
366 |
2005-12-5 |
038001 |
钢钒 PGP1 |
认沽权证 |
2.33 |
2.33 |
4.85 |
546 |
2005-12-5 |
038002 |
万科 HRP1 |
认沽权证 |
21.40 |
21.40 |
3.73 |
274 |
2005-12-5 |
038003 |
华菱 JTP1 |
认沽权证 |
6.33 |
6.33 |
4.90 |
731 |
2006-3-2 |
580000 |
宝钢 JTB1 |
认购权证 |
3.88 |
3.88 |
4.50 |
378 |
2005-8-22 |
580001 |
武钢 JTB1 |
认购权证 |
4.74 |
14.81 |
2.90 |
365 |
2005-11-23 |
580996 |
沪场 JTP1 |
认沽权证 |
5.68 |
5.68 |
13.60 |
365 |
2006-3-7 |
580997 |
招行 CMP1 |
认沽权证 |
22.41 |
23.32 |
5.65 |
549 |
2006-3-2 |
580998 |
机场 JTP1 |
认沽权证 |
2.40 |
3.35 |
7.00 |
365 |
2005-12-23 |
580999 |
武钢 JTP1 |
认沽权证 |
4.74 |
10.51 |
3.13 |
365 |
2005-11-23 |
合计 |
75.05 |
92.75 |
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2、附表2： 深沪权证市场加权平均隐含波动率、溢价比率、换手率变化表
交易日期 |
加权平均
隐含波动率 |
加权平均
溢价比率 |
沪深加权
平均换手率 |
05-11-23 |
99.55% |
35.67% |
53.28% |
05-11-24 |
128.50% |
45.99% |
46.11% |
05-11-25 |
160.65% |
56.23% |
95.30% |
05-11-28 |
127.15% |
45.46% |
116.76% |
05-11-29 |
102.08% |
36.96% |
106.61% |
05-11-30 |
104.92% |
38.17% |
200.25% |
05-12-1 |
109.80% |
39.96% |
155.96% |
05-12-2 |
99.51% |
36.71% |
132.49% |
05-12-5 |
95.23% |
33.40% |
99.68% |
05-12-6 |
94.08% |
32.56% |
145.41% |
05-12-7 |
91.09% |
31.73% |
116.36% |
05-12-8 |
91.98% |
32.47% |
142.49% |
05-12-9 |
86.94% |
31.14% |
90.83% |
05-12-12 |
86.41% |
31.24% |
88.52% |
05-12-13 |
85.39% |
31.07% |
89.67% |
05-12-14 |
84.30% |
31.47% |
58.66% |
05-12-15 |
83.70% |
30.95% |
62.01% |
05-12-16 |
85.30% |
31.76% |
68.85% |
05-12-19 |
93.46% |
34.51% |
94.27% |
05-12-20 |
97.97% |
35.91% |
125.95% |
05-12-21 |
98.33% |
35.88% |
140.22% |
05-12-22 |
101.37% |
37.18% |
128.76% |
05-12-23 |
96.02% |
35.30% |
85.82% |
05-12-26 |
92.52% |
34.26% |
64.45% |
05-12-27 |
92.89% |
34.22% |
49.55% |
05-12-28 |
91.32% |
33.36% |
34.18% |
05-12-29 |
88.60% |
32.94% |
43.19% |
05-12-30 |
89.34% |
32.90% |
48.55% |
06-1-4 |
94.35% |
35.32% |
33.23% |
06-1-5 |
98.23% |
36.55% |
56.15% |
06-1-6 |
95.94% |
35.50% |
55.27% |
06-1-9 |
96.60% |
35.40% |
35.20% |
06-1-10 |
95.08% |
35.34% |
34.04% |
06-1-11 |
93.98% |
34.54% |
34.43% |
06-1-12 |
90.67% |
33.49% |
29.31% |
06-1-13 |
90.28% |
33.04% |
33.03% |
06-1-16 |
93.18% |
33.75% |
22.12% |
06-1-17 |
92.88% |
33.86% |
23.06% |
06-1-18 |
90.34% |
33.22% |
23.81% |
06-1-19 |
89.77% |
32.50% |
22.83% |
06-1-20 |
85.80% |
31.26% |
22.28% |
06-1-23 |
76.82% |
28.12% |
55.83% |
06-1-24 |
74.05% |
27.98% |
55.24% |
06-1-25 |
72.35% |
27.77% |
57.73% |
06-2-6 |
86.62% |
32.33% |
66.02% |
06-2-7 |
90.50% |
33.19% |
90.08% |
06-2-8 |
86.17% |
31.79% |
51.17% |
06-2-9 |
90.00% |
32.50% |
82.10% |
06-2-10 |
88.70% |
32.14% |
79.21% |
06-2-13 |
91.00% |
32.42% |
59.20% |
06-2-14 |
91.15% |
33.03% |
53.21% |
06-2-15 |
93.09% |
33.88% |
37.29% |
06-2-16 |
88.10% |
32.32% |
35.27% |
06-2-17 |
83.57% |
31.31% |
39.58% |
06-2-20 |
87.57% |
32.35% |
32.06% |
06-2-21 |
87.97% |
32.15% |
59.11% |
06-2-22 |
89.39% |
32.23% |
45.29% |
06-2-23 |
84.88% |
30.65% |
44.09% |
06-2-24 |
86.65% |
31.25% |
37.60% |
06-2-27 |
90.07% |
31.91% |
40.32% |
06-2-28 |
87.64% |
31.18% |
49.91% |
06-3-1 |
89.60% |
31.85% |
33.56% |
06-3-2 |
68.07% |
26.29% |
47.94% |
06-3-3 |
65.20% |
25.27% |
53.25% |
06-3-6 |
64.68% |
24.96% |
38.50% |
06-3-7 |
58.74% |
21.86% |
45.30% |
06-3-8 |
57.40% |
21.34% |
42.59% |
06-3-9 |
61.41% |
22.19% |
59.95% |
06-3-10 |
59.58% |
21.81% |
53.03% |
3、附表3 可创设与不可创设权证相关指标对比
交易日期 |
可创设权证平均隐
含波动率 |
不可创设
权证平均
隐含波动率 |
可创设权
证平均溢
价比率 |
不可创设
权证平均
溢价比率 |
可创设权
证平均
换手率 |
不可创设
权证平均
换手率 |
05-11-23 |
86.57% |
169.03% |
30.13% |
65.32% |
2.58% |
324.63% |
05-11-24 |
121.80% |
164.32% |
42.85% |
62.78% |
7.85% |
250.86% |
05-11-25 |
160.96% |
158.98% |
55.35% |
60.95% |
59.50% |
286.90% |
05-11-28 |
126.28% |
131.81% |
44.09% |
52.83% |
93.68% |
240.29% |
05-11-29 |
98.17% |
125.63% |
34.44% |
52.11% |
82.37% |
252.31% |
05-11-30 |
99.44% |
140.66% |
35.26% |
57.12% |
176.37% |
356.03% |
05-12-1 |
102.67% |
154.99% |
36.59% |
61.30% |
121.07% |
377.01% |
05-12-2 |
91.54% |
153.23% |
33.02% |
61.62% |
89.74% |
420.55% |
05-12-5 |
107.32% |
83.94% |
38.35% |
28.77% |
161.97% |
41.56% |
05-12-6 |
105.01% |
83.83% |
37.47% |
27.95% |
183.79% |
109.38% |
05-12-7 |
101.62% |
81.19% |
36.36% |
27.38% |
91.02% |
140.18% |
05-12-8 |
101.14% |
83.24% |
36.37% |
28.74% |
89.98% |
192.57% |
05-12-9 |
93.62% |
80.61% |
33.76% |
28.66% |
76.11% |
104.76% |
05-12-12 |
89.76% |
83.21% |
32.34% |
30.18% |
71.87% |
105.84% |
05-12-13 |
87.51% |
83.36% |
31.62% |
30.55% |
55.82% |
122.02% |
05-12-14 |
84.14% |
84.45% |
30.60% |
32.31% |
39.87% |
76.64% |
05-12-15 |
82.78% |
84.57% |
30.11% |
31.76% |
45.59% |
77.60% |
05-12-16 |
84.46% |
86.08% |
30.61% |
32.86% |
41.11% |
95.08% |
05-12-19 |
96.17% |
90.92% |
34.76% |
34.28% |
107.69% |
81.69% |
05-12-20 |
100.07% |
96.11% |
36.24% |
35.61% |
132.56% |
120.10% |
05-12-21 |
101.03% |
95.98% |
36.80% |
35.08% |
110.65% |
165.95% |
05-12-22 |
105.30% |
97.91% |
38.44% |
36.06% |
164.21% |
97.48% |
05-12-23 |
96.18% |
95.87% |
35.14% |
35.46% |
74.98% |
96.32% |
05-12-26 |
92.05% |
92.96% |
33.76% |
34.73% |
74.79% |
54.74% |
05-12-27 |
93.54% |
92.28% |
34.34% |
34.11% |
64.35% |
35.61% |
05-12-28 |
92.06% |
90.61% |
33.58% |
33.15% |
40.15% |
28.33% |
05-12-29 |
87.56% |
89.57% |
32.15% |
33.69% |
44.24% |
42.20% |
05-12-30 |
90.41% |
88.32% |
33.18% |
32.64% |
65.94% |
32.01% |
06-1-4 |
93.40% |
95.26% |
33.93% |
36.65% |
44.43% |
22.57% |
06-1-5 |
96.48% |
99.89% |
34.89% |
38.13% |
61.30% |
51.24% |
06-1-6 |
94.33% |
97.47% |
33.65% |
37.26% |
71.42% |
39.87% |
06-1-9 |
96.12% |
97.06% |
34.10% |
36.64% |
47.93% |
23.05% |
06-1-10 |
92.61% |
97.44% |
33.03% |
37.55% |
39.75% |
28.61% |
06-1-11 |
92.24% |
95.65% |
32.83% |
36.17% |
35.61% |
33.30% |
06-1-12 |
88.74% |
92.54% |
31.57% |
35.34% |
28.48% |
30.11% |
06-1-13 |
90.13% |
90.42% |
32.39% |
33.69% |
28.16% |
37.97% |
06-1-16 |
95.22% |
91.11% |
34.39% |
33.11% |
22.45% |
21.79% |
06-1-17 |
93.13% |
92.62% |
33.47% |
34.26% |
28.16% |
17.80% |
06-1-18 |
89.45% |
91.26% |
32.08% |
34.39% |
26.90% |
20.63% |
06-1-19 |
88.08% |
91.51% |
30.63% |
34.43% |
24.35% |
21.25% |
06-1-20 |
84.25% |
87.41% |
29.49% |
33.10% |
24.22% |
20.25% |
06-1-23 |
74.26% |
79.49% |
25.65% |
30.69% |
65.93% |
45.30% |
06-1-24 |
70.08% |
78.21% |
24.21% |
31.95% |
67.52% |
42.36% |
06-1-25 |
67.32% |
77.38% |
23.06% |
32.47% |
55.16% |
60.29% |
06-2-6 |
78.17% |
95.03% |
25.82% |
38.82% |
67.61% |
64.43% |
06-2-7 |
82.06% |
98.90% |
27.28% |
39.07% |
81.34% |
98.78% |
06-2-8 |
76.64% |
95.71% |
25.32% |
38.27% |
37.42% |
64.95% |
06-2-9 |
82.58% |
97.44% |
27.34% |
37.67% |
84.42% |
79.77% |
06-2-10 |
81.02% |
96.39% |
26.41% |
37.87% |
108.85% |
49.50% |
06-2-13 |
82.36% |
99.67% |
26.68% |
38.17% |
48.34% |
70.11% |
06-2-14 |
79.60% |
102.84% |
25.91% |
40.25% |
40.46% |
66.13% |
06-2-15 |
81.37% |
104.95% |
26.52% |
41.32% |
35.27% |
39.33% |
06-2-16 |
76.89% |
99.45% |
25.43% |
39.29% |
33.86% |
36.71% |
06-2-17 |
70.65% |
96.66% |
23.11% |
39.62% |
39.19% |
39.97% |
06-2-20 |
74.07% |
101.25% |
24.21% |
40.60% |
24.59% |
39.62% |
06-2-21 |
75.01% |
100.89% |
23.88% |
40.40% |
69.68% |
48.57% |
06-2-22 |
76.40% |
102.36% |
24.14% |
40.31% |
45.16% |
45.42% |
06-2-23 |
71.17% |
98.57% |
22.33% |
38.95% |
43.58% |
44.61% |
06-2-24 |
72.75% |
100.53% |
22.79% |
39.69% |
35.28% |
39.91% |
06-2-27 |
78.79% |
101.32% |
24.97% |
38.83% |
47.54% |
33.12% |
06-2-28 |
75.69% |
99.57% |
23.90% |
38.44% |
53.33% |
46.50% |
06-3-1 |
77.28% |
101.89% |
24.50% |
39.18% |
39.54% |
27.60% |
06-3-2 |
54.88% |
87.29% |
21.87% |
32.73% |
54.90% |
37.80% |
06-3-3 |
51.86% |
84.63% |
20.41% |
32.36% |
71.14% |
27.18% |
06-3-6 |
51.57% |
83.78% |
20.25% |
31.83% |
43.44% |
31.30% |
06-3-7 |
45.83% |
79.97% |
17.06% |
29.75% |
54.71% |
29.82% |
06-3-8 |
45.53% |
76.92% |
17.30% |
27.98% |
51.00% |
28.76% |
06-3-9 |
48.41% |
82.80% |
17.93% |
29.21% |
57.02% |
64.76% |
06-3-10 |
46.90% |
80.44% |
17.64% |
28.65% |
45.45% |
65.49% |
交易日期可创设权证平均隐含波动率不可创设权证平均隐含波动率可创设权证平均溢价比率不可创设权证平均溢价比率可创设权证平均换手率不可创设权证平均换手率
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