刘岱：华菱认沽权证保本投资策略分析
http://www.sina.com.cn 2006年08月16日 16:07 新浪财经
刘岱
2006年8月16日
(特别说明：此稿件为银河证券研究中心供新浪独家使用，其他网站请勿擅自转载！)
一、华菱认沽权证基本情况
华菱认沽权证(038003)是2006年3月2日上市交易的欧式认沽权证，到期日为2008年3月1日，规模为6.33亿份。初始行权价为4.90元，6月23日调整后的最新行权价为4.769元。
相比其它权证，该权证上市交易以来走势平稳。见图1。
图1 华菱认沽权证与G华菱股票走势
二、华菱认沽权证保本投资组合策略
华菱认沽权证给我们提供了保本投资的机会。图2中红线为华菱认沽权证的行权价，粉红线是每日华菱认沽权证收盘价与G华菱股票收盘价之和。粉红线低于红线的部分说明，在该交易日同时买入相同数量的华菱认沽权证和G华菱股票，可以确保投资不亏本，到期行权可以获得无风险收益。
如2006年4月28日(此时距到期还有1.8年)，权证价格为1.206元，股票价格3.42元，两者之和为4.626元，比当时的行权价4.9元低8.01%，即使考虑交易费用，也比行权价低7.62%。也就是说，该日买入华菱权证与G华菱股票组合的投资者，到期行权可获得7.62%的无风险收益，远高于同期存款利率。
7%以上收益率出现的机会并不多，持有该组合的目的也并不是为了获得这个收益。我们知道，认沽权证与标的股票组合构成一个认购权证，即当G华菱股票上涨时，该组合价值将上涨。如果看好G华菱股票，就可在粉红线低于红线的位置买入权证与股票组合。如果G华菱如预期一样上涨，该组合便可以较高的收益获利了结；如果G华菱持续下跌，持有组合的投资者至少可以持有到期，通过行权获得无风险收益，确保本金不受损失。
图2 华菱认沽权证与G华菱组合走势
从华菱权证及其它认沽权证的交易情况看，权证价格与标的股票价格之和低于行权价只是暂时的，会很快向行权价回归并超出。而华菱认沽权证还有1年半到期，G华菱股价在此期间上涨机会很多，因此该组合获得超过无风险收益的概率很大。
最近8个交易日，华菱认沽权证和G华菱股票收盘价之和一直低于行权价，给投资者提供了保本投资的机会。见附表。
负的溢价率表示到期行权有正的收益。最近一个交易日(8月14日)买入华菱权证与股票组合，至少可获得无风险收益0.86%，去除交易费用后的收益为0.48%。
2006年8月16日
附表：华菱认沽权证溢价率表
日期 |
剩余期限
（年） |
华菱 JTP1 |
Ｇ华菱 |
溢价率 |
权证 +股票 |
溢价率
(考虑交易费) |
行权价 |
2006-3-2 |
2.00 |
1.645 |
3.64 |
10.58% |
5.285 |
10.93% |
4.9 |
2006-3-3 |
2.00 |
1.531 |
3.71 |
9.19% |
5.241 |
9.55% |
4.9 |
2006-3-6 |
1.99 |
1.532 |
3.7 |
8.97% |
5.232 |
9.33% |
4.9 |
2006-3-7 |
1.99 |
1.532 |
3.61 |
6.70% |
5.142 |
7.07% |
4.9 |
2006-3-8 |
1.98 |
1.53 |
3.52 |
4.26% |
5.05 |
4.63% |
4.9 |
2006-3-9 |
1.98 |
1.576 |
3.46 |
3.93% |
5.036 |
4.31% |
4.9 |
2006-3-10 |
1.98 |
1.513 |
3.55 |
4.59% |
5.063 |
4.96% |
4.9 |
2006-3-13 |
1.97 |
1.422 |
3.75 |
7.25% |
5.172 |
7.61% |
4.9 |
2006-3-14 |
1.97 |
1.426 |
3.72 |
6.61% |
5.146 |
6.97% |
4.9 |
2006-3-15 |
1.96 |
1.4 |
3.7 |
5.41% |
5.1 |
5.76% |
4.9 |
2006-3-16 |
1.96 |
1.402 |
3.65 |
4.16% |
5.052 |
4.53% |
4.9 |
2006-3-17 |
1.96 |
1.386 |
3.6 |
2.39% |
4.986 |
2.76% |
4.9 |
2006-3-20 |
1.95 |
1.341 |
3.64 |
2.23% |
4.981 |
2.59% |
4.9 |
2006-3-21 |
1.95 |
1.373 |
3.63 |
2.84% |
5.003 |
3.20% |
4.9 |
2006-3-22 |
1.95 |
1.348 |
3.63 |
2.15% |
4.978 |
2.52% |
4.9 |
2006-3-23 |
1.94 |
1.303 |
3.69 |
2.52% |
4.993 |
2.88% |
4.9 |
2006-3-24 |
1.94 |
1.312 |
3.57 |
-0.50% |
4.882 |
-0.13% |
4.9 |
2006-3-27 |
1.93 |
1.334 |
3.55 |
-0.45% |
4.884 |
-0.08% |
4.9 |
2006-3-28 |
1.93 |
1.318 |
3.61 |
0.78% |
4.928 |
1.15% |
4.9 |
2006-3-29 |
1.93 |
1.294 |
3.64 |
0.93% |
4.934 |
1.30% |
4.9 |
2006-3-30 |
1.92 |
1.311 |
3.53 |
-1.67% |
4.841 |
-1.29% |
4.9 |
2006-3-31 |
1.92 |
1.275 |
3.58 |
-1.26% |
4.855 |
-0.88% |
4.9 |
2006-4-3 |
1.91 |
1.208 |
3.55 |
-4.00% |
4.758 |
-3.62% |
4.9 |
2006-4-4 |
1.91 |
1.198 |
3.62 |
-2.27% |
4.818 |
-1.89% |
4.9 |
2006-4-5 |
1.91 |
1.2 |
3.65 |
-1.37% |
4.85 |
-1.00% |
4.9 |
2006-4-6 |
1.90 |
1.23 |
3.58 |
-2.51% |
4.81 |
-2.14% |
4.9 |
2006-4-7 |
1.90 |
1.186 |
3.55 |
-4.62% |
4.736 |
-4.24% |
4.9 |
2006-4-10 |
1.89 |
1.157 |
3.61 |
-3.68% |
4.767 |
-3.31% |
4.9 |
2006-4-11 |
1.89 |
1.175 |
3.59 |
-3.76% |
4.765 |
-3.38% |
4.9 |
2006-4-12 |
1.89 |
1.208 |
3.56 |
-3.71% |
4.768 |
-3.33% |
4.9 |
2006-4-13 |
1.88 |
1.237 |
3.51 |
-4.36% |
4.747 |
-3.98% |
4.9 |
2006-4-14 |
1.88 |
1.187 |
3.61 |
-2.85% |
4.797 |
-2.48% |
4.9 |
2006-4-17 |
1.87 |
1.198 |
3.59 |
-3.12% |
4.788 |
-2.74% |
4.9 |
2006-4-18 |
1.87 |
1.198 |
3.58 |
-3.41% |
4.778 |
-3.03% |
4.9 |
2006-4-19 |
1.87 |
1.215 |
3.54 |
-4.10% |
4.755 |
-3.72% |
4.9 |
2006-4-20 |
1.87 |
1.22 |
3.56 |
-3.37% |
4.78 |
-2.99% |
4.9 |
2006-4-21 |
1.86 |
1.244 |
3.68 |
0.65% |
4.924 |
1.02% |
4.9 |
2006-4-24 |
1.85 |
1.355 |
3.55 |
0.14% |
4.905 |
0.52% |
4.9 |
2006-4-25 |
1.85 |
1.406 |
3.34 |
-4.61% |
4.746 |
-4.21% |
4.9 |
2006-4-26 |
1.85 |
1.406 |
3.34 |
-4.61% |
4.746 |
-4.21% |
4.9 |
2006-4-27 |
1.85 |
1.219 |
3.46 |
-6.39% |
4.679 |
-6.00% |
4.9 |
2006-4-28 |
1.84 |
1.206 |
3.42 |
-8.01% |
4.626 |
-7.62% |
4.9 |
2006-5-8 |
1.82 |
1.275 |
3.42 |
-5.99% |
4.695 |
-5.60% |
4.9 |
2006-5-9 |
1.81 |
1.335 |
3.53 |
-0.99% |
4.865 |
-0.61% |
4.9 |
2006-5-10 |
1.81 |
1.4 |
3.6 |
2.78% |
5 |
3.15% |
4.9 |
2006-5-11 |
1.81 |
1.35 |
3.66 |
3.01% |
5.01 |
3.37% |
4.9 |
2006-5-12 |
1.81 |
1.355 |
3.85 |
7.92% |
5.205 |
8.27% |
4.9 |
2006-5-15 |
1.80 |
1.43 |
3.9 |
11.03% |
5.33 |
11.36% |
4.9 |
2006-5-16 |
1.79 |
1.487 |
3.66 |
6.75% |
5.147 |
7.11% |
4.9 |
2006-5-17 |
1.79 |
1.404 |
3.88 |
9.90% |
5.284 |
10.24% |
4.9 |
2006-5-18 |
1.79 |
1.542 |
4.14 |
18.89% |
5.682 |
19.21% |
4.9 |
2006-5-19 |
1.79 |
1.501 |
4.11 |
17.30% |
5.611 |
17.62% |
4.9 |
2006-5-22 |
1.78 |
1.524 |
4.18 |
19.23% |
5.704 |
19.55% |
4.9 |
2006-5-23 |
1.78 |
1.634 |
3.92 |
16.68% |
5.554 |
17.02% |
4.9 |
2006-5-24 |
1.77 |
1.416 |
3.88 |
10.21% |
5.296 |
10.55% |
4.9 |
2006-5-25 |
1.77 |
1.421 |
3.86 |
9.87% |
5.281 |
10.21% |
4.9 |
2006-5-26 |
1.77 |
1.401 |
3.9 |
10.28% |
5.301 |
10.62% |
4.9 |
2006-5-29 |
1.76 |
1.495 |
3.99 |
14.66% |
5.485 |
14.99% |
4.9 |
2006-5-30 |
1.76 |
1.512 |
3.91 |
13.35% |
5.422 |
13.69% |
4.9 |
2006-5-31 |
1.75 |
1.488 |
3.87 |
11.83% |
5.358 |
12.17% |
4.9 |
2006-6-1 |
1.75 |
1.452 |
3.92 |
12.04% |
5.372 |
12.38% |
4.9 |
2006-6-2 |
1.75 |
1.292 |
3.86 |
6.53% |
5.152 |
6.87% |
4.9 |
2006-6-5 |
1.74 |
1.258 |
4 |
8.95% |
5.258 |
9.29% |
4.9 |
2006-6-6 |
1.74 |
1.303 |
4.07 |
11.62% |
5.373 |
11.95% |
4.9 |
2006-6-7 |
1.73 |
1.39 |
3.74 |
6.15% |
5.13 |
6.50% |
4.9 |
2006-6-8 |
1.73 |
1.37 |
3.78 |
6.61% |
5.15 |
6.97% |
4.9 |
2006-6-9 |
1.73 |
1.52 |
3.65 |
7.40% |
5.17 |
7.76% |
4.9 |
2006-6-12 |
1.72 |
1.497 |
3.66 |
7.02% |
5.157 |
7.38% |
4.9 |
2006-6-13 |
1.72 |
1.414 |
3.65 |
4.49% |
5.064 |
4.86% |
4.9 |
2006-6-14 |
1.72 |
1.441 |
3.58 |
3.38% |
5.021 |
3.75% |
4.9 |
2006-6-15 |
1.71 |
1.386 |
3.63 |
3.20% |
5.016 |
3.56% |
4.9 |
2006-6-16 |
1.71 |
1.29 |
3.69 |
2.17% |
4.98 |
2.53% |
4.9 |
2006-6-19 |
1.70 |
1.357 |
3.65 |
2.93% |
5.007 |
3.30% |
4.9 |
2006-6-20 |
1.70 |
1.35 |
3.72 |
4.57% |
5.07 |
4.93% |
4.9 |
2006-6-21 |
1.70 |
1.316 |
3.72 |
3.66% |
5.036 |
4.01% |
4.9 |
2006-6-22 |
1.69 |
1.274 |
3.75 |
3.31% |
5.024 |
3.66% |
4.9 |
2006-6-23 |
1.69 |
1.221 |
3.75 |
5.39% |
4.971 |
5.73% |
4.769 |
2006-6-26 |
1.68 |
1.213 |
3.85 |
7.64% |
5.063 |
7.98% |
4.769 |
2006-6-27 |
1.68 |
1.184 |
3.93 |
8.78% |
5.114 |
9.11% |
4.769 |
2006-6-28 |
1.68 |
1.229 |
3.89 |
9.00% |
5.119 |
9.33% |
4.769 |
2006-6-29 |
1.67 |
1.244 |
3.93 |
10.31% |
5.174 |
10.64% |
4.769 |
2006-6-30 |
1.67 |
1.21 |
3.84 |
7.32% |
5.05 |
7.66% |
4.769 |
2006-7-3 |
1.66 |
1.203 |
3.85 |
7.38% |
5.053 |
7.72% |
4.769 |
2006-7-4 |
1.66 |
1.229 |
3.82 |
7.33% |
5.049 |
7.67% |
4.769 |
2006-7-5 |
1.66 |
1.218 |
3.75 |
5.31% |
4.968 |
5.65% |
4.769 |
2006-7-6 |
1.65 |
1.191 |
3.89 |
8.02% |
5.081 |
8.36% |
4.769 |
2006-7-7 |
1.65 |
1.108 |
3.94 |
7.08% |
5.048 |
7.42% |
4.769 |
2006-7-10 |
1.64 |
1.038 |
3.97 |
6.02% |
5.008 |
6.35% |
4.769 |
2006-7-11 |
1.64 |
0.957 |
4.13 |
7.70% |
5.087 |
8.02% |
4.769 |
2006-7-12 |
1.64 |
1.005 |
4.03 |
6.60% |
5.035 |
6.93% |
4.769 |
2006-7-13 |
1.64 |
1.177 |
3.78 |
4.97% |
4.957 |
5.32% |
4.769 |
2006-7-14 |
1.63 |
1.186 |
3.79 |
5.46% |
4.976 |
5.81% |
4.769 |
2006-7-17 |
1.62 |
1.235 |
3.8 |
7.00% |
5.035 |
7.34% |
4.769 |
2006-7-18 |
1.62 |
1.24 |
3.79 |
6.89% |
5.03 |
7.23% |
4.769 |
2006-7-19 |
1.62 |
1.35 |
3.67 |
6.84% |
5.02 |
7.19% |
4.769 |
2006-7-20 |
1.62 |
1.2 |
3.72 |
4.06% |
4.92 |
4.41% |
4.769 |
2006-7-21 |
1.61 |
1.228 |
3.73 |
5.07% |
4.958 |
5.42% |
4.769 |
2006-7-24 |
1.61 |
1.265 |
3.66 |
4.26% |
4.925 |
4.62% |
4.769 |
2006-7-25 |
1.60 |
1.205 |
3.71 |
3.94% |
4.915 |
4.29% |
4.769 |
2006-7-26 |
1.60 |
1.236 |
3.7 |
4.51% |
4.936 |
4.87% |
4.769 |
2006-7-27 |
1.60 |
1.262 |
3.65 |
3.92% |
4.912 |
4.27% |
4.769 |
2006-7-28 |
1.59 |
1.214 |
3.64 |
2.34% |
4.854 |
2.69% |
4.769 |
2006-7-31 |
1.59 |
1.265 |
3.59 |
2.40% |
4.855 |
2.76% |
4.769 |
2006-8-1 |
1.58 |
1.259 |
3.56 |
1.40% |
4.819 |
1.77% |
4.769 |
2006-8-2 |
1.58 |
1.289 |
3.47 |
-0.29% |
4.759 |
0.09% |
4.769 |
2006-8-3 |
1.58 |
1.27 |
3.48 |
-0.55% |
4.75 |
-0.17% |
4.769 |
2006-8-4 |
1.58 |
1.27 |
3.46 |
-1.13% |
4.73 |
-0.75% |
4.769 |
2006-8-7 |
1.57 |
1.24 |
3.48 |
-1.41% |
4.72 |
-1.03% |
4.769 |
2006-8-8 |
1.56 |
1.179 |
3.54 |
-1.41% |
4.719 |
-1.04% |
4.769 |
2006-8-9 |
1.56 |
1.208 |
3.5 |
-1.74% |
4.708 |
-1.37% |
4.769 |
2006-8-10 |
1.56 |
1.201 |
3.52 |
-1.36% |
4.721 |
-0.99% |
4.769 |
2006-8-11 |
1.56 |
1.202 |
3.51 |
-1.62% |
4.712 |
-1.25% |
4.769 |
2006-8-14 |
1.55 |
1.239 |
3.5 |
-0.86% |
4.739 |
-0.48% |
4.769 |
注： 认沽权证溢价率=(标的股票价格+认沽权证价格-行权价)/标的股票价格
(作者系银河证券研究中心高级研究员)
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