Venda do Novo Banco pode representar 8% do M&A na banca europeia este ano

[Pata-Hari]

Exacto, concordo contigo e é isso que é giro... era giro termos O MM aqui.

E quanto aos encontros sociais.... epá, eu estou no mesmo saco, lol... este é excepcional...

[djovarius]

Pata, repara num pormenor. Volta ao último dos warrants, o WAVE e lê o que está no quarto parágrafo a contar do fim. Ele diz que falou com Matt Arnott que ia ser o arbitragista do warrant, que lhe garantou um spread baixo, etc etc...
O meu ponto de vista é: sabe-se quem é quem. Alguém dá a cara. Pelos menos fica a sensação que os investidores sabem com o que contar. Pode não ser a 100%, mas ao menos há transparência, o que é essencial para produtos tão complexos, mas que deveria ser a regra e não a excepção. O português precisa de abrir os olhos.

P.S. Amanhã há resumo da semana - América Latina. Entre outras coisas, a nova quimera do Ouro, colapso à vista no sector energético e... veremos !!

P.S. (2) - Pronto, e eu jamais poderei participar nesses eventos sociais !

[Pata-Hari]

Djovairius, acho que poderia ser uma ideia muito engraçada lançarmos um debate com MMs da nossa praça e o público do fórum. Penso que seria algo de mútuo interesse.


Vou falar este fim-de-semana com um deles (no primeiro grande evento do site, evento-sem-fronteiras, lolllllllllll*) e vou propor isso.... veremos qual é a resposta!

*Quem quiser alinhar será no marais no domingo

[djovarius]

Olá, tudo bem. Saudações a todos no Fórum.

Como prometido, vou continuar com o assunto relacionado com os chamados warrants exóticos e começo por fazer uma chamada de atenção. Afinal, os warrants que são negociados em Portugal sobre índices accionistas ou mesmo sobre taxas de câmbio, segundo alguns autores, já se podem e devem enquadrar na categoria "exóticos" ao contrário do warrant nomal sobre uma acção que é um "plain vanilla". Ou seja, é uma opção relativamente simples.

Outra chamada de atenção: neste e noutros Fóruns é possível ler muitos desabafos sobre a actuação do MM e as mexidas na volatilidade implícita. Eu concordo com muitas dessas questões e lamento que falte uma comunicação mais efectiva entre Bolsa de Valores - MM - investidor. Apesar dos seminários e dos cursos, há que valorizar e intensificar esse tipo de iniciativas. Vejamos o exemplo. Segundo a revista Australiana "Leverage" (é isso mesmo, uma revista dedicada só a derivativos e opções) decorreu ontem em Sydney um seminário avançado sobre warrants promovido pela Bolsa local, com a participação de representantes dos emitentes que actuam nesse mercado e aberta à participação GRATUITA de todo e qualquer investidor. Chamo a atenção para um dos temas do seminário: "Behind the scenes of market-making" cujo objectivo era o de confrontar as funções do MM com as dúvidas do investidor.
Era só isso que se pedia no nosso mercado. A transparência é a chave para a credibilidade e o crescimento dos negócios.

Depois destas chamadas de atenção, vou começar a fazer uns "pastes" interessantes sobre os "exotics" extraídos de um site sul-africano, cujo mercado já conhece bem estes produtos (há warrants sobre acções de mineradoras ), como tal virão referências ao mercado local, mas dão uma explicação razoavelmente boa:

Barrier warrants

Like a conventional warrant, the performance of a Barrier Warrant is linked to the value of the underlying share price. As the price of the underlying share increases, all other things being equal:
- Barrier Call Warrants are expected to increase in value; and
- Barrier Put Warrants are expected to decrease in value,
- and vice versa.
Barrier Warrants offer greater gearing than conventional warrants. This means that, all other things being equal, for a given percentage move in the price of an underlying share, the percentage move in the price of a Barrier Warrant will be greater than for a conventional warrant.
Technically this is because Barrier Warrants have both a higher delta and a lower price than conventional warrants.
How are Barrier Warrants Different?
Barrier Warrants are identical in most respects to conventional JSE listed warrants.
The difference is that Barrier Warrants have a Barrier Price. If the price of the underlying share crosses the Barrier Price the warrant lapses - i.e. it disappears completely and gives the holder no further rights.
The Barrier is always set at a level at which the Warrant will have very little value in any event. For Example: in the case of a Barrier Call Warrant the Barrier is usually set at about 50% of the Strike Price. This means that the underlying share would need to double in price in order for the Warrant to have any value at expiry in any event. For Barrier Put Warrants the Barrier Price is normally set around 50% above the strike price.
The presence of the Barrier means that Barrier Warrants cost less to buy than conventional Warrants. However, if the underlying share price moves in the anticipated direction (up for Calls, down for Puts) the Barrier Warrant gives exactly the same rights, and yields exactly the same profit, as a conventional Warrant on similar terms.
In percentage terms given the greater gearing Barrier Warrants will yield greater profits than conventional Warrants, because as noted above Barrier Warrants have a higher Delta than conventional Warrants. This is particularly noticeable as the Warrant moves out of the money, where the Delta is much more constant than a conventional warrant. This yields much greater potential profits than buying cheap out of the money warrants.

Basket warrants - já tinham sido referenciados, mas agora a explicação é mais clara.

Many investors would never heard of the idea of basket warrants.
How do they work
Well they trade just like anything else on the JSE, the major difference is the strike price, ratios and underlying shares. In the case of a basket warrant their are a number of shares making up the underlying each with a different ratio. So to trade call up your broker (or their web page) and process the order just like any other buy/sell.
Often a underlying stock that unbundles will result in a basket warrant as the issuer now makes the strike on the two stocks.
Do they work?
In theory - yes, but they suffer from acute volumenitess, that is they are very thinly traded. The reason is that it's often not that easy to work out the actual value of the underlying.
What's the problem?
Very simple I suspect it's ignorance on behalf of investors and to be fair the fact that they are very difficult to price. Getting a fair value on them is sometimes impossible.
So what's so great about these baskets?
There are a great way to by a sector and expose yourself to the major stocks within that sector thereby benefiting in an upward movement of the sector. They're different from index warrants in that they can have a narrower focus (and the fact that index warrants are only on the major more general indices).

Warrants sobre Obrigações - mais uma novidade (para mim)

They're exactly the same as normal vanilla warrants with the bond as the underlying asset.
One point is that when the yield on the bond goes down one is making a profit and losing money when the yield goes up...

Compound warrants - vimos que eram um warrant de um warrant. Vejam com atenção este exemplo prático da Bolsa sul-africana:

Gensec Bank listed eight new warrants on Wednesday of which two where compound calls, a totally new and funky concept.

In short a compound call is a warrant listed on a warrant and what this gives us is some serious gearing as you have gearing on top of gearing. The two compound calls where listed on the 5STXGB (SATRIX40 call) an 6STXGB (SATRIX40 put).

So now when you want to take a position on the overall performance of the ALSI40 you have a multitude of choices. You could trade the SATRIX40 itself (albeit only for upwards movement) but this wouldn't get you very exciting gearing at all.

Then for those looking for a spot more gearing the next option would be a warrant on the SATRIX40 of which there are now many (and five more listing on Monday). Here you have a lot of calls and one put from Gensec, 6STXGB, which will enable some nice returns in either direction.

Then for those who feel that Formula One cars are a bit slow there are the two compound calls which have break neck gearing. CC5STX is listed on 5STXGB so should the SATRIX40 be rising this compound call will fly on up and CC6STX which is listed on 6STXGB (the STX put), which in the case of a falling market this would be your bet for some serious gains.

As example of the increased gearing, at the opening on Friday 6STXGB offered a gearing of -2.7% (so for every percentage point the SATRIX40 lost the warrant would rise 2.7%) and the CC6STX had a gearing of -6.4%, almost three times the normal put warrant.

It is important to understand that CC6STX is a CALL issued on a put, so it will RISE with any fall on the SATRIX40.

CC26TX (which benefits from a falling market) has done over 6million in volume in the first three days, a roaring success and Gensec must be congratulated for bringing some new and exciting instruments to our market, and congratulated for always issuing both a call and a put.

Like all highly geared instruments there is a health warning; firstly these are not for the faint hearted, anything which can go up at speed can do the reverse and fall with some serious speed - so don't buy them the day before you take a two week break as you may come back to nothing.

Secondly should they be out of the money and the strike date starts to get near the effective gearing and time decay will be enough to rush the blood to the back of the head and cause spots before your eyes.

In conclusion they offer higher risk and we'd only recommend them for those with a strong constitution, a high risk profile and a quick line to your broker. What we like most about them is the gearing, naturally, but in the past trading the index calls and puts has been tricky especially on the downside - now we can quickly take advantage of small moves in the index and large moves will return huge profits, if you're on the correct side!

Chamada de atenção: além da Gensec, também o BNP Paribas e o Deutsche Bank emitem warrants neste mercado (só falta no nosso), incluindo estas "coisas". Aconteceu um episódio interessante quando o mercado atingiu o fundo de Outubro - alguns investidores apostando em mais descidas, ficaram super alavancados com "compound" warrants, queimando-se forte e feio. Quem assumiu nessa época uma posição contrária, apostando nas subidas e adquirindo um call sobre um call, deu-se bem. Houve um caso em que entre Outubro e Dezembro, o warrant retornou 2175%

Equity Financing Warrants - o valor deste nunca tende para zero, baixo risco mesmo. Vejam como:

A very exotic sounding names for warrants which essentially have a down side limit due to a stop loss function which will automatically kick in should the underlying stock close below the stop loss level.
These warrants are issued way in-the-money and thus value will be almost exclusively be intrinsic value with only a small amount of time value and an equally small effective gearing of around 1.5 - 2X (we generally trade warrants with gearing of 2.8 - 3.5X).

What happens is that when they're issued they'll also be issued with a stop loss level (at about 30% above the strike price) and if the underlying stock ever closes below that level the issuer will pay out the intrinsic value of the warrant - so the warrant will never get to zero as it'll always have intrinsic value.

Issued with a delta of 1 (or 100%) they will experience practically no time decay and thus Investec have effectively removed one of the tricks (or depending on your view - troubles) of warrant trading and that's the dreaded time decay which can eat at your profits faster then starved Piranha can snack a mis-placed poodle.

Thus with lower gearing and little or no time decay these warrants are not aimed at your traditional highly strung and fast flung warrant trader who thrives on gearings that hover just below the stratosphere, they're aimed at the trader who wants some level of gearing on a quality blue chip rand hedged stock - but doesn't want all the risks of a vanilla warrant.

So here they get less risk for less reward (albeit still more reward/risk then buying the underlying directly) - an interesting product which should certainly find a market with those looking to take a less risky longer term view of an underlying.

Spread warrants ou WASP`s - esta explicação é muito mais completa do que a que colocámos no primeiro post sobre o assunto. Vejam como existem não um, mas dois strikes, sem que isso seja problema:

There are essentially two differences between these Spread Warrants and a normal vanilla warrant. The WASP has two strike values and the upside potential is capped at the higher strike price for calls and capped at the lower strike price for put WASP's.

Below we have a table showing two examples and then some values at strike with the ALSI40 at various levels. With a call the intrinsic value is the current ALSI40 level less the lower strike rate, so at 10,500 we end up with R500.00 which we divide by the cover ratio leaving us with a value of 50c - easy enough.

WASP - call WASP - put
Strike 1 R10,000 R11,000
Strike 2 R11,000 R10,000
Cover 1,000 1,000
Strike Date 9 months 9 months
Value at 9,000* 0c 100c
Value at 10,000*0c 100c
Value at 10,500* 50c 50c
Value at 11,000* 100c 0c
Value at 12,000* 100c 0c
* WASP value at strike date

It is important to understand that the (upper level for calls & lower level for puts) is a limit level, so in the above example with the call any move above 11,000 points on the ALSI40 will net no extra gain to the WASP holder and equally with the put example a move below 10,000 will generate no extra value.

It is also important to clearly understand a couple of other things;

There is only 1 price for the WASP albeit has two strike prices.
It does not expire early (as a barrier warrant would) should the underlying price move below the lower strike (for a call) or above the upper strike (for a put).
A WASP has a max price value which is the difference between the two strikes and divide by the cover ration, in the above examples R1.00 is the max value of all.
You pay a lower premium for the warrant and the pay off is a capping of the upside potential for the warrant.
Once the upper level (for a call) is reached the warrant holds no further attraction as it will not increase any further so we would advise selling them.
Further valuing these WASP warrants is going to be more tricky then vanilla warrants as we have an upside cap level (for calls) which needs to be factored into the price.
Overall we like index calls & puts so this fits well with our likes and we will watch them for a while to ensure that we fully understand all the theory and that the theory as we understand it matches what actually happens.
Bottom line - good looking products.


WAVES ou Warrant Alternative Vehicles - um produto para todos os investidores. O risco é grande, mas gerenciável, como poderão verificar, são uma espécie de TURBOS, eles podem deixar de ter valor, mas só se nós quisermos, porque eles emitidos com um Delta de 100 e o valor temporal é sempre quase inexistente:

However trying to profit from these often intra-day moves in the Top 40 Index has been some what harder with the only real option up till now being Compound Calls (CC's), but due to hectic time decay as the CC's approached strike and sometimes violent volatility swings profiting from these correct calls using CC's has not always been so easy and in fact calling the market right wouldn't always guarantee a profit at the end of the day.

With this in mind Deutsche Bank have launched SA's newest warrant product - WAVES or Warrant Alternative Vehicles. In short they are highly geared (a fixed effective gearing of around 15x or higher) call or put issued over the Top 40 Index but with some very nifty features that'll make profiting with them a whole lot easier - for those prepared to take on the extra gearing risk.

The main beauty of them is that they're issued deep in-the-money so are mostly made up of intrinsic value and thus volatility will have hardly any affect on them and WAVEs are to all intent and purposes completely devoid of any of the nasty volatility side effects which have crippled Compound Calls.

Further they'll be issued at a delta of one (or very nearly one) and lastly time decay will be smoothed as the time value of the WAVE will be apportioned constantly over the term of the warrants.

With a vanilla warrant two thirds of time decay is apportioned in the last third of the warrants life and thus it gets very hectic close to expiry. We estimate that these new WAVEs will lose time value of around 1c per trading day but haven't confirmed that number with the issuer neither have they as yet decided exactly when and how they'll apportion the time decay.

So what in effect we have is a index warrant that will have a constant gearing through out its life (around 15x) and which will trade in a linear fashion with little or no risk to volatility and a constant time decay - maybe the perfect instrument for trading???

Another benefit of these new WAVEs is that they will be much more efficient as a hedging tool for the average trader due to their unique make up.

Naturally all this good news means that there has to be some serious extra risk lurking somewhere in theses WAVE's and there is!

A WAVE has a barrier level at which the WAVE is `knocked out', in other words should the Top 40 Index even trade at the barrier level the WAVE ceases to exist and will be gone for ever. Serious risk I agree but a very manageable one especially as Deutsche Bank will be issuing two puts and two calls with different strike levels and barrier levels so as a barrier level approaches one just needs to roll over into the next WAVE with a less risky barrier level.

Also with gearing of 15x working in both directions they'll fall like a large rock if you get your call wrong so discipline of the mind and rigid stop loss policies are going to be needed.

There are two other potential tricky areas in these new WAVEs and the first is my favourite bug bear - the spread... These WAVE's will be issued at around 600c and speaking to Matt Arnott, who will be doing the hedging, Deutsche are committed to as tight a spread as possible and he says probably 20c - 30c which isn't that tiny being some 3% - 5%. However with the level of gearing these WAVE's have a move of about 15 points in the index will get you across the spread and that's perfectly satisfactory.

The second issue is more complicated and has to do with the hedging of these WAVE's. They'll actually be hedged, and therefore priced, against the near dated futures contract and at close out the hedge will be rolled over to the next near dated contract and there will almost certainly be a price difference and in essence they'll be pricing off an implied future contract price. This area gets a little complicated and will lead to arbitrage opportunities and will see some odd numbers around futures close out. Those wanting more clarification should contact the Deutsche Bank warrant desk, contact details here.

Of critical importance is that the barrier level will be considered to have been breached should the Top 40 Index spot price equal the barrier level, in other words trade them against the index not the futures contract.

Gearing without Volatility is how Deutsche Bank describe these new WAVEs on their pamphlet and we agree and further think they are a great addition to our local market - albeit not for everybody but I suspect many traders are going to get seriously rich with these products.

É isto por agora, espero que quando chegaram a Portugal, pelo menos o pessoal do Caldeirão já terá alguma informação.

Um abraço
dj