At the application level, if investors want to calculate the change in the price of the relevant subscription or warrant when the relevant underlying stock changes by 1.00 yuan, they can calculate the hedging value of each warrant. . The method is calculated by multiplying the price change of the underlying stock by the hedging value of each warrant. For example, if the hedge value of a call warrant is 50% and the exchange ratio is 10:1, then the hedge value per warrant is equal to 0.05. Assume that the current price of the call warrant is 0.5 yuan, then when the underlying stock increases by 1 yuan and other factors that affect the warrant price remain unchanged, the call warrant will theoretically increase by 0.05 yuan.
When a warrant is extremely in-the-money, its price will move almost exactly the same as the price of the underlying stock. The hedging value is 1. For example, the hedging value of Angang JTC1 with an in-the-money degree of 129.79% is 1; if the warrant is at parity, its price change will only be half of the underlying stock; the hedging value is close to 0.5, such as close to parity. This is the case for Airport JTP1. If the warrant is extremely out-of-the-money, even if the underlying stock price changes, the warrant may not have any reaction, reflecting that the warrant no longer has any value and the hedging value is zero. If CMB CMP1 is deeply out-of-the-money, the hedging value is close to zero. Under normal circumstances, the hedge value of a call warrant is a positive number, reflecting that the changes between the two are directly proportional, while the hedge value of a put warrant is a negative number, indicating an inverse relationship.
It should be noted that the hedging value is a dynamic ratio and will change as the underlying stock price changes. When the stock price of the underlying stock fluctuates significantly, the warrant may change from in-the-money to at-the-money or out-of-the-money. Therefore, investors must also dynamically update the hedging value as a calculation parameter.
As mentioned earlier, another important point of the hedging value is to reflect the probability of the warrant becoming in-the-money on the expiration date. Taking an at-the-money warrant as an example, the hedge value is 0.5, which means that the chance of the warrant becoming in-the-money when it expires is close to 50%. In fact, this probability is also an indicator that reflects the market's price prediction of the underlying stock on the expiration date, thereby helping investors understand the investment risks of the warrant. For example, raw water CTP1 has a hedge value of 0.32, which reflects that the chance of the warrant becoming in-the-money on the expiration date is only 32%. Therefore, the investment risk is relatively high. According to the law that risk is proportional to return, the potential return of this warrant is also relatively high. higher.
The Commercial Press' "English-Chinese Securities Investment Dictionary" explains: hedge ratio. Also: delta value. A measure of the sensitivity of an option price to a unit change in the price of the corresponding investment instrument. It is the ratio between the value of futures and options contracts and the price change of the corresponding investment instruments. It is an indicator that measures the degree of risk that changes in the price of corresponding investment instruments bring to futures and options contracts.