Reporte de Opciones

Flavia Matsuda Analista Cuantitativo (54 11) 4000 1400 [email protected]

miércoles, 16 de diciembre de 2015 Subyacente

Precio

Serie

Tipo

Strike

Vto

Dias al Vto

Prima

% Var

Prima Teórica

Dif.vs Prima

Estado

AA17 ALUA

1419.00 12.70 12.70 12.70 12.70 12.70 12.70 12.70 12.70 12.70 12.70 12.70 12.70 12.70 12.70 12.70 12.70 12.70 12.70 12.70 32.95 32.95 32.95 32.95 32.95 32.95 32.95 32.95 32.95 32.95 32.95 32.95 32.95 32.95 32.95 32.95 32.95 32.95 32.95 32.95 32.95

A17C1420.F ALUC5.764D ALUC5.764F ALUC6.214D ALUC7.564D ALUC8.464D ALUC8.464F ALUC9.40FE ALUC9.814D ALUC10714D ALUC10714F ALUC11.2DI ALUC11.2FE ALUC11.65D ALUC11.65F ALUC12.5DI ALUC12.5FE ALUC13.5DI ALUC13.5FE ALUV7.564D PBRC26.4DI PBRC26.4FE PBRC26.4AB PBRC30.4DI PBRC30.4FE PBRC30.4AB PBRC34.4DI PBRC34.4FE PBRC38.4DI PBRC38.4FE PBRC38.4AB PBRC42.4DI PBRC42.4FE PBRC46.4DI PBRC46.4FE PBRC46.4AB PBRC50.0AB PBRC50.4DI PBRC50.4FE PBRC54.4DI PBRC54.4FE

Call Call Call Call Call Call Call Call Call Call Call Call Call Call Call Call Call Call Call Put Call Call Call Call Call Call Call Call Call Call Call Call Call Call Call Call Call Call Call Call Call

1420.000 5.760 5.760 6.210 7.560 8.460 8.460 9.400 9.810 10.710 10.710 11.200 11.200 11.600 11.600 12.500 12.500 13.500 13.500 7.560 26.400 26.400 26.400 30.400 30.400 30.400 34.400 34.400 38.400 38.400 38.400 42.400 42.400 46.400 46.400 46.400 50.000 50.400 50.400 54.400 54.400

.F D F D D D F FE D D F DI FE D F DI FE DI FE D DI FE AB DI FE AB DI FE DI FE AB DI FE DI FE AB AB DI FE DI FE

70.00 1.00 64.00 1.00 1.00 1.00 64.00 64.00 1.00 1.00 64.00 1.00 64.00 1.00 64.00 1.00 64.00 1.00 64.00 1.00 1.00 64.00 122.00 1.00 64.00 122.00 1.00 64.00 1.00 64.00 122.00 1.00 64.00 1.00 64.00 122.00 122.00 1.00 64.00 1.00 64.00

0.00 6.60 7.21 6.24 4.80 3.99 5.50 3.70 2.65 1.75 0.00 1.20 0.00 0.85 0.00 0.30 1.55 0.00 0.80 0.00 6.00 9.00 10.80 2.85 5.95 0.00 0.26 4.20 0.03 2.70 0.00 0.01 1.32 0.01 0.90 0.00 0.00 0.01 0.65 0.00 0.40

-6% -4% 19% -9% -8% 4% 0% -9% -10% -20% -16% -14% 3% -20% -24% -10% -9% -25% -15% -57% -13% -59% -1% -73% -27% -52% -28% -60% -19% -13%

91.72 6.95 7.24 6.50 5.15 4.25 4.69 3.82 2.91 2.01 2.70 1.52 2.32 1.12 2.03 0.31 1.46 0.01 0.97 0.00 6.59 8.57 10.23 2.63 5.82 7.76 0.17 3.75 0.00 2.30 4.23 0.00 1.36 0.00 0.78 2.19 1.62 0.00 0.44 0.00 0.24

0.053 0.004 0.042 0.073 0.066 -0.148 0.033 0.097 0.147 0.265 0.317 0.027 -0.057 0.211 0.099 -0.048 -0.053 -0.078 -0.021 -0.333 -0.108 -0.985 -0.149 -1.000 0.029 -1.000 -0.136 -1.000 -0.329 -0.399

OTM ITM ITM ITM ITM ITM ITM ITM ITM ITM ITM ITM ITM ITM ITM ITM ITM OTM OTM OTM ITM ITM ITM ITM ITM ITM OTM OTM OTM OTM OTM OTM OTM OTM OTM OTM OTM OTM OTM OTM OTM

APBR

Valor Intrínseco

Cobertura %

Tasa Lanzam. %

6.94 6.94 6.49 5.14 4.24 4.24 3.30 2.89 1.99 1.99 1.50 1.50 1.10 1.10 0.20 0.20

51.97% 56.77% 49.10% 37.80% 31.42% 43.31% 29.13% 20.87% 13.78%

-5.6% 4.9% -3.9% -4.3% -2.9% 17.5% 4.4% -2.4% -2.2%

9.45%

-2.6%

6.69%

-2.1%

2.36% 12.20%

0.8% 12.1%

6.30%

13.4%

18.21% 27.31% 32.78% 8.65% 18.06%

-2.0% 10.2% 19.2% 1.0% 12.6%

0.79% 12.75% 0.08% 8.19%

5.2% 19.7% 16.6% 26.9%

0.02% 4.01% 0.03% 2.73%

28.7% 34.0% 40.9% 44.8%

0.03% 1.97%

53.0% 56.0%

1.21%

67.1%

6.55 6.55 6.55 2.55 2.55 2.55

Delta

Gamma

Vega

Theta

Rho

Efecto Palanca

Volat. Implícita

Volumen

0.787 1.000 1.000 1.000 1.000 1.000 0.992 0.969 1.000 1.000 0.888 1.000 0.840 0.996 0.794 0.697 0.672 0.047 0.525 0.000 1.000 0.873 0.852 0.959 0.734 0.749 0.201 0.569 0.001 0.410 0.520 0.000 0.278 0.000 0.180 0.326 0.258 0.000 0.111 0.000 0.067

0.003 0.000 0.000 0.000 0.000 0.000 0.009 0.027 0.000 0.000 0.075 0.001 0.096 0.027 0.112 0.783 0.142 0.220 0.157 0.000 0.000 0.023 0.019 0.056 0.036 0.026 0.177 0.044 0.002 0.043 0.032 0.000 0.037 0.000 0.029 0.029 0.026 0.000 0.021 0.000 0.014

1.805 0.000 0.000 0.000 0.000 0.000 0.001 0.004 0.000 0.000 0.010 0.000 0.013 0.000 0.015 0.003 0.019 0.001 0.021 0.000 0.000 0.029 0.044 0.002 0.046 0.061 0.007 0.055 0.000 0.054 0.076 0.000 0.047 0.000 0.036 0.069 0.062 0.000 0.026 0.000 0.018

-7.442 -0.033 -0.031 -0.036 -0.043 -0.049 -0.049 -0.058 -0.056 -0.062 -0.075 -0.065 -0.081 -0.076 -0.085 -0.322 -0.090 -0.080 -0.087 0.000 -0.152 -0.217 -0.184 -0.413 -0.265 -0.210 -0.816 -0.277 -0.009 -0.254 -0.215 0.000 -0.208 0.000 -0.157 -0.177 -0.154 0.000 -0.111 0.000 -0.075

1.966 0.000 0.010 0.000 0.000 0.000 0.014 0.015 0.001 0.001 0.015 0.001 0.015 0.001 0.014 0.000 0.013 0.000 0.010 0.000 0.001 0.036 0.060 0.002 0.033 0.057 0.000 0.027 0.000 0.020 0.044 0.000 0.014 0.000 0.009 0.029 0.023 0.000 0.006 0.000 0.004

12.18 1.83 1.75 1.95 2.46 2.99 2.69 3.22 4.37 6.33 4.18 8.36 4.60 11.30 4.97 28.74 5.84 69.72 6.88 425.22 5.00 3.36 2.74 12.02 4.15 3.18 38.06 5.01 76.72 5.88 4.06 116.15 6.75 153.44 7.60 4.90 5.26 188.21 8.42 220.59 9.21

50% 50% 50% 50% 50% 50% 50% 50% 50% 50% 50% 45% 52% 40% 50% 79% 77% 50% 68% 77% 73% 50% 72% 50% 64% 50% 68% 50% 72% 73%

150485 86500 698432 7200 44228 60500 414400 62750 23349 14949 21280 15295 57445 960 57029 141905 7610 360514 284870 126013 304326 6428 356622 929 252431 400 5885 20 1800 5037

San Martin 323 Piso 11 C.A.B.A. - Argentina - Te. 4000-1400 - 0810-1222-IOL (465)

Reporte de Opciones

Subyacente

BHIP

BMA

CAPX CECO2

COME

Precio

Serie

Tipo

Strike

Vto

Dias al Vto

Prima

% Var

Prima Teórica

Dif.vs Prima

Estado

32.95 32.95 32.95 32.95 32.95 32.95 32.95 32.95 32.95 32.95 32.95 32.95 5.99 5.99 5.99 5.99 5.99 5.99 5.99 78.00 78.00 78.00 78.00 78.00 12.00 12.00 4.62 4.62 4.62 4.62 4.62 4.62 3.37 3.37 3.37 3.37 3.37 3.37 3.37 3.37 3.37 3.37 3.37 3.37 3.37 3.37 3.37

PBRC58.4DI PBRC58.4FE PBRC62.4FE PBRC74.4FE PBRV26.4DI PBRV30.4DI PBRV30.4FE PBRV34.4DI PBRV34.4FE PBRV38.4DI PBRV38.4FE PBRV42.4DI BHIC6.05DI BHIC6.05FE BHIC6.05AB BHIC6.45DI BHIC6.45FE BHIC6.65DI BHIC6.65FE BMAC52.0FE BMAC60.0DI BMAC64.0DI BMAC64.0FE BMAC92.0DI CAPC12.0FE CAPC12.0AB CECC4.00DI CECC4.00FE CECC4.00AB CECC4.60DI CECC4.60FE CECC5.00DI COMC1.50DI COMC2.00DI COMC2.20DI COMC2.80DI COMC2.80FE COMC3.00DI COMC3.00FE COMC3.15DI COMC3.30DI COMC3.30FE COMC3.45DI COMC3.45FE COMC3.60DI COMC3.60FE COMC3.75DI

Call Call Call Call Put Put Put Put Put Put Put Put Call Call Call Call Call Call Call Call Call Call Call Call Call Call Call Call Call Call Call Call Call Call Call Call Call Call Call Call Call Call Call Call Call Call Call

58.400 58.400 62.400 74.400 26.400 30.400 30.400 34.400 34.400 38.400 38.400 42.400 6.050 6.050 6.050 6.450 6.450 6.650 6.650 52.000 60.000 64.000 64.000 92.000 12.000 12.000 4.000 4.000 4.000 4.600 4.600 5.000 1.500 2.000 2.200 2.800 2.800 3.000 3.000 3.150 3.300 3.300 3.450 3.450 3.600 3.600 3.750

DI FE FE FE DI DI FE DI FE DI FE DI DI FE AB DI FE DI FE FE DI DI FE DI FE AB DI FE AB DI FE DI DI DI DI DI FE DI FE DI DI FE DI FE DI FE DI

1.00 64.00 64.00 64.00 1.00 1.00 64.00 1.00 64.00 1.00 64.00 1.00 1.00 64.00 122.00 1.00 64.00 1.00 64.00 64.00 1.00 1.00 64.00 1.00 64.00 122.00 1.00 64.00 122.00 1.00 64.00 1.00 1.00 1.00 1.00 1.00 64.00 1.00 64.00 1.00 1.00 64.00 1.00 64.00 1.00 64.00 1.00

0.01 0.00 0.00 0.07 0.01 0.25 2.50 1.50 3.10 5.80 5.80 9.00 0.00 0.00 0.00 0.00 0.00 0.05 0.00 0.00 17.00 0.00 0.00 0.00 0.00 0.00 0.00 0.98 0.00 0.00 0.00 0.02 0.00 1.35 0.00 0.54 0.86 0.32 0.00 0.20 0.09 0.40 0.03 0.36 0.01 0.26 0.00

-87% -33% -90% 67% 14% 88% 13% 45% 9% 13% 0% -38% -27% -97% -11% -19% -14% -32% -42% -55% -22% -63% -58% -64% -13% -78%

0.00 0.13 0.07 0.01 0.00 0.03 1.69 1.57 3.41 5.39 5.75 9.38 0.08 0.69 1.03 0.00 0.51 0.00 0.44 29.27 18.10 14.11 19.79 0.00 1.57 2.30 0.63 0.97 1.22 0.10 0.61 0.00 1.87 1.37 1.17 0.57 0.72 0.37 0.55 0.23 0.08 0.33 0.01 0.24 0.00 0.17 0.00

-1.000 -0.846 -1.000 -0.891 -0.323 0.045 0.099 -0.071 -0.008 0.042 -0.988 0.065 -0.006 -0.779 0.017 0.064 -0.158 0.172 0.126 -0.071 -0.176 -0.703 -0.328 -0.985 -0.341 -1.000

OTM OTM OTM OTM OTM OTM OTM ITM ITM ITM ITM ITM OTM OTM OTM OTM OTM OTM OTM ITM ITM ITM ITM OTM ATM ATM ITM ITM ITM ITM ITM OTM ITM ITM ITM ITM ITM ITM ITM ITM ITM ITM OTM OTM OTM OTM OTM

Valor Intrínseco

Cobertura %

Tasa Lanzam. %

0.02%

77.3%

0.21%

126.3%

0.83%

12.0%

21.79%

-1.6%

21.21%

9.9%

0.43%

8.7%

40.06%

-1.0%

16.02% 25.52% 9.50%

-1.1% 11.6% -1.6%

5.93% 2.67% 11.87% 0.89% 10.68% 0.27% 7.72% 0.06%

-0.6% 0.6% 11.1% 3.3% 14.6% 7.1% 15.8% 11.3%

1.45 1.45 5.45 5.45 9.45

26.00 18.00 14.00 14.00

0.62 0.62 0.62 0.02 0.02 1.87 1.37 1.17 0.57 0.57 0.37 0.37 0.22 0.07 0.07

Delta

Gamma

Vega

Theta

Rho

Efecto Palanca

Volat. Implícita

Volumen

0.000 0.040 0.023 0.004 0.000 -0.041 -0.266 -0.799 -0.431 -0.999 -0.590 -1.000 0.429 0.619 0.671 0.043 0.513 0.007 0.462 0.950 1.000 1.000 0.834 0.001 0.631 0.677 0.999 0.810 0.804 0.560 0.637 0.050 1.000 1.000 1.000 1.000 0.960 1.000 0.897 0.997 0.821 0.724 0.194 0.611 0.005 0.493 0.000

0.000 0.009 0.006 0.001 0.000 0.056 0.036 0.177 0.044 0.002 0.043 0.000 1.572 0.268 0.185 0.367 0.280 0.080 0.279 0.004 0.000 0.000 0.010 0.001 0.118 0.082 0.013 0.222 0.164 1.838 0.307 0.482 0.000 0.000 0.000 0.000 0.180 0.000 0.374 0.097 3.109 0.698 3.274 0.801 0.174 0.833 0.001

0.000 0.012 0.008 0.002 0.000 0.002 0.046 0.007 0.055 0.000 0.054 0.000 0.002 0.010 0.013 0.000 0.010 0.000 0.010 0.034 0.000 0.000 0.082 0.000 0.019 0.025 0.000 0.005 0.007 0.001 0.007 0.000 0.000 0.000 0.000 0.000 0.001 0.000 0.003 0.000 0.001 0.005 0.001 0.005 0.000 0.006 0.000

0.000 -0.048 -0.030 -0.007 0.000 -0.238 -0.099 -0.618 -0.090 0.212 -0.044 0.244 -0.186 -0.047 -0.037 -0.042 -0.045 -0.009 -0.044 -0.392 -0.345 -0.371 -0.583 -0.034 -0.099 -0.078 -0.024 -0.034 -0.028 -0.162 -0.038 -0.040 -0.009 -0.011 -0.013 -0.016 -0.017 -0.017 -0.019 -0.019 -0.054 -0.021 -0.044 -0.020 -0.002 -0.019 0.000

0.000 0.002 0.001 0.000 0.000 0.000 -0.019 -0.002 -0.031 -0.002 -0.045 -0.002 0.000 0.005 0.010 0.000 0.005 0.000 0.004 0.080 0.003 0.004 0.081 0.000 0.011 0.020 0.000 0.005 0.008 0.000 0.004 0.000 0.000 0.000 0.000 0.000 0.004 0.000 0.004 0.000 0.000 0.004 0.000 0.003 0.000 0.003 0.000

250.82 9.96 10.69 12.68 104.09 50.35 5.17 16.79 4.17 6.11 3.38 3.51 33.38 5.36 3.89 59.63 6.00 74.16 6.32 2.53 4.31 5.53 3.29 66.20 4.81 3.54 7.37 3.84 3.03 25.94 4.80 52.41 1.80 2.45 2.87 5.86 4.47 8.99 5.49 14.92 33.10 7.41 73.37 8.51 127.75 9.69 186.63

50% 80% 50% 50% 82% 54% 59% 50% 66% 50% 50% 50% 64% 91% 50% 50% 81% 50% 50% 43% 48% 60% 55% 69% 49% 74%

48 245 90 776 500 31882 34645 6660 4446 4500 200 1700 15280 100 945 11208 49146 34051 31940 62381 3800 81990 23225 35145 59130 2173

San Martin 323 Piso 11 C.A.B.A. - Argentina - Te. 4000-1400 - 0810-1222-IOL (465)

2

Reporte de Opciones

Subyacente

DYCA EDN

ERAR

Precio

Serie

Tipo

Strike

Vto

Dias al Vto

Prima

% Var

Prima Teórica

Dif.vs Prima

Estado

3.37 3.37 3.37 3.37 3.37 3.37 3.37 3.37 3.37 3.37 3.37 3.37 20.80 12.10 12.10 12.10 12.10 12.10 12.10 12.10 12.10 9.46 9.46 9.46 9.46 9.46 9.46 9.46 9.46 9.46 9.46 9.46 9.46 9.46 9.46 9.46 9.46 9.46 9.46 9.46 9.46 9.46 9.46 9.46 9.46 9.46 9.46

COMC3.75FE COMC3.90DI COMC3.90FE COMC4.05DI COMC4.05FE COMC4.20DI COMC4.20FE COMC4.35DI COMC4.50DI COMC4.70DI COMC4.90DI COMC4.90FE DYCC17.6DI EDNC9.15DI EDNC9.70DI EDNC11.2FE EDNC11.2AB EDNC12.7DI EDNC12.7FE EDNV9.15DI EDNV9.15FE ERAC4.72DI ERAC5.12DI ERAC5.12FE ERAC5.12AB ERAC5.87DI ERAC6.12DI ERAC6.12FE ERAC7.12DI ERAC7.12FE ERAC7.37DI ERAC7.37FE ERAC7.62DI ERAC7.87DI ERAC7.87FE ERAC8.12DI ERAC8.37DI ERAC8.70DI ERAC8.70FE ERAC9.10DI ERAC9.10FE ERAC9.50DI ERAC9.50FE ERAC9.90DI ERAC9.90FE ERAC10.3FE ERAC11.1FE

Call Call Call Call Call Call Call Call Call Call Call Call Call Call Call Call Call Call Call Put Put Call Call Call Call Call Call Call Call Call Call Call Call Call Call Call Call Call Call Call Call Call Call Call Call Call Call

3.750 3.900 3.900 4.050 4.050 4.200 4.200 4.350 4.500 4.700 4.900 4.900 17.600 9.150 9.700 11.200 11.200 12.700 12.700 9.150 9.150 4.720 5.120 5.120 5.120 5.870 6.120 6.120 7.120 7.120 7.370 7.370 7.620 7.870 7.870 8.120 8.370 8.700 8.700 9.100 9.100 9.500 9.500 9.900 9.900 10.300 11.100

FE DI FE DI FE DI FE DI DI DI DI FE DI DI DI FE AB DI FE DI FE DI DI FE AB DI DI FE DI FE DI FE DI DI FE DI DI DI FE DI FE DI FE DI FE FE FE

64.00 1.00 64.00 1.00 64.00 1.00 64.00 1.00 1.00 1.00 1.00 64.00 1.00 1.00 1.00 64.00 122.00 1.00 64.00 1.00 64.00 1.00 1.00 64.00 122.00 1.00 1.00 64.00 1.00 64.00 1.00 64.00 1.00 1.00 64.00 1.00 1.00 1.00 64.00 1.00 64.00 1.00 64.00 1.00 64.00 64.00 64.00

0.19 0.00 0.00 0.00 0.12 0.00 0.10 0.00 0.00 0.00 0.00 0.04 0.00 0.00 0.00 2.30 0.00 0.00 1.10 0.00 0.00 4.82 0.00 5.00 0.00 0.00 3.00 0.00 2.20 2.91 0.00 0.00 1.70 0.00 0.00 1.20 1.04 0.77 0.00 0.45 1.47 0.15 1.31 0.03 1.05 0.77 0.46

-14% -50% -50% -26% -75% -9% 0% -75% -90% -81% -8% -42% 8% 0% -21% -19% 0% -23% -27% -26% -30% -36% -2% -50% -3% -75% 5% -9% -16%

0.12 0.00 0.08 0.00 0.05 0.00 0.03 0.00 0.00 0.00 0.00 0.00 3.24 2.97 2.42 2.42 3.24 0.10 1.70 0.00 0.32 4.75 4.35 4.61 4.84 3.60 3.35 3.66 2.35 2.75 2.10 2.53 1.85 1.60 2.11 1.35 1.10 0.78 1.49 0.40 1.23 0.13 1.01 0.02 0.81 0.65 0.40

-0.383 -1.000 -1.000 -0.569 -1.000 -0.693 -1.000 -1.000 -1.000 -0.934 0.053 0.548 -0.015 -0.079 0.117 0.069 -0.056 0.090 0.128 0.061 0.007 -0.117 -0.160 -0.165 -0.230 -0.354 -0.224 -0.157 -0.135

OTM OTM OTM OTM OTM OTM OTM OTM OTM OTM OTM OTM ITM ITM ITM ITM ITM OTM OTM OTM OTM ITM ITM ITM ITM ITM ITM ITM ITM ITM ITM ITM ITM ITM ITM ITM ITM ITM ITM ITM ITM OTM OTM OTM OTM OTM OTM

Valor Intrínseco

3.20 2.95 2.40 0.90 0.90

4.74 4.34 4.34 4.34 3.59 3.34 3.34 2.34 2.34 2.09 2.09 1.84 1.59 1.59 1.34 1.09 0.76 0.76 0.36 0.36

Cobertura %

Tasa Lanzam. %

5.64% 0.03%

17.9% 15.8%

0.03% 3.41% 0.03% 2.97%

20.2% 24.4% 24.7% 28.4%

0.03% 0.03% 0.03% 1.04%

33.6% 39.5% 45.4% 46.9%

19.01%

14.3%

9.09%

15.5%

50.95%

1.7%

52.85%

14.8%

31.71%

-5.3%

23.26% 30.76%

-1.9% 8.7%

17.97%

-1.8%

12.68% 10.99% 8.14%

-1.7% -0.6% 0.1%

4.76% 15.54% 1.59% 13.85% 0.32% 11.10% 8.14% 4.86%

1.0% 13.9% 2.0% 16.6% 5.0% 17.7% 18.5% 23.3%

Delta

Gamma

Vega

Theta

Rho

Efecto Palanca

Volat. Implícita

Volumen

0.380 0.000 0.281 0.000 0.199 0.000 0.135 0.000 0.000 0.000 0.000 0.014 0.987 1.000 1.000 0.709 0.730 0.232 0.575 0.000 -0.130 1.000 1.000 1.000 0.996 1.000 1.000 0.993 1.000 0.959 1.000 0.942 1.000 1.000 0.895 1.000 1.000 0.991 0.778 0.871 0.709 0.479 0.634 0.117 0.556 0.480 0.341

0.796 0.000 0.704 0.000 0.582 0.000 0.454 0.000 0.000 0.000 0.000 0.076 0.020 0.000 0.001 0.081 0.057 0.412 0.093 0.000 0.050 0.000 0.000 0.001 0.004 0.000 0.000 0.010 0.000 0.045 0.000 0.060 0.000 0.000 0.093 0.000 0.003 0.070 0.152 0.612 0.175 1.160 0.192 0.573 0.202 0.204 0.187

0.005 0.000 0.005 0.000 0.004 0.000 0.003 0.000 0.000 0.000 0.000 0.001 0.000 0.000 0.000 0.018 0.023 0.003 0.020 0.000 0.011 0.000 0.000 0.000 0.001 0.000 0.000 0.001 0.000 0.004 0.000 0.005 0.000 0.000 0.007 0.000 0.000 0.000 0.012 0.001 0.014 0.003 0.015 0.001 0.016 0.016 0.015

-0.017 0.000 -0.014 0.000 -0.011 0.000 -0.008 0.000 0.000 0.000 0.000 -0.001 -0.190 -0.053 -0.056 -0.113 -0.087 -0.411 -0.119 0.000 -0.037 -0.027 -0.029 -0.028 -0.027 -0.034 -0.035 -0.035 -0.041 -0.046 -0.042 -0.049 -0.044 -0.045 -0.056 -0.047 -0.049 -0.064 -0.065 -0.171 -0.068 -0.265 -0.068 -0.124 -0.067 -0.064 -0.055

0.002 0.000 0.002 0.000 0.001 0.000 0.001 0.000 0.000 0.000 0.000 0.000 0.001 0.001 0.001 0.011 0.019 0.000 0.009 0.000 -0.003 0.000 0.000 0.009 0.015 0.000 0.000 0.010 0.000 0.011 0.000 0.011 0.000 0.000 0.011 0.000 0.000 0.000 0.010 0.000 0.010 0.000 0.009 0.000 0.008 0.007 0.005

10.93 245.99 12.20 304.41 13.50 361.39 14.81 416.77 470.53 539.72 606.22 20.88 6.35 4.08 5.01 3.54 2.73 28.88 4.09 80.86 4.87 1.99 2.18 2.05 1.95 2.63 2.82 2.56 4.02 3.30 4.50 3.53 5.11 5.90 4.02 6.99 8.57 12.09 4.94 20.74 5.43 36.17 5.94 57.17 6.46 7.00 8.09

47% 88% 50% 48% 50% 51% 50% 50% 50% 55% 76% 53% 50% 50% 50% 50% 77% 50% 50% 50% 50% 77% 66% 58% 69% 56% 64% 57% 53%

32303 115 349 48876 480 12790 40 34 8298 25580 11200 1205000 50000 53340 25300 727500 14150 6000 17460 1165 55371 50653 25746 37920 4897 54231 55910 38220

San Martin 323 Piso 11 C.A.B.A. - Argentina - Te. 4000-1400 - 0810-1222-IOL (465)

3

Reporte de Opciones

Subyacente

FRAN

GGAL

Precio

Serie

Tipo

Strike

Vto

Dias al Vto

Prima

% Var

Prima Teórica

Dif.vs Prima

Estado

9.46 9.46 9.46 9.46 94.00 94.00 94.00 94.00 94.00 34.80 34.80 34.80 34.80 34.80 34.80 34.80 34.80 34.80 34.80 34.80 34.80 34.80 34.80 34.80 34.80 34.80 34.80 34.80 34.80 34.80 34.80 34.80 34.80 34.80 34.80 34.80 34.80 34.80 34.80 34.80 34.80 34.80 34.80 34.80 34.80 34.80 34.80

ERAV7.12DI ERAV7.62DI ERAV7.62FE ERAV8.70DI FRAC50.0DI FRAC54.0DI FRAC56.0DI FRAC60.0FE FRAC64.0FE GFGC21.0DI GFGC22.0DI GFGC24.0DI GFGC25.0DI GFGC26.0DI GFGC27.0DI GFGC27.0FE GFGC28.0DI GFGC29.0DI GFGC30.0DI GFGC31.0DI GFGC32.0DI GFGC33.0DI GFGC33.0FE GFGC34.0DI GFGC34.0FE GFGC35.0DI GFGC35.0FE GFGC36.0DI GFGC36.0FE GFGC37.0DI GFGC37.0FE GFGC37.0AB GFGC38.0DI GFGC38.0EN GFGC38.0FE GFGC39.0DI GFGC40.0DI GFGC40.0FE GFGC41.0DI GFGC41.0FE GFGC42.0DI GFGC43.0DI GFGC43.0FE GFGC44.0DI GFGC45.0DI GFGC45.0FE GFGC46.0DI

Put Put Put Put Call Call Call Call Call Call Call Call Call Call Call Call Call Call Call Call Call Call Call Call Call Call Call Call Call Call Call Call Call Call Call Call Call Call Call Call Call Call Call Call Call Call Call

7.120 7.620 7.620 8.700 50.000 54.000 56.000 60.000 64.000 21.000 22.000 24.000 25.000 26.000 27.000 27.000 28.000 29.000 30.000 31.000 32.000 33.000 33.000 34.000 34.000 35.000 35.000 36.000 36.000 37.000 37.000 37.000 38.000 38.000 38.000 39.000 40.000 40.000 41.000 41.000 42.000 43.000 43.000 44.000 45.000 45.000 46.000

DI DI FE DI DI DI DI FE FE DI DI DI DI DI DI FE DI DI DI DI DI DI FE DI FE DI FE DI FE DI FE AB DI EN FE DI DI FE DI FE DI DI FE DI DI FE DI

1.00 1.00 64.00 1.00 1.00 1.00 1.00 64.00 64.00 1.00 1.00 1.00 1.00 1.00 1.00 64.00 1.00 1.00 1.00 1.00 1.00 1.00 64.00 1.00 64.00 1.00 64.00 1.00 64.00 1.00 64.00 122.00 1.00 30.00 64.00 1.00 1.00 64.00 1.00 64.00 1.00 1.00 64.00 1.00 1.00 64.00 1.00

0.00 0.00 0.00 0.05 0.00 40.25 0.00 0.00 34.75 14.00 13.00 0.00 10.00 9.05 8.00 9.86 7.00 6.00 4.50 4.00 3.00 2.20 4.50 1.00 4.00 0.30 0.00 0.10 3.10 0.05 2.60 0.00 0.02 0.00 0.00 0.02 0.01 1.60 0.01 0.00 0.01 0.00 0.99 0.00 0.01 0.78 0.04

-80% -24% 0% -7% 100% -2% -2% -6% 0% -7% -8% -20% -13% -17% -12% -39% -38% -11% -63% -78% -3% -73% -13% -69% -46% -67% -68% -69% -50% -10% -33% -22% 0%

0.00 0.00 0.08 0.00 44.08 40.09 38.09 37.29 33.67 13.83 12.84 10.84 9.84 8.84 7.84 9.56 6.85 5.85 4.85 3.85 2.86 1.92 5.25 1.11 4.68 0.52 4.16 0.20 3.68 0.06 3.24 5.24 0.01 1.44 2.85 0.00 0.00 2.17 0.00 1.89 0.00 0.00 1.41 0.00 0.00 1.05 0.00

-0.979 -0.004 -0.031 -0.012 -0.013 -0.016 -0.023 -0.019 -0.031 -0.022 -0.025 0.078 -0.037 -0.045 -0.126 0.168 0.109 0.171 0.748 0.954 0.187 0.122 0.247 -0.441 -0.897 -0.974 0.358 -0.997 -1.000 0.429 -1.000 0.343 -1.000

OTM OTM OTM OTM ITM ITM ITM ITM ITM ITM ITM ITM ITM ITM ITM ITM ITM ITM ITM ITM ITM ITM ITM ITM ITM OTM OTM OTM OTM OTM OTM OTM OTM OTM OTM OTM OTM OTM OTM OTM OTM OTM OTM OTM OTM OTM OTM

Valor Intrínseco

44.00 40.00 38.00 34.00 30.00 13.80 12.80 10.80 9.80 8.80 7.80 7.80 6.80 5.80 4.80 3.80 2.80 1.80 1.80 0.80 0.80

Cobertura %

Tasa Lanzam. %

42.82%

0.5%

36.97% 40.23% 37.36%

8.0% 1.0% 0.9%

28.74% 26.01% 22.99% 28.33% 20.11% 17.24% 12.93% 11.49% 8.62% 6.32% 12.93% 2.87% 11.49% 0.86%

0.8% 1.0% 0.7% 8.3% 0.7% 0.7% -1.0% 0.6% 0.6% 1.2% 8.9% 0.6% 10.4% 1.4%

0.29% 8.91% 0.14% 7.47%

3.7% 13.6% 6.5% 14.9%

0.06%

9.3%

0.06% 0.03% 4.60% 0.03%

12.1% 15.0% 20.5% 17.8%

0.03%

20.7%

2.84%

27.2%

0.03% 2.24% 0.11%

29.3% 32.3% 32.3%

Delta

Gamma

Vega

Theta

Rho

Efecto Palanca

Volat. Implícita

Volumen

0.000 0.000 -0.080 -0.009 1.000 1.000 1.000 0.982 0.967 1.000 1.000 1.000 1.000 1.000 1.000 0.917 1.000 1.000 1.000 0.997 0.979 0.904 0.712 0.728 0.669 0.470 0.625 0.231 0.580 0.084 0.535 0.613 0.023 0.386 0.492 0.004 0.001 0.408 0.000 0.369 0.000 0.000 0.298 0.000 0.000 0.237 0.000

0.000 0.000 0.076 0.070 0.000 0.000 0.000 0.002 0.003 0.000 0.000 0.000 0.000 0.000 0.000 0.018 0.000 0.000 0.001 0.006 0.034 0.115 0.040 0.224 0.043 0.268 0.045 0.205 0.046 0.104 0.047 0.033 0.036 0.066 0.047 0.009 0.002 0.046 0.000 0.045 0.000 0.000 0.041 0.000 0.000 0.036 0.000

0.000 0.000 0.006 0.000 0.000 0.000 0.000 0.018 0.029 0.000 0.000 0.000 0.000 0.000 0.000 0.022 0.000 0.000 0.000 0.000 0.001 0.004 0.050 0.009 0.053 0.010 0.056 0.008 0.057 0.004 0.058 0.077 0.001 0.039 0.059 0.000 0.000 0.057 0.000 0.055 0.000 0.000 0.051 0.000 0.000 0.045 0.000

0.000 0.000 -0.011 -0.014 -0.287 -0.310 -0.322 -0.374 -0.424 -0.121 -0.126 -0.138 -0.144 -0.149 -0.155 -0.198 -0.161 -0.167 -0.174 -0.200 -0.312 -0.611 -0.268 -1.001 -0.272 -1.124 -0.274 -0.835 -0.273 -0.417 -0.269 -0.219 -0.144 -0.321 -0.264 -0.035 -0.006 -0.246 -0.001 -0.235 0.000 0.000 -0.209 0.000 0.000 -0.182 0.000

0.000 0.000 -0.001 0.000 0.003 0.003 0.003 0.098 0.102 0.001 0.001 0.001 0.001 0.001 0.001 0.040 0.002 0.002 0.002 0.002 0.002 0.002 0.035 0.001 0.033 0.001 0.031 0.000 0.029 0.000 0.027 0.054 0.000 0.010 0.025 0.000 0.000 0.021 0.000 0.020 0.000 0.000 0.016 0.000 0.000 0.013 0.000

223.20 173.51 9.79 81.44 2.13 2.34 2.47 2.48 2.70 2.52 2.71 3.21 3.54 3.94 4.44 3.34 5.08 5.95 7.17 9.01 11.89 16.37 4.72 22.82 4.97 31.21 5.23 41.14 5.48 52.16 5.75 4.07 63.84 9.31 6.01 75.90 88.12 6.54 100.36 6.81 112.56 124.64 7.34 136.57 148.34 7.87 159.93

50% 50% 85% 50% 50% 50% 50% 50% 69% 50% 50% 50% 50% 99% 50% 42% 44% 45% 36% 44% 47% 56% 47% 63% 77% 83% 47% 96% 50% 49% 50% 51% 50%

485 1418300 1219200 1400000 2600 2000 47790 197600 986000 55610 314200 527203 178082 528575 302900 27000 191749 50645 72527 63588 127100 20627 718992 7195 505 2337 59970 258 379 22017 53 6807 12

San Martin 323 Piso 11 C.A.B.A. - Argentina - Te. 4000-1400 - 0810-1222-IOL (465)

4

Reporte de Opciones

Subyacente

INDU

MIRG

PAMP

Precio

Serie

Tipo

Strike

Vto

Dias al Vto

Prima

% Var

Prima Teórica

Dif.vs Prima

Estado

34.80 34.80 34.80 34.80 34.80 34.80 34.80 34.80 34.80 34.80 34.80 34.80 34.80 34.80 34.80 34.80 34.80 34.80 34.80 34.80 34.80 34.80 34.80 34.80 34.80 34.80 3.65 3.65 3.65 3.65 3.65 3.65 412.00 412.00 412.00 412.00 412.00 412.00 11.75 11.75 11.75 11.75 11.75 11.75 11.75 11.75 11.75

GFGC47.0DI GFGC48.0DI GFGC49.0DI GFGC50.0DI GFGC50.0FE GFGC50.0AB GFGV11.0DI GFGV11.0FE GFGV24.0DI GFGV24.0FE GFGV25.0DI GFGV27.0DI GFGV27.0FE GFGV29.0DI GFGV30.0DI GFGV31.0DI GFGV31.0FE GFGV33.0DI GFGV34.0DI GFGV35.0DI GFGV35.0FE GFGV36.0DI GFGV37.0DI GFGV38.0DI GFGV40.0DI GFGV42.0DI INDC2.60DI INDC3.20DI INDC3.20FE INDC3.20AB INDC3.60DI INDC3.60FE MIRC258.5D MIRC318.5D MIRC378.5D MIRC418.5D MIRC438.5F MIRV358.5F PAMC8.74DI PAMC9.10DI PAMC9.10FE PAMC9.50DI PAMC9.90DI PAMC10.3DI PAMC10.7DI PAMC11.5DI PAMC12.7DI

Call Call Call Call Call Call Put Put Put Put Put Put Put Put Put Put Put Put Put Put Put Put Put Put Put Put Call Call Call Call Call Call Call Call Call Call Call Put Call Call Call Call Call Call Call Call Call

47.000 48.000 49.000 50.000 50.000 50.000 11.000 11.000 24.000 24.000 25.000 27.000 27.000 29.000 30.000 31.000 31.000 33.000 34.000 35.000 35.000 36.000 37.000 38.000 40.000 42.000 2.600 3.200 3.200 3.200 3.600 3.600 258.000 318.000 378.000 418.000 438.000 358.000 8.740 9.100 9.100 9.500 9.900 10.300 10.700 11.500 12.700

DI DI DI DI FE AB DI FE DI FE DI DI FE DI DI DI FE DI DI DI FE DI DI DI DI DI DI DI FE AB DI FE D D D D F F DI DI FE DI DI DI DI DI DI

1.00 1.00 1.00 1.00 64.00 122.00 1.00 64.00 1.00 64.00 1.00 1.00 64.00 1.00 1.00 1.00 64.00 1.00 1.00 1.00 64.00 1.00 1.00 1.00 1.00 1.00 1.00 1.00 64.00 122.00 1.00 64.00 1.00 1.00 1.00 1.00 64.00 64.00 1.00 1.00 64.00 1.00 1.00 1.00 1.00 1.00 1.00

0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.02 0.03 0.00 0.01 0.00 0.02 0.00 0.40 0.00 0.70 2.50 1.60 1.80 3.00 4.50 7.00 0.85 0.40 0.85 0.00 0.00 0.00 140.00 87.00 0.00 0.00 30.00 0.00 0.00 2.70 0.00 2.30 2.20 1.50 1.00 0.45 0.07

-100% -87% 0% 50% -50% -60% -11% 17% 9% 60% 20% 20% 0% 17% -35% -47% -11% 0% -16% 0% 4% -8% 0% 0% -12% -44% -30%

0.00 0.00 0.00 0.00 0.47 1.63 0.00 0.00 0.00 0.11 0.00 0.00 0.35 0.00 0.00 0.00 1.11 0.07 0.25 0.67 2.54 1.34 2.20 3.15 5.13 7.13 1.05 0.46 0.77 0.99 0.11 0.54 154.42 94.52 34.62 2.24 23.43 2.70 3.02 2.66 3.35 2.27 1.87 1.47 1.08 0.40 0.02

-1.000 -1.000 -1.000 -1.000 -1.000 -0.937 -0.830 -0.047 0.016 -0.165 0.220 0.050 0.141 0.019 0.240 0.139 -0.089 0.103 0.086 -0.219 -0.013 -0.015 -0.152 -0.021 0.075 -0.115 -0.716

OTM OTM OTM OTM OTM OTM OTM OTM OTM OTM OTM OTM OTM OTM OTM OTM OTM OTM OTM ITM ITM ITM ITM ITM ITM ITM ITM ITM ITM ITM ITM ITM ITM ITM ITM OTM OTM OTM ITM ITM ITM ITM ITM ITM ITM ITM OTM

Valor Intrínseco

0.20 0.20 1.20 2.20 3.20 5.20 7.20 1.05 0.45 0.45 0.45 0.05 0.05 154.00 94.00 34.00

3.01 2.65 2.65 2.25 1.85 1.45 1.05 0.25

Cobertura %

Tasa Lanzam. %

0.00% 0.01%

40.8% 43.7%

23.29% 10.96% 23.29%

-7.1% -1.5% 14.3%

33.98% 21.12%

-5.1% -2.2%

7.28%

14.7%

22.98%

0.6%

19.57% 18.72% 12.77% 8.51% 3.83% 0.60%

0.5% 3.7% 0.5% -0.5% 1.8% 8.7%

Delta

Gamma

Vega

Theta

Rho

Efecto Palanca

Volat. Implícita

Volumen

0.000 0.000 0.000 0.000 0.125 0.269 0.000 0.000 0.000 -0.031 0.000 0.000 -0.083 0.000 0.000 -0.003 -0.207 -0.096 -0.272 -0.530 -0.375 -0.769 -0.916 -0.977 -0.999 -1.000 1.000 0.995 0.781 0.781 0.627 0.646 1.000 1.000 1.000 0.320 0.510 -0.088 1.000 1.000 0.884 1.000 1.000 0.995 0.969 0.682 0.075

0.000 0.000 0.000 0.000 0.024 0.028 0.000 0.000 0.000 0.008 0.000 0.000 0.018 0.000 0.001 0.006 0.034 0.115 0.224 0.268 0.045 0.205 0.104 0.036 0.002 0.000 0.000 0.072 0.274 0.199 2.002 0.345 0.000 0.000 0.000 0.033 0.006 0.003 0.000 0.000 0.056 0.000 0.002 0.022 0.115 0.586 0.231

0.000 0.000 0.000 0.000 0.030 0.067 0.000 0.000 0.000 0.010 0.000 0.000 0.022 0.000 0.000 0.000 0.042 0.004 0.009 0.010 0.056 0.008 0.004 0.001 0.000 0.000 0.000 0.000 0.005 0.006 0.001 0.006 0.000 0.000 0.001 0.109 0.693 0.277 0.000 0.000 0.010 0.000 0.000 0.000 0.001 0.003 0.001

0.000 0.000 0.000 0.000 -0.116 -0.154 0.000 0.000 0.000 -0.025 0.000 0.000 -0.051 0.000 -0.002 -0.022 -0.082 -0.422 -0.806 -0.923 -0.083 -0.629 -0.205 0.075 0.224 0.241 -0.015 -0.023 -0.029 -0.023 -0.138 -0.032 -1.482 -1.827 -2.202 -7.602 -2.415 -0.313 -0.050 -0.052 -0.077 -0.055 -0.058 -0.073 -0.134 -0.424 -0.155

0.000 0.000 0.000 0.000 0.007 0.026 0.000 0.000 0.000 -0.002 0.000 0.000 -0.006 0.000 0.000 0.000 -0.015 0.000 -0.001 -0.001 -0.028 -0.002 -0.002 -0.002 -0.002 -0.002 0.000 0.000 0.004 0.006 0.000 0.003 0.014 0.017 0.021 0.007 0.332 -0.069 0.000 0.000 0.013 0.001 0.001 0.001 0.001 0.000 0.000

171.33 182.54 193.56 204.38 9.17 5.74 636.00 21.41 210.07 9.69 188.18 147.35 8.14 110.31 93.25 77.27 6.46 49.11 37.40 27.64 5.14 20.03 14.52 10.80 6.77 4.88 3.46 7.97 3.68 2.89 21.57 4.34 2.67 4.36 11.89 58.69 8.97 13.42 3.89 4.41 3.10 5.19 6.29 7.97 10.59 20.12 44.02

50% 50% 50% 50% 50% 82% 50% 61% 57% 88% 50% 50% 50% 50% 50% 50% 86% 50% 50% 45% 50% 50% 50% 50% 50% 86% 99%

5 105 60 143 152 100 200 30039 48850 23050 106677 40126 900 5600 4250 2000 11050 140000 66100 15500 37785 44550 78825 28328 31304 10220 7313

San Martin 323 Piso 11 C.A.B.A. - Argentina - Te. 4000-1400 - 0810-1222-IOL (465)

5

Reporte de Opciones

Subyacente

PESA

TECO2

TGSU2

TRAN

TS

YPFD

Precio

Serie

Tipo

Strike

Vto

Dias al Vto

Prima

% Var

Prima Teórica

Dif.vs Prima

Estado

11.75 11.75 11.75 11.75 11.75 11.75 11.75 11.75 11.75 11.75 11.75 11.75 11.75 11.75 7.54 7.54 7.54 7.54 7.54 44.70 44.70 44.70 16.90 16.90 16.90 16.90 7.70 7.70 7.70 7.70 7.70 7.70 166.50 166.50 166.50 166.50 166.50 166.50 166.50 166.50 166.50 166.50 166.50 166.50 233.00 233.00 233.00

PAMC12.7FE PAMC13.1DI PAMC14.3DI PAMC15.5DI PAMC15.5FE PAMC16.2DI PAMC16.9DI PAMV8.74DI PAMV8.74FE PAMV9.50DI PAMV9.90DI PAMV12.7DI PAMV12.7FE PAMV14.3DI PSAC6.75DI PSAC7.15FE PSAC8.15DI PSAC8.55DI PSAC9.55FE TECC46.6DI TECC46.6FE TECC52.6DI TGSC16.3FE TGSC16.3AB TGSC17.5DI TGSC17.5FE TRAC5.20DI TRAC5.50DI TRAC5.80DI TRAC7.00FE TRAC7.90DI TRAC7.90FE TS.C15355D TS.C16355D TS.C16355F TS.C17355D TS.C18355D TS.C19355D TS.C20355D TS.C21955D TS.C221.FE TS.V17355D TS.V175.FE TS.V18355D YPFC180.FE YPFC200.AB YPFC200.DI

Call Call Call Call Call Call Call Put Put Put Put Put Put Put Call Call Call Call Call Call Call Call Call Call Call Call Call Call Call Call Call Call Call Call Call Call Call Call Call Call Call Put Put Put Call Call Call

12.700 13.100 14.300 15.500 15.500 16.200 16.900 8.740 8.740 9.500 9.900 12.700 12.700 14.300 6.750 7.150 8.150 8.550 9.550 46.600 46.600 52.600 16.300 16.300 17.500 17.500 5.200 5.500 5.800 7.000 7.900 7.900 153.500 163.500 163.500 173.500 183.500 193.500 203.500 219.500 221.000 173.500 175.000 183.500 180.000 200.000 200.000

FE DI DI DI FE DI DI DI FE DI DI DI FE DI DI FE DI DI FE DI FE DI FE AB DI FE DI DI DI FE DI FE D D F D D D D D FE D FE D FE AB DI

64.00 1.00 1.00 1.00 64.00 1.00 1.00 1.00 64.00 1.00 1.00 1.00 64.00 1.00 1.00 64.00 1.00 1.00 64.00 1.00 64.00 1.00 64.00 122.00 1.00 64.00 1.00 1.00 1.00 64.00 1.00 64.00 1.00 1.00 64.00 1.00 1.00 1.00 1.00 1.00 64.00 1.00 64.00 1.00 64.00 122.00 1.00

1.20 0.00 0.00 0.00 0.65 0.00 0.00 0.02 0.00 0.00 0.00 0.82 1.80 2.50 0.00 0.00 0.00 0.00 0.40 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 2.00 0.00 0.20 0.85 0.00 9.00 15.00 0.00 0.10 0.00 0.00 0.00 0.00 4.90 0.00 0.00 66.45 0.00 34.00

-6% -6% 0% 2% 12% 25% 0% -22% -64% -35% -44% -42% -90% 145% 0% -51%

1.26 0.00 0.00 0.00 0.50 0.00 0.00 0.00 0.17 0.00 0.00 0.95 1.55 2.53 0.80 1.05 0.00 0.00 0.18 0.16 4.36 0.00 2.51 3.52 0.11 1.91 2.51 2.21 1.91 1.38 0.07 0.88 13.25 3.67 15.35 0.07 0.00 0.00 0.00 0.00 0.39 6.78 8.36 16.70 63.30 57.38 33.33

0.047 -0.231 -1.000 0.157 -0.141 0.011 -0.558 -0.045 -0.674 0.036 -0.592 0.023 -1.000 0.384 -0.047 -0.020

OTM OTM OTM OTM OTM OTM OTM OTM OTM OTM OTM ITM ITM ITM ITM ITM OTM OTM OTM OTM OTM OTM ITM ITM OTM OTM ITM ITM ITM ITM OTM OTM ITM ITM ITM OTM OTM OTM OTM OTM OTM ITM ITM ITM ITM ITM ITM

Valor Intrínseco

Cobertura %

Tasa Lanzam. %

10.21%

20.4%

5.53%

39.6%

5.31%

33.8%

25.97%

1.8%

2.60% 11.05%

5.3% 15.3%

5.41% 9.01%

3.8% 7.9%

0.06%

10.3%

28.52%

8.1%

14.59%

0.5%

0.95 0.95 2.55 0.79 0.39

0.60 0.60

2.50 2.20 1.90 0.70

13.00 3.00 3.00

7.00 8.50 17.00 53.00 33.00 33.00

Delta

Gamma

Vega

Theta

Rho

Efecto Palanca

Volat. Implícita

Volumen

0.526 0.021 0.000 0.000 0.271 0.000 0.000 0.000 -0.092 0.000 0.000 -0.925 -0.474 -1.000 0.999 0.732 0.019 0.000 0.218 0.167 0.566 0.000 0.681 0.712 0.243 0.580 1.000 1.000 1.000 0.761 0.304 0.593 1.000 0.810 0.730 0.043 0.000 0.000 0.000 0.000 0.045 -0.957 -0.463 -1.000 0.954 0.859 1.000

0.115 0.082 0.001 0.000 0.095 0.000 0.000 0.000 0.047 0.000 0.002 0.231 0.115 0.001 0.012 0.211 0.168 0.005 0.189 0.138 0.038 0.000 0.080 0.056 0.401 0.088 0.000 0.000 0.000 0.158 1.014 0.197 0.000 0.071 0.015 0.024 0.000 0.000 0.000 0.000 0.004 0.024 0.018 0.000 0.002 0.004 0.000

0.020 0.000 0.000 0.000 0.016 0.000 0.000 0.000 0.008 0.000 0.000 0.001 0.020 0.000 0.000 0.010 0.000 0.000 0.009 0.008 0.074 0.000 0.025 0.033 0.004 0.028 0.000 0.000 0.000 0.010 0.002 0.013 0.000 0.033 0.232 0.011 0.000 0.000 0.000 0.000 0.067 0.011 0.279 0.000 0.095 0.303 0.000

-0.103 -0.054 0.000 0.000 -0.077 0.000 0.000 0.000 -0.024 0.000 -0.001 -0.082 -0.033 0.082 -0.040 -0.053 -0.023 -0.001 -0.033 -0.836 -0.339 -0.001 -0.137 -0.108 -0.450 -0.139 -0.030 -0.032 -0.033 -0.059 -0.224 -0.062 -0.885 -2.569 -0.998 -0.655 0.000 0.000 0.000 0.000 -0.153 0.342 0.026 1.054 -1.153 -1.222 -1.149

0.009 0.000 0.000 0.000 0.005 0.000 0.000 0.000 -0.002 0.000 0.000 -0.001 -0.013 -0.001 0.000 0.008 0.000 0.000 0.003 0.000 0.037 0.000 0.016 0.029 0.000 0.014 0.000 0.000 0.000 0.008 0.000 0.007 0.008 0.007 0.189 0.000 0.000 0.000 0.000 0.000 0.013 -0.009 -0.152 -0.010 0.283 0.481 0.011

4.92 53.27 81.77 109.67 6.37 125.32 140.46 116.52 6.41 87.40 73.45 11.46 3.60 4.65 9.40 5.27 76.38 107.80 9.29 47.22 5.81 109.22 4.58 3.42 37.47 5.12 3.07 3.49 4.03 4.25 35.87 5.19 12.56 36.70 7.92 107.71 200.74 296.12 389.12 530.67 19.51 23.49 9.22 9.97 3.51 3.49 6.99

67% 79% 50% 50% 83% 50% 70% 50% 50% 58% 50% 29% 68% 50% 68% 50%

114662 16810 162 22708 55640 3000 2000 2000 800 851 900 1500 440 3690 272445 139400

San Martin 323 Piso 11 C.A.B.A. - Argentina - Te. 4000-1400 - 0810-1222-IOL (465)

6

Reporte de Opciones

Subyacente

Precio

Serie

Tipo

Strike

Vto

Dias al Vto

Prima

% Var

Prima Teórica

Dif.vs Prima

Estado

233.00 233.00 233.00 233.00 233.00 233.00 233.00 233.00 233.00 233.00 233.00 233.00 233.00 233.00 233.00 233.00

YPFC200.FE YPFC240.FE YPFC240.DI YPFC260.FE YPFC260.DI YPFC280.DI YPFC300.DI YPFC320.DI YPFC340.EN YPFC340.FE YPFC340.DI YPFC360.DI YPFV240.DI YPFV240.FE YPFV260.DI YPFV280.DI

Call Call Call Call Call Call Call Call Call Call Call Call Put Put Put Put

200.000 240.000 240.000 260.000 260.000 280.000 300.000 320.000 340.000 340.000 340.000 360.000 240.000 240.000 260.000 280.000

FE FE DI FE DI DI DI DI EN FE DI DI DI FE DI DI

64.00 64.00 1.00 64.00 1.00 1.00 1.00 1.00 30.00 64.00 1.00 1.00 1.00 64.00 1.00 1.00

0.00 27.00 2.00 21.00 0.70 0.90 0.00 0.00 0.00 0.00 0.10 0.00 9.00 13.00 20.00 45.00

-10% -44% 5% -30% -85% -75% -36% 18% 0% 41%

46.52 20.89 0.96 12.78 0.00 0.00 0.00 0.00 0.06 1.10 0.00 0.00 7.56 15.40 26.57 46.54

-0.226 -0.520 -0.391 -0.997 -1.000 -1.000 -0.159 0.185 0.329 0.034

ITM OTM OTM OTM OTM OTM OTM OTM OTM OTM OTM OTM ITM ITM ITM ITM

Valor Intrínseco

Cobertura %

Tasa Lanzam. %

11.59% 0.86% 9.01% 0.30% 0.39%

16.5% 3.9% 22.6% 11.9% 20.6%

0.04%

46.0%

33.00

7.00 7.00 27.00 47.00

Delta

Gamma

Vega

Theta

Rho

Efecto Palanca

Volat. Implícita

Volumen

0.874 0.587 0.214 0.425 0.001 0.000 0.000 0.000 0.006 0.060 0.000 0.000 -0.786 -0.413 -0.999 -1.000

0.005 0.009 0.036 0.009 0.000 0.000 0.000 0.000 0.001 0.003 0.000 0.000 0.036 0.009 0.000 0.000

0.203 0.383 0.050 0.385 0.001 0.000 0.000 0.000 0.011 0.117 0.000 0.000 0.050 0.383 0.001 0.000

-1.413 -1.626 -4.370 -1.463 -0.045 0.000 0.000 0.000 -0.065 -0.368 0.000 0.000 -2.991 -0.317 1.449 1.608

0.280 0.206 0.003 0.154 0.000 0.000 0.000 0.000 0.001 0.023 0.000 0.000 -0.010 -0.199 -0.014 -0.015

4.38 6.55 51.88 7.76 106.47 163.92 219.58 272.50 23.96 12.72 322.63 370.12 24.22 6.25 8.76 5.01

63% 65% 68% 50% 50% 50% 72% 40% 50% 50%

9800 1200 39990 350 180 250 900 2300 2000 4500

San Martin 323 Piso 11 C.A.B.A. - Argentina - Te. 4000-1400 - 0810-1222-IOL (465)

7

Glosario Subyacente: acción o bono al cual está vinculada la opción respectiva. Precio: Es el precio de cierre de la acción/bono subyacente. Tipo: Call (opción de compra) / Put (opción de venta). Strike: Precio de ejercicio de la opción. Días al Vto: Días corridos desde la fecha de análisis hasta el vencimiento de la opción. Vto: es el mes en el cual vence la opción. Prima: Último precio de la opción negociado en el mercado. % Var: Variación de la prima con relación al precio de cierre inmediato anterior. Prima Teórica: Valor teórico de la opción de acuerdo al modelo de valuación de Black and Scholes. Se utiliza la volatilidad historica de las ultimas 40 ruedas. Dif. Vs Prima: relación porcentual entre la prima teórica y el precio de mercado. Estado: Indica si la opción está OTM (Out of the money) / ITM (In the money) / ATM (At the money). En castellano se define como No ejercible/ Ejercible / Indiferente a ejercer. Valor intrínseco: Es la diferencia entre el precio de mercado y el precio de ejercicio. Sólo se consigna en las opciones ejercibles (ITM). Cobertura: Es la relación de la prima con respecto al precio de mercado del subyacente. Tasa Lanzam.: Es la tasa estimada de ganancia en el caso de haber realizado un lanzamiento y ser ejercido. Se computa como el ratio entre el precio de ejercicio del lanzamiento y la diferencia del precio de mercado del acción y la prima de la opción. Sólo aplica para las opciones de compra. Delta: Letra griega que indica la variación teórica medida en pesos de la prima ante una variación en el subyacente de un peso. Gamma: Letra griega que indica la variación teórica del Delta ante una variación de una unidad en el subyacente. Vega: Letra griega que indica la variación teórica de la prima ante un cambio de una unidad en la volatilidad. Theta: Letra griega que indica la variación teórica de la prima ante el paso del tiempo en días. Rho: Letra griega que indica la variación teórica de la prima ante un cambio de un punto en la tasa de interés. Efecto Palanca: Mide el grado de apalancamiento de la opción. Es el retorno relativo a obtener por invertir en la opción ante la variación del activo subyacente de un peso. Volatilidad implícita: Es la volatilidad que se deduce del modelo de valuación de Black and Scholes, tomando como parámetro el precio de mercado de la opción y como incógnita la volatilidad. Volumen: Monto total operado. San Martin 323 Piso 11 C.A.B.A. - Argentina - Te. 4000-1400 - 0810-1222-IOL (465)

Cláusula Legal Este reporte tiene el propósito de brindar información para generar debate. Mientras no esté especificado el mismo no constituye ninguna oferta o recomendación de compra o venta de los instrumentos financieros mencionados. Por otro lado, este reporte no tiene en cuenta los objetivos de inversión y/o la situación financiera de ninguna persona en particular. Los Asesores Financieros relacionados a invertirOnline.com pueden ofrecer sus opiniones o perspectivas concernientes a lo apropiado de la naturaleza de determinadas estrategias de inversión; sin embargo, es finalmente el usuario o cliente el responsable último de las decisiones de inversión que adopta debiendo estar tales decisiones basadas únicamente en sus circunstancias económicas, objetivos financieros, tolerancia al riesgo y necesidades de liquidez personales. Las inversiones en activos financieros y otros productos conllevan riesgos, incluyendo la perdida de capital significativa. Los riesgos incluyen pero no están limitados a: riesgo de tasa de interés, riesgos de liquidez, de tipo de cambio y el riesgo específico de la empresa y/o sector. Este documento contiene información histórica y prospectiva. Los rendimientos pasados no son garantía o indicativo de resultados futuros. Todos los precios, valores o estimaciones generadas en este reporte (excepto aquellos identificados como históricos) son con fines indicativos. Todos los datos utilizados en este reporte están basados en fuentes que se consideran confiables y de buena fe, pero no implican garantía implícita o explícita de su precisión y completitud. Mayor información al respecto se encuentra disponible de ser requerida. Conflictos de Interés Hemos implementado y mantenemos implementando un período de restricción de 2 semanas sobre las carteras administradas previo a la emisión de un reporte de manera de evitar la compra/venta de acciones específicas que se encuentran involucrados en el presente research. Los analistas involucrados en la creación de este research pueden tener intereses directos o indirectos dentro de las posiciones mencionadas en este reporte. En caso de ser así en el siguiente cuadro se listarán aquellos activos en que los analistas tienen posiciones y la naturaleza de las mismas. Fecha de Posición

Alejandro Bianchi, CFA Gerente de Inversiones @aleebianchi fb.com/alejandro.emilio.bianchi

Flavia Matsuda Analista Cuantitativo @FlaviaMatsuda [email protected]

Analista

Posisición

José Luis Pavesa Asesor Financiero (54 11) 4000 1400 [email protected]

Activo

Manuel Carpintero Asesor Financiero (54 11) 4000 1400 [email protected]

San Martin 323 Piso 11 C.A.B.A. - Argentina - Te. 4000-1400 - 0810-1222-IOL (465)

María Fernanda Lázaro Asesor Financiero (54 11) 4000 1400 [email protected]