Reporte de Opciones

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

viernes, 04 de septiembre de 2015 Subyacente

Precio

Serie

Tipo

Strike

Vto

Dias al Vto

Prima

% Var

Prima Teórica

Dif.vs Prima

Estado

AA17

1385.75 1385.75 1385.75 1385.75 7.20 7.20 7.20 7.20 7.20 7.20 7.20 7.20 7.20 7.20 37.00 37.00 37.00 37.00 37.00 37.00 37.00 37.00 37.00 37.00 37.00 37.00 37.00 37.00 37.00 37.00 37.00 37.00 37.00 37.00 37.00 37.00 37.00 37.00 37.00 37.00 37.00

A17C1350.O A17C1400.O A17V1350.O A17V1400.O ALUC5.80OC ALUC5.80DI ALUC7.589O ALUC7.60DI ALUC8.50OC ALUC8.50DI ALUC8.929O ALUC9.85OC ALUC9.85DI ALUC10.3OC PBRC26.4OC PBRC30.4OC PBRC30.4DI PBRC34.4OC PBRC34.4DI PBRC38.4OC PBRC38.4DI PBRC42.4OC PBRC42.4DI PBRC46.4SE PBRC46.4OC PBRC46.4DI PBRC50.4SE PBRC50.4OC PBRC50.4DI PBRC54.4OC PBRC54.4DI PBRC58.4OC PBRC58.4DI PBRC62.4OC PBRC62.4DI PBRC66.4OC PBRC70.4OC PBRC70.4DI PBRC74.4OC PBRV26.4OC PBRV30.4OC

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 Call Call Call Call Call Call Call Call Call Put Put

1350.000 1400.000 1350.000 1400.000 5.800 5.800 7.580 7.600 8.500 8.500 8.920 9.850 9.850 10.300 26.400 30.400 30.400 34.400 34.400 38.400 38.400 42.400 42.400 46.400 46.400 46.400 50.400 50.400 50.400 54.400 54.400 58.400 58.400 62.400 62.400 66.400 70.400 70.400 74.400 26.400 30.400

.O .O .O .O OC DI O DI OC DI O OC DI OC OC OC DI OC DI OC DI OC DI SE OC DI SE OC DI OC DI OC DI OC DI OC OC DI OC OC OC

53.00 53.00 53.00 53.00 41.00 104.00 41.00 104.00 41.00 104.00 41.00 41.00 104.00 41.00 41.00 41.00 104.00 41.00 104.00 41.00 104.00 41.00 104.00 13.00 41.00 104.00 13.00 41.00 104.00 41.00 104.00 41.00 104.00 41.00 104.00 41.00 41.00 104.00 41.00 41.00 41.00

70.00 40.00 15.00 20.00 0.00 2.17 0.40 1.20 0.00 0.50 0.00 0.06 0.40 0.00 12.00 9.00 0.00 6.30 8.90 3.75 0.00 2.43 5.00 0.00 1.55 0.00 0.10 0.87 2.40 0.50 1.20 0.40 1.10 0.20 0.80 0.00 0.20 0.00 0.15 0.55 1.25

0% 0% 0% 0% -8% -20% 0% 0% -25% 0% -11% -10% -10% -4% -18% -17% -17% -18% -60% -21% -4% -23% -31% 0% -27% -33% 100% 33% 25% 0% 25%

79.46 42.41 4.32 15.82 1.55 1.79 0.30 0.63 0.08 0.32 0.04 0.01 0.10 0.00 11.50 8.23 10.44 5.56 8.16 3.56 6.30 2.18 4.82 0.19 1.28 3.66 0.05 0.73 2.77 0.41 2.09 0.22 1.57 0.12 1.18 0.06 0.03 0.67 0.02 0.29 0.92

0.135 0.060 -0.712 -0.209 -0.173 -0.245 -0.474 -0.356 -0.889 -0.747 -0.042 -0.086 -0.118 -0.084 -0.051 -0.104 -0.037 -0.173 -0.501 -0.158 0.153 -0.184 0.739 -0.443 0.428 -0.400 0.476 -0.831 -0.881 -0.479 -0.262

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

ALUA

APBR

Valor Intrínseco

Cobertura %

Tasa Lanzam. %

35.75

5.05% 2.89%

2.6% 4.0%

30.14% 5.56% 16.67%

15.3% 11.5% 26.7%

6.94%

26.9%

0.83% 5.56%

38.0% 44.9%

32.43% 24.32%

5.6% 8.6%

17.03% 24.05% 10.14%

12.1% 22.4% 15.5%

6.57% 13.51%

22.6% 32.5%

4.19%

30.9%

0.27% 2.35% 6.49% 1.35% 3.24% 1.08% 2.97% 0.54% 2.16%

36.6% 39.5% 45.7% 49.0% 52.0% 59.6% 62.7% 69.6% 72.4%

0.54%

91.3%

0.41%

101.9%

14.25 1.40 1.40

10.60 6.60 6.60 2.60 2.60

Delta

Gamma

Vega

Theta

Rho

Efecto Palanca

Volat. Implícita

Volumen

0.875 0.662 -0.125 -0.338 0.966 0.917 0.445 0.551 0.163 0.348 0.091 0.019 0.141 0.008 0.937 0.838 0.797 0.693 0.701 0.530 0.601 0.378 0.505 0.081 0.254 0.417 0.025 0.163 0.340 0.100 0.274 0.060 0.219 0.035 0.174 0.020 0.011 0.108 0.006 -0.063 -0.162

0.003 0.005 0.003 0.005 0.076 0.099 0.404 0.256 0.252 0.239 0.167 0.048 0.144 0.023 0.013 0.026 0.019 0.037 0.023 0.042 0.026 0.040 0.027 0.027 0.034 0.026 0.011 0.026 0.024 0.018 0.022 0.013 0.020 0.008 0.017 0.005 0.003 0.012 0.002 0.013 0.026

1.084 1.931 1.084 1.931 0.002 0.006 0.010 0.015 0.006 0.014 0.004 0.001 0.009 0.001 0.015 0.031 0.056 0.044 0.069 0.050 0.077 0.048 0.079 0.011 0.040 0.077 0.004 0.031 0.073 0.022 0.066 0.015 0.059 0.010 0.051 0.006 0.004 0.037 0.002 0.015 0.031

-5.362 -5.074 -0.237 0.241 -0.027 -0.027 -0.044 -0.033 -0.024 -0.028 -0.016 -0.004 -0.015 -0.002 -0.188 -0.284 -0.216 -0.357 -0.244 -0.378 -0.256 -0.347 -0.254 -0.217 -0.286 -0.242 -0.084 -0.216 -0.222 -0.152 -0.198 -0.102 -0.174 -0.066 -0.149 -0.041 -0.025 -0.106 -0.015 -0.087 -0.168

1.646 1.270 -0.257 -0.704 0.006 0.014 0.003 0.010 0.001 0.006 0.001 0.000 0.003 0.000 0.027 0.026 0.055 0.023 0.051 0.018 0.046 0.014 0.040 0.001 0.009 0.034 0.000 0.006 0.028 0.004 0.023 0.002 0.019 0.001 0.015 0.001 0.000 0.010 0.000 -0.003 -0.008

15.27 21.62 39.91 29.65 4.50 3.68 10.62 6.29 14.78 7.77 16.73 21.03 10.00 23.06 3.02 3.77 2.82 4.61 3.18 5.51 3.53 6.42 3.88 15.72 7.34 4.22 18.73 8.23 4.54 9.10 4.86 9.94 5.16 10.74 5.45 11.52 12.27 6.00 12.98 8.09 6.52

50% 12% 21% 15% 82% 50% 78% 52% 60% 66% 50% 99% 92% 87% 80% 81% 78% 82% 85% 80% 71% 80% 61% 86% 67% 83% 68% 98% 100% 90% 86%

17500 20000 3750 9000 168718 12708 29160 27500 1344 680 33400 51005 81730 2770 437471 654286 3500 311013 410 55786 2400 950 15770 8469 1100 5520 2000 1000 1926 7020 8187

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

Reporte de Opciones

Subyacente

AY24 BHIP BMA CECO2 COME

EDN

ERAR

Precio

Serie

Tipo

Strike

Vto

Dias al Vto

Prima

% Var

Prima Teórica

Dif.vs Prima

Estado

37.00 37.00 37.00 37.00 37.00 1343.00 1343.00 4.90 4.90 63.00 63.00 3.31 3.16 3.16 3.16 3.16 3.16 3.16 3.16 3.16 3.16 3.16 3.16 3.16 3.16 3.16 3.16 3.16 3.16 3.16 3.16 3.16 9.16 9.16 9.16 9.16 9.16 5.70 5.70 5.70 5.70 5.70 5.70 5.70 5.70 5.70 5.70

PBRV34.4OC PBRV38.4OC PBRV42.4OC PBRV46.4OC PBRV50.4OC A24V1350.O A24V1400.O BHIC5.05OC BHIC5.05DI BMAC60.0DI BMAC64.0OC CECC3.60OC COMC1.50OC COMC2.00OC COMC2.00DI COMC2.40OC COMC2.40DI COMC2.60OC COMC2.80OC COMC2.80DI COMC3.00OC COMC3.00DI COMC3.15SE COMC3.15OC COMC3.30OC COMC3.30DI COMC3.45OC COMC3.60OC COMC3.60DI COMC3.75OC COMC3.90OC COMC4.05OC EDNC8.15OC EDNC9.15OC EDNC9.40OC EDNV9.15OC EDNV9.15DI ERAC4.72OC ERAC5.12OC ERAC5.12DI ERAC5.87OC ERAC6.12OC ERAC6.12DI ERAC6.62OC ERAC7.12OC ERAC7.37OC ERAC8.12OC

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

34.400 38.400 42.400 46.400 50.400 1350.000 1400.000 5.050 5.050 60.000 64.000 3.600 1.500 2.000 2.000 2.400 2.400 2.600 2.800 2.800 3.000 3.000 3.150 3.150 3.300 3.300 3.450 3.600 3.600 3.750 3.900 4.050 8.150 9.150 9.400 9.150 9.150 4.720 5.120 5.120 5.870 6.120 6.120 6.620 7.120 7.370 8.120

OC OC OC OC OC .O .O OC DI DI OC OC OC OC DI OC DI OC OC DI OC DI SE OC OC DI OC OC DI OC OC OC OC OC OC OC DI OC OC DI OC OC DI OC OC OC OC

41.00 41.00 41.00 41.00 41.00 53.00 53.00 41.00 104.00 104.00 41.00 41.00 41.00 41.00 104.00 41.00 104.00 41.00 41.00 104.00 41.00 104.00 13.00 41.00 41.00 104.00 41.00 41.00 104.00 41.00 41.00 41.00 41.00 41.00 41.00 41.00 104.00 41.00 41.00 104.00 41.00 41.00 104.00 41.00 41.00 41.00 41.00

2.75 3.80 6.00 9.40 0.00 0.00 0.00 0.00 0.00 0.00 4.00 0.00 1.74 1.24 1.45 0.87 0.00 0.70 0.53 0.00 0.40 0.00 0.00 0.28 0.20 0.00 0.14 0.10 0.25 0.08 0.07 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.40 0.28 0.00 0.00 0.06 0.00 0.00

62% 36% 30% 3% 0% 2% 2% 4% 0% -3% 8% 6% 4% 19% 8% 4% 25% 1% -7% 5% 8% -8% -

2.16 4.07 6.59 9.61 12.96 15.18 37.80 0.30 0.56 10.57 4.83 0.09 1.69 1.21 1.28 0.82 0.94 0.65 0.49 0.65 0.35 0.52 0.15 0.26 0.19 0.37 0.14 0.10 0.26 0.07 0.05 0.03 1.38 0.75 0.63 0.53 0.74 1.11 0.76 1.02 0.29 0.20 0.46 0.08 0.03 0.02 0.00

-0.215 0.071 0.099 0.022 0.208 -0.027 -0.027 -0.115 -0.052 -0.076 -0.084 -0.124 -0.057 -0.035 0.002 -0.050 0.037 -0.161 -0.294 -0.263 -0.292 -0.493 -

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

Valor Intrínseco

Cobertura %

Tasa Lanzam. %

1.40 5.40 9.40 13.40 7.00 57.00

3.00

1.66 1.16 1.16 0.76 0.76 0.56 0.36 0.36 0.16 0.16 0.01 0.01

6.35%

8.5%

55.13% 39.24% 45.89% 27.53%

5.8% 4.2% 17.0% 4.8%

22.15% 16.77%

5.7% 6.5%

12.59%

8.6%

8.86% 6.39%

9.4% 11.6%

4.43% 3.29% 7.91% 2.56% 2.06%

14.2% 17.8% 23.7% 21.8% 26.0%

7.02% 4.91%

10.8% 12.9%

0.96%

26.1%

1.01 0.01

0.98 0.58 0.58

Delta

Gamma

Vega

Theta

Rho

Efecto Palanca

Volat. Implícita

Volumen

-0.307 -0.470 -0.622 -0.746 -0.837 -0.315 -0.577 0.515 0.595 0.697 0.553 0.346 1.000 0.997 0.976 0.962 0.909 0.907 0.817 0.783 0.697 0.704 0.563 0.594 0.491 0.577 0.392 0.303 0.454 0.228 0.167 0.119 0.813 0.590 0.529 -0.410 -0.362 0.947 0.847 0.809 0.510 0.390 0.520 0.196 0.083 0.051 0.009

0.037 0.042 0.040 0.034 0.026 0.005 0.005 0.507 0.312 0.019 0.034 0.849 0.000 0.014 0.063 0.148 0.186 0.297 0.474 0.332 0.625 0.391 1.219 0.693 0.713 0.442 0.687 0.624 0.448 0.540 0.447 0.355 0.168 0.242 0.248 0.242 0.148 0.138 0.303 0.221 0.512 0.492 0.323 0.355 0.196 0.134 0.032

0.044 0.050 0.048 0.040 0.031 1.819 2.003 0.007 0.010 0.118 0.084 0.004 0.000 0.000 0.001 0.001 0.003 0.002 0.003 0.005 0.004 0.006 0.002 0.004 0.004 0.007 0.004 0.004 0.007 0.003 0.003 0.002 0.008 0.012 0.012 0.012 0.018 0.002 0.005 0.008 0.008 0.007 0.012 0.005 0.003 0.002 0.000

-0.226 -0.231 -0.186 -0.109 -0.023 0.019 1.312 -0.035 -0.025 -0.343 -0.498 -0.017 -0.006 -0.008 -0.009 -0.013 -0.012 -0.016 -0.021 -0.016 -0.024 -0.017 -0.038 -0.024 -0.024 -0.017 -0.022 -0.020 -0.016 -0.017 -0.014 -0.011 -0.060 -0.070 -0.070 -0.035 -0.016 -0.024 -0.031 -0.025 -0.036 -0.033 -0.026 -0.022 -0.012 -0.008 -0.002

-0.016 -0.025 -0.034 -0.043 -0.051 -0.637 -1.181 0.003 0.007 0.096 0.035 0.001 0.002 0.002 0.005 0.003 0.006 0.003 0.002 0.005 0.002 0.005 0.001 0.002 0.002 0.004 0.001 0.001 0.003 0.001 0.001 0.000 0.007 0.005 0.005 -0.005 -0.012 0.005 0.005 0.010 0.003 0.002 0.007 0.001 0.001 0.000 0.000

5.27 4.27 3.49 2.87 2.39 27.92 20.51 8.47 5.21 4.15 7.21 12.19 1.86 2.61 2.41 3.69 3.06 4.43 5.32 3.83 6.31 4.24 12.18 7.12 7.96 4.88 8.82 9.70 5.53 10.59 11.49 12.38 5.40 7.22 7.71 7.13 4.50 4.88 6.32 4.54 9.86 11.20 6.46 14.03 16.92 18.37 22.65

89% 70% 63% 71% 44% 50% 50% 50% 82% 76% 67% 65% 56% 54% 52% 54% 51% 56% 59% 54% 51% 48% -

18630 91365 6355 940 2000 3484 489893 29000 11070 9275 96711 667918 266306 649413 146135 95328 1325 5530 2700 3140 3836 5 -

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

2

Reporte de Opciones

Subyacente

FRAN GGAL

INDU

MIRG

PAMP

Precio

Serie

Tipo

Strike

Vto

Dias al Vto

Prima

% Var

Prima Teórica

Dif.vs Prima

Estado

5.70 76.55 76.55 26.95 26.95 26.95 26.95 26.95 26.95 26.95 26.95 26.95 26.95 26.95 26.95 26.95 26.95 26.95 26.95 26.95 26.95 26.95 26.95 26.95 26.95 26.95 26.95 26.95 26.95 26.95 26.95 26.95 26.95 26.95 26.95 26.95 2.60 2.60 2.60 2.60 249.50 249.50 249.50 249.50 9.23 9.23 9.23

ERAV5.12OC FRAC50.0OC FRAC70.0OC GFGC18.0OC GFGC20.5OC GFGC21.0OC GFGC23.0OC GFGC23.0DI GFGC24.0OC GFGC25.0OC GFGC25.0DI GFGC26.0OC GFGC26.0DI GFGC27.0OC GFGC27.0DI GFGC28.0OC GFGC28.0DI GFGC29.0OC GFGC29.0DI GFGC29923O GFGC30.0DI GFGC31.0OC GFGC32.0OC GFGC32.0DI GFGC37.0OC GFGC37.0DI GFGV11.0OC GFGV22.0OC GFGV24.0OC GFGV25.0OC GFGV25.0DI GFGV26.0OC GFGV27.0OC GFGV28.0OC GFGV29.0OC GFGV30.0DI INDC2.60OC INDC2.60DI INDC2.80DI INDC3.00OC MIRC240.OC MIRC260.DI MIRV240.DI MIRV250.DI PAMC6.34OC PAMC7.14OC PAMC7.54OC

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

5.120 50.000 70.000 18.000 20.500 21.000 23.000 23.000 24.000 25.000 25.000 26.000 26.000 27.000 27.000 28.000 28.000 29.000 29.000 29.920 30.000 31.000 32.000 32.000 37.000 37.000 11.000 22.000 24.000 25.000 25.000 26.000 27.000 28.000 29.000 30.000 2.600 2.600 2.800 3.000 240.000 260.000 240.000 250.000 6.340 7.140 7.540

OC OC OC OC OC OC OC DI OC OC DI OC DI OC DI OC DI OC DI O DI OC OC DI OC DI OC OC OC OC DI OC OC OC OC DI OC DI DI OC OC DI DI DI OC OC OC

41.00 41.00 41.00 41.00 41.00 41.00 41.00 104.00 41.00 41.00 104.00 41.00 104.00 41.00 104.00 41.00 104.00 41.00 104.00 41.00 104.00 41.00 41.00 104.00 41.00 104.00 41.00 41.00 41.00 41.00 104.00 41.00 41.00 41.00 41.00 104.00 41.00 104.00 104.00 41.00 41.00 104.00 104.00 104.00 41.00 41.00 41.00

0.00 0.00 0.00 0.00 7.00 0.00 0.00 0.00 0.00 3.29 0.00 2.45 0.00 1.70 0.00 1.25 2.20 0.86 0.00 0.65 0.00 0.40 0.32 0.00 0.06 0.00 0.00 0.00 0.00 0.75 0.00 1.00 1.40 2.30 0.00 0.00 0.00 0.00 0.00 0.00 0.00 25.00 9.50 0.00 0.00 0.00 0.00

1% 1% -2% -4% -1% -21% -5% 8% -11% 28% 7% -9% -33% -7% 0% 4% 0% -

0.07 27.76 10.73 9.38 7.03 6.58 4.89 6.22 4.13 3.44 4.96 2.83 4.40 2.29 3.89 1.84 3.43 1.45 3.01 1.15 2.63 0.87 0.66 1.99 0.15 0.96 0.00 0.25 0.62 0.91 1.59 1.28 1.72 2.24 2.83 3.97 0.19 0.32 0.23 0.05 18.37 16.59 5.18 8.24 3.04 2.28 1.92

0.004 0.046 0.155 0.350 0.468 0.557 0.684 0.775 1.179 1.076 1.307 0.217 0.277 0.227 -0.028 -0.336 -0.454 -

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

Valor Intrínseco 26.55 6.55 8.95 6.45 5.95 3.95 3.95 2.95 1.95 1.95 0.95 0.95

Cobertura %

Tasa Lanzam. %

25.97%

2.8%

12.21%

5.7%

9.09%

6.1%

6.31%

6.9%

4.64% 8.16% 3.19%

8.9% 13.1% 11.2%

2.41%

13.8%

1.48% 1.19%

16.8% 20.2%

0.24%

37.6%

10.02%

15.8%

0.05 1.05 2.05 3.05

9.50

0.50 2.89 2.09 1.69

Delta

Gamma

Vega

Theta

Rho

Efecto Palanca

Volat. Implícita

Volumen

-0.153 0.991 0.748 0.991 0.953 0.939 0.856 0.811 0.799 0.732 0.725 0.659 0.680 0.583 0.633 0.506 0.586 0.432 0.539 0.368 0.494 0.299 0.243 0.408 0.071 0.235 0.000 -0.097 -0.201 -0.268 -0.275 -0.341 -0.417 -0.494 -0.568 -0.506 0.591 0.642 0.523 0.240 0.765 0.576 -0.229 -0.322 0.994 0.962 0.926

0.303 0.002 0.021 0.005 0.019 0.024 0.045 0.034 0.056 0.065 0.042 0.073 0.045 0.077 0.047 0.079 0.049 0.078 0.050 0.074 0.050 0.069 0.062 0.049 0.027 0.038 0.000 0.034 0.056 0.065 0.042 0.073 0.077 0.079 0.078 0.050 0.978 0.594 0.634 0.782 0.013 0.011 0.008 0.010 0.012 0.054 0.092

0.005 0.006 0.083 0.002 0.009 0.011 0.021 0.039 0.026 0.030 0.048 0.034 0.052 0.036 0.054 0.036 0.056 0.036 0.057 0.034 0.058 0.032 0.029 0.056 0.012 0.044 0.000 0.016 0.026 0.030 0.048 0.034 0.036 0.036 0.036 0.058 0.003 0.005 0.006 0.003 0.260 0.524 0.405 0.480 0.001 0.003 0.004

-0.012 -0.220 -0.587 -0.078 -0.114 -0.124 -0.167 -0.133 -0.186 -0.202 -0.146 -0.213 -0.150 -0.217 -0.152 -0.214 -0.152 -0.206 -0.151 -0.193 -0.148 -0.174 -0.155 -0.139 -0.064 -0.103 0.000 -0.061 -0.095 -0.107 -0.054 -0.114 -0.114 -0.107 -0.095 -0.037 -0.018 -0.013 -0.013 -0.013 -1.262 -0.971 -0.123 -0.087 -0.026 -0.036 -0.044

-0.001 0.055 0.054 0.020 0.021 0.022 0.021 0.045 0.020 0.019 0.042 0.017 0.040 0.015 0.038 0.014 0.036 0.012 0.033 0.010 0.031 0.008 0.007 0.026 0.002 0.015 0.000 -0.003 -0.007 -0.009 -0.026 -0.012 -0.015 -0.018 -0.021 -0.051 0.002 0.004 0.003 0.001 0.199 0.366 -0.179 -0.255 0.007 0.008 0.008

13.20 2.73 5.33 2.85 3.65 3.85 4.72 3.51 5.21 5.73 3.94 6.28 4.16 6.85 4.38 7.43 4.61 8.03 4.83 8.59 5.06 9.25 9.86 5.51 12.92 6.61 27.57 10.46 8.69 7.91 4.66 7.19 6.54 5.95 5.42 3.43 8.15 5.15 5.85 11.96 10.40 8.67 11.01 9.74 3.02 3.90 4.46

52% 50% 44% 39% 39% 34% 39% 40% 39% 42% 47% 50% 47% 46% 57% 43% 37% -

175700 431095 236795 606865 365283 3520 166032 13185 4750 640 192 13500 5000 28640 920 29969 12250 -

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

3

Reporte de Opciones

Subyacente

PESA

TECO2

TGSU2 TRAN

TS

TVPP YPFD

Precio

Serie

Tipo

Strike

Vto

Dias al Vto

Prima

% Var

Prima Teórica

Dif.vs Prima

Estado

9.23 9.23 9.23 9.23 9.23 9.23 9.23 9.23 9.23 9.23 9.23 7.39 7.39 7.39 44.10 44.10 44.10 12.10 5.00 5.00 5.00 5.00 179.50 179.50 179.50 179.50 179.50 179.50 179.50 179.50 179.50 179.50 179.50 179.50 179.50 179.50 179.50 179.50 179.50 6.75 6.75 305.00 305.00 305.00 305.00 305.00 305.00

PAMC7.74OC PAMC8.14OC PAMC8.74OC PAMC8.74DI PAMC9.10OC PAMC9.10DI PAMC9.50OC PAMV8.14OC PAMV8.74OC PAMV9.10OC PAMV9.10DI PSAC8.55OC PSAC8.55DI PSAC9.282O TECC42.6OC TECC46.6OC TECC46.6DI TGSC11.3OC TRAC4.90OC TRAC4.90DI TRAC5.20OC TRAC5.50OC TS.C155.SE TS.C165.OC TS.C175.OC TS.C175.DI TS.C185.SE TS.C185.DI TS.C185.OC TS.C195.OC TS.C205.OC TS.C229.OC TS.C245.DI TS.C269.OC TS.V165.OC TS.V175.DI TS.V175.OC TS.V185.DI TS.V185.OC TPPC6.80SE TPPC7.80SE YPFC280.OC YPFC300.OC YPFC300.DI YPFC31872O YPFC33872O YPFC35872O

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

7.740 8.140 8.740 8.740 9.100 9.100 9.500 8.140 8.740 9.100 9.100 8.550 8.550 9.280 42.600 46.600 46.600 11.300 4.900 4.900 5.200 5.500 155.000 165.000 175.000 175.000 185.000 185.000 185.000 195.000 205.000 229.000 245.000 269.000 165.000 175.000 175.000 185.000 185.000 6.800 7.800 280.000 300.000 300.000 318.700 338.700 358.700

OC OC OC DI OC DI OC OC OC OC DI OC DI O OC OC DI OC OC DI OC OC SE OC OC DI SE DI OC OC OC OC DI OC OC DI OC DI OC SE SE OC OC DI O O O

41.00 41.00 41.00 104.00 41.00 104.00 41.00 41.00 41.00 41.00 104.00 41.00 104.00 41.00 41.00 41.00 104.00 41.00 41.00 104.00 41.00 41.00 13.00 41.00 41.00 104.00 13.00 104.00 41.00 41.00 41.00 41.00 104.00 41.00 41.00 104.00 41.00 104.00 41.00 21.00 21.00 41.00 41.00 104.00 41.00 41.00 41.00

0.00 1.20 0.00 0.00 0.65 0.00 0.30 0.00 0.30 0.00 0.00 0.15 1.50 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 21.75 11.30 0.00 0.00 0.00 8.30 0.00 0.00 0.00 0.00 0.00 3.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 12.00 6.50 0.00

7% 8% 58% 0% -12% 0% -9% -27% -24% 20% 20% 41% -

1.75 1.42 1.00 1.49 0.78 1.29 0.58 0.14 0.30 0.44 0.64 0.11 0.39 0.04 4.26 2.32 4.69 1.40 0.51 0.82 0.37 0.26 26.25 23.59 17.41 27.73 5.73 22.83 12.44 8.60 5.78 1.99 6.07 0.26 5.26 13.27 8.86 17.79 13.65 0.20 0.01 37.24 24.28 39.86 15.22 8.61 4.55

0.183 0.204 0.950 0.008 -0.247 -0.740 0.084 0.541 0.498 0.753 0.269 0.325 -

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

Valor Intrínseco 1.49 1.09 0.49 0.49 0.13 0.13

Cobertura %

Tasa Lanzam. %

13.00%

1.4%

7.04%

6.1%

3.25%

6.4%

2.03% 20.30%

18.1% 45.2%

12.12% 6.30%

4.6% 4.0%

4.62%

8.1%

3.93% 2.13%

8.8% 13.5%

1.50

0.80 0.10 0.10

24.50 14.50 4.50 4.50

5.50 5.50

25.00 5.00 5.00

Delta

Gamma

Vega

Theta

Rho

Efecto Palanca

Volat. Implícita

Volumen

0.901 0.838 0.710 0.714 0.622 0.659 0.520 -0.162 -0.290 -0.378 -0.341 0.208 0.387 0.080 0.667 0.458 0.558 0.740 0.624 0.658 0.510 0.401 0.937 0.753 0.640 0.669 0.436 0.596 0.521 0.407 0.305 0.131 0.231 0.022 -0.247 -0.331 -0.360 -0.404 -0.479 0.539 0.030 0.791 0.635 0.669 0.474 0.318 0.194

0.114 0.161 0.224 0.141 0.249 0.152 0.261 0.161 0.224 0.249 0.152 0.280 0.236 0.145 0.049 0.054 0.034 0.164 0.372 0.228 0.391 0.379 0.007 0.010 0.011 0.007 0.021 0.008 0.012 0.012 0.011 0.007 0.006 0.002 0.010 0.007 0.011 0.008 0.012 0.848 0.145 0.006 0.008 0.005 0.009 0.008 0.006

0.005 0.008 0.011 0.017 0.012 0.018 0.012 0.008 0.011 0.012 0.018 0.007 0.015 0.004 0.054 0.059 0.093 0.013 0.006 0.010 0.007 0.007 0.044 0.192 0.228 0.349 0.138 0.373 0.243 0.236 0.213 0.130 0.293 0.032 0.192 0.349 0.228 0.373 0.243 0.006 0.001 0.297 0.389 0.593 0.412 0.369 0.285

-0.048 -0.056 -0.065 -0.047 -0.068 -0.048 -0.067 -0.025 -0.032 -0.033 -0.015 -0.030 -0.030 -0.015 -0.321 -0.313 -0.231 -0.083 -0.042 -0.029 -0.042 -0.040 -1.140 -1.294 -1.397 -0.984 -2.137 -0.995 -1.400 -1.306 -1.142 -0.663 -0.662 -0.159 -0.664 -0.339 -0.729 -0.312 -0.693 -0.044 -0.006 -1.881 -2.079 -1.506 -2.006 -1.688 -1.251

0.008 0.007 0.006 0.015 0.006 0.014 0.005 -0.002 -0.003 -0.005 -0.011 0.002 0.007 0.001 0.029 0.021 0.057 0.009 0.003 0.007 0.003 0.002 0.054 0.128 0.112 0.265 0.028 0.242 0.093 0.074 0.056 0.025 0.102 0.004 -0.057 -0.209 -0.084 -0.260 -0.115 0.002 0.000 0.235 0.195 0.473 0.149 0.102 0.063

4.77 5.45 6.59 4.43 7.34 4.73 8.21 10.61 8.84 7.91 4.94 13.62 7.32 16.78 6.90 8.69 5.24 6.38 6.08 3.99 6.88 7.69 6.40 5.73 6.60 4.33 13.65 4.69 7.53 8.49 9.47 11.84 6.84 15.70 8.43 4.48 7.29 4.08 6.29 18.07 38.15 6.48 7.97 5.12 9.51 11.25 13.04

50% 38% 26% 48% 46% 50% 44% 26% 37% 41% 36% 38% -

15140 16613 1200 1500 1710 3150 2175 3391 11270 6600 5070 12825 -

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

4

Reporte de Opciones

Subyacente

Precio

Serie

Tipo

Strike

Vto

Dias al Vto

Prima

% Var

Prima Teórica

Dif.vs Prima

Estado

305.00 305.00 305.00 305.00

YPFC37872O YPFC400.OC YPFV300.OC YPFV33872O

Call Call Put Put

378.700 400.000 300.000 338.700

O OC OC O

41.00 41.00 41.00 41.00

0.00 1.00 0.00 0.00

-90% -

2.25 1.00 12.33 34.46

0.002 -

OTM OTM OTM ITM

Valor Intrínseco

33.70

Cobertura %

Tasa Lanzam. %

0.33%

31.6%

Delta

Gamma

Vega

Theta

Rho

Efecto Palanca

Volat. Implícita

Volumen

0.110 0.055 -0.365 -0.682

0.004 0.002 0.008 0.008

0.194 0.115 0.389 0.369

-0.829 -0.482 -0.933 -0.394

0.036 0.018 -0.142 -0.279

14.86 16.79 9.04 6.04

44% -

300 -

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

5

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 (54 11) 4000 1400 [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]