Reporte de Opciones

Flavia Matsuda Analista Cuantitativo @FlaviMatsuda [email protected]

miércoles, 24 de febrero de 2016 Subyacente Precio ALUA

APBR

BHIP BRIO

CECO2 CELU COME

9.80 9.80 9.80 9.80 9.80 9.80 9.80 9.80 9.80 27.50 27.50 27.50 27.50 27.50 27.50 27.50 27.50 27.50 27.50 27.50 27.50 27.50 27.50 27.50 27.50 27.50 27.50 27.50 27.50 27.50 6.95 6.95 51.95 51.95 51.95 4.76 4.76 9.25 3.44 3.44 3.44

Serie

Tipo

Strike

Vto

Dias al Vto

Prima

% Var

Prima Teórica

Dif.vs Prima

Estado

ALUC5.786A ALUC5.80JU ALUC7.60AB ALUC9.40AB ALUC9.40JU ALUC10.3AB ALUC10.75A ALUC10.75J ALUV10.75A PBRC18.4AB PBRC18.4JU PBRC22.4AB PBRC22.4JU PBRC26.4AB PBRC26.4JU PBRC30.4AB PBRC30.4JU PBRC34.4AB PBRC34.4JU PBRC38.4AB PBRC38.4JU PBRC42.4AB PBRC42.4JU PBRC58.4AB PBRC74.4AB PBRV18.4AB PBRV22.4AB PBRV26.4AB PBRV30.4AB PBRV34.4AB BHIC6.05AB BHIC6.65AB BRIC52.0AB BRIC54.0AB BRIC56.0AB CECC4.60AB CECC5.00AB CELC7.00AB COMC2.00AB COMC2.00JU COMC2.20JU

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

5.780 5.800 7.600 9.400 9.400 10.300 10.700 10.700 10.700 18.400 18.400 22.400 22.400 26.400 26.400 30.400 30.400 34.400 34.400 38.400 38.400 42.400 42.400 58.400 74.400 18.400 22.400 26.400 30.400 34.400 6.050 6.650 52.000 54.000 56.000 4.600 5.000 7.000 2.000 2.000 2.200

A JU AB AB JU AB A J A AB JU AB JU AB JU AB JU AB JU AB JU AB JU AB AB AB AB AB AB AB AB AB AB AB AB AB AB AB AB JU JU

50.00 113.00 50.00 50.00 113.00 50.00 50.00 113.00 50.00 50.00 113.00 50.00 113.00 50.00 113.00 50.00 113.00 50.00 113.00 50.00 113.00 50.00 113.00 50.00 50.00 50.00 50.00 50.00 50.00 50.00 50.00 50.00 50.00 50.00 50.00 50.00 50.00 50.00 50.00 113.00 113.00

4.25 4.85 2.70 1.10 1.90 0.48 0.00 0.00 0.00 9.90 0.00 6.10 0.00 3.41 4.70 1.77 3.00 0.85 0.00 0.48 0.00 0.25 0.00 0.00 0.00 0.40 0.75 2.00 0.00 0.00 0.00 0.00 4.50 0.00 0.00 0.60 0.32 0.00 1.55 1.75 0.00

5% 5% 5% 7% 0% 37% 1% -2% 0% 0% 1% 0% 1% 7% -11% 0% 7% 2% 0% -37% -35% -3% 9% -

4.24 4.50 2.55 1.19 1.79 0.73 0.58 1.16 1.07 10.00 11.28 6.78 8.55 4.28 6.36 2.54 4.66 1.43 3.39 0.78 2.45 0.42 1.77 0.03 0.00 0.19 0.82 2.16 4.27 7.01 1.24 0.82 4.29 3.30 2.48 0.54 0.34 2.53 1.52 1.61 1.43

-0.002 -0.072 -0.057 0.081 -0.060 0.524 0.010 0.112 0.254 0.353 0.433 0.555 0.687 0.630 0.672 -0.519 0.090 0.079 -0.047 -0.102 0.049 -0.021 -0.081 -

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

Valor Intrínseco

Cobertura %

Tasa Lanzam. %

4.02 4.00 2.20 0.40 0.40

43.37% 49.49% 27.55% 11.22% 19.39% 4.90%

4.1% 17.2% 7.0% 8.0% 19.0% 10.5%

36.00%

4.5%

22.18%

4.7%

12.40% 17.09% 6.44% 10.91% 3.09%

9.6% 15.8% 18.2% 24.1% 29.1%

1.75%

42.1%

0.91%

55.6%

8.66%

9.6%

12.61% 6.72%

10.6% 12.6%

45.06% 50.87%

5.8% 18.3%

0.90 9.10 9.10 5.10 5.10 1.10 1.10

2.90 6.90 0.90 0.30

0.16 2.25 1.44 1.44 1.24

Delta

Gamma

Vega

Theta

Rho

Efecto Palanca

Volat. Implícita

Volumen

0.998 0.986 0.942 0.693 0.720 0.519 0.443 0.559 -0.557 0.950 0.908 0.835 0.812 0.662 0.696 0.477 0.576 0.317 0.465 0.198 0.368 0.118 0.287 0.012 0.001 -0.050 -0.165 -0.338 -0.523 -0.683 0.854 0.706 0.626 0.533 0.442 0.686 0.517 0.979 1.000 0.997 0.991

0.003 0.012 0.059 0.180 0.115 0.204 0.202 0.135 0.202 0.013 0.014 0.031 0.022 0.045 0.029 0.049 0.032 0.044 0.033 0.034 0.031 0.024 0.028 0.004 0.000 0.013 0.031 0.045 0.049 0.044 0.178 0.267 0.046 0.048 0.048 0.396 0.445 0.034 0.001 0.010 0.029

0.000 0.002 0.004 0.013 0.018 0.015 0.014 0.022 0.014 0.011 0.025 0.025 0.041 0.038 0.054 0.041 0.060 0.037 0.061 0.029 0.058 0.020 0.052 0.003 0.000 0.011 0.025 0.038 0.041 0.037 0.006 0.009 0.074 0.077 0.077 0.006 0.007 0.002 0.000 0.000 0.000

-0.031 -0.031 -0.052 -0.077 -0.059 -0.077 -0.073 -0.059 -0.018 -0.145 -0.135 -0.225 -0.175 -0.279 -0.199 -0.279 -0.206 -0.238 -0.199 -0.180 -0.182 -0.125 -0.160 -0.019 -0.002 -0.049 -0.109 -0.142 -0.121 -0.059 -0.046 -0.052 -0.366 -0.356 -0.333 -0.037 -0.036 -0.040 -0.010 -0.010 -0.011

0.008 0.016 0.009 0.008 0.016 0.006 0.005 0.013 -0.009 0.023 0.043 0.023 0.043 0.019 0.040 0.015 0.035 0.010 0.029 0.007 0.024 0.004 0.019 0.000 0.000 -0.002 -0.007 -0.016 -0.026 -0.036 0.007 0.006 0.039 0.034 0.029 0.004 0.003 0.009 0.003 0.006 0.006

2.31 2.15 3.63 5.71 3.95 6.95 7.52 4.72 5.13 2.61 2.21 3.39 2.61 4.26 3.01 5.17 3.40 6.07 3.77 6.95 4.13 7.79 4.48 10.75 13.17 7.21 5.54 4.30 3.38 2.68 4.79 5.99 7.58 8.40 9.25 6.06 7.33 3.58 2.27 2.13 2.39

67% 50% 79% 46% 59% 36% 68% 45% 56% 48% 60% 52% 62% 68% 70% 95% 76% 75% 45% 60% 48% 50% 50% -

28105 485000 460540 109539 297730 46772 43340 537126 1003354 940 1217061 3000 144784 12298 25432 5565 14358 47959 4500 14520 3200 136370 8225 -

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

Reporte de Opciones

Subyacente Precio

EDN

ERAR

FRAN GGAL

3.44 3.44 3.44 3.44 3.44 3.44 3.44 3.44 3.44 3.44 3.44 3.44 3.44 12.65 12.65 12.65 12.65 12.65 12.65 12.65 12.65 7.90 7.90 7.90 7.90 7.90 7.90 7.90 7.90 7.90 7.90 7.90 7.90 111.75 111.75 45.15 45.15 45.15 45.15 45.15 45.15 45.15 45.15 45.15 45.15 45.15 45.15

Serie

Tipo

Strike

Vto

Dias al Vto

Prima

% Var

Prima Teórica

Dif.vs Prima

Estado

COMC2.60AB COMC2.60JU COMC3.00AB COMC3.00JU COMC3.15AB COMC3.30AB COMC3.45AB COMC3.60AB COMC3.75AB COMC3.90AB COMC4.05AB COMC4.20AB COMC4.90AB EDNC9.15AB EDNC11.2AB EDNC11.2JU EDNC12.7AB EDNC12.7JU EDNV9.15AB EDNV11.2AB EDNV11.2JU ERAC5.12AB ERAC5.12JU ERAC6.12AB ERAC6.12JU ERAC7.12AB ERAC7.37AB ERAC7.87AB ERAC8.12AB ERAC8.70AB ERAC9.10AB ERAC9.50AB ERAV7.62AB FRAC64.0AB FRAC96.0AB GFGC33.0AB GFGC35.0AB GFGC36.0AB GFGC37.0AB GFGC38.0AB GFGC39.0AB GFGC40.0AB GFGC41.0AB GFGC42.0MA GFGC42.0AB GFGC42.0JU GFGC43.0AB

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

2.600 2.600 3.000 3.000 3.150 3.300 3.450 3.600 3.750 3.900 4.050 4.200 4.900 9.150 11.200 11.200 12.700 12.700 9.150 11.200 11.200 5.120 5.120 6.120 6.120 7.120 7.370 7.870 8.120 8.700 9.100 9.500 7.620 64.000 96.000 33.000 35.000 36.000 37.000 38.000 39.000 40.000 41.000 42.000 42.000 42.000 43.000

AB JU AB JU AB AB AB AB AB AB AB AB AB AB AB JU AB JU AB AB JU AB JU AB JU AB AB AB AB AB AB AB AB AB AB AB AB AB AB AB AB AB AB MA AB JU AB

50.00 113.00 50.00 113.00 50.00 50.00 50.00 50.00 50.00 50.00 50.00 50.00 50.00 50.00 50.00 113.00 50.00 113.00 50.00 50.00 113.00 50.00 113.00 50.00 113.00 50.00 50.00 50.00 50.00 50.00 50.00 50.00 50.00 50.00 50.00 50.00 50.00 50.00 50.00 50.00 50.00 50.00 50.00 22.00 50.00 113.00 50.00

0.00 1.15 0.63 0.00 0.49 0.38 0.28 0.21 0.15 0.11 0.09 0.06 0.03 0.00 0.00 3.70 1.30 0.00 0.00 0.00 0.00 3.05 0.00 2.20 0.00 1.20 1.25 0.75 0.60 0.37 0.20 0.12 0.00 54.00 0.00 0.00 11.50 0.00 10.10 9.70 7.50 7.50 6.80 4.40 6.00 0.00 5.35

0% -8% -12% -3% -3% -1% -1% -4% -3% -4% -10% 12% 18% 0% 0% -14% 7% -6% -33% -8% -3% -20% 20% 9% 12% 24% 3% 10% 10% 26% 15% 15%

0.94 1.08 0.59 0.76 0.47 0.37 0.28 0.21 0.15 0.10 0.07 0.05 0.01 3.86 2.06 2.72 1.07 1.79 0.01 0.18 0.33 2.98 3.24 2.05 2.41 1.24 1.07 0.78 0.65 0.42 0.30 0.22 0.34 50.22 20.74 13.44 11.55 10.63 9.72 8.84 7.98 7.15 6.37 4.33 5.62 7.99 4.93

-0.065 -0.066 -0.028 -0.019 -0.002 -0.017 -0.011 -0.020 -0.184 -0.139 -0.805 -0.266 -0.174 -0.023 -0.067 0.037 -0.141 0.038 0.090 0.142 0.563 0.798 -0.070 0.005 -0.038 -0.089 0.064 -0.046 -0.064 -0.015 -0.063 -0.078

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

Valor Intrínseco

Cobertura %

Tasa Lanzam. %

33.43% 18.31%

13.5% 6.8%

14.10% 10.90% 8.14% 6.10% 4.36% 3.08% 2.53% 1.60% 0.81%

6.6% 7.7% 9.2% 11.5% 14.0% 17.0% 20.8% 24.1% 43.6%

29.25% 10.28%

25.1% 11.9%

2.78 2.78 1.78 1.78 0.78 0.53 0.03

38.61%

5.6%

27.85%

7.4%

15.19% 15.82% 9.49% 7.59% 4.68% 2.47% 1.52%

6.3% 10.8% 10.1% 11.2% 15.5% 18.1% 22.1%

47.75 15.75 12.15 10.15 9.15 8.15 7.15 6.15 5.15 4.15 3.15 3.15 3.15 2.15

48.32%

10.8%

25.47%

4.0%

22.37% 21.48% 16.61% 16.61% 15.06% 9.75% 13.29%

5.6% 7.2% 3.6% 6.2% 6.9% 3.1% 7.3%

11.85%

8.0%

0.84 0.84 0.44 0.44 0.29 0.14

3.50 1.45 1.45

Delta

Gamma

Vega

Theta

Rho

Efecto Palanca

Volat. Implícita

Volumen

0.982 0.953 0.884 0.858 0.812 0.723 0.621 0.516 0.413 0.320 0.240 0.174 0.028 0.987 0.850 0.830 0.615 0.677 -0.013 -0.150 -0.170 0.994 0.974 0.947 0.908 0.798 0.745 0.625 0.563 0.421 0.334 0.257 -0.314 1.000 0.878 0.992 0.979 0.967 0.951 0.930 0.904 0.873 0.835 0.826 0.793 0.795 0.745

0.081 0.120 0.360 0.277 0.497 0.617 0.701 0.735 0.718 0.659 0.573 0.474 0.117 0.015 0.109 0.079 0.179 0.112 0.015 0.109 0.079 0.010 0.026 0.071 0.072 0.184 0.210 0.248 0.257 0.255 0.238 0.211 0.232 0.000 0.010 0.003 0.008 0.011 0.015 0.020 0.025 0.031 0.036 0.056 0.042 0.028 0.047

0.001 0.002 0.003 0.004 0.003 0.004 0.005 0.005 0.005 0.005 0.004 0.003 0.001 0.002 0.011 0.018 0.018 0.025 0.002 0.011 0.018 0.000 0.003 0.003 0.007 0.008 0.009 0.011 0.012 0.012 0.011 0.010 0.010 0.000 0.085 0.004 0.009 0.012 0.017 0.023 0.029 0.035 0.042 0.029 0.048 0.072 0.054

-0.015 -0.014 -0.020 -0.017 -0.023 -0.024 -0.024 -0.023 -0.021 -0.019 -0.016 -0.013 -0.003 -0.051 -0.081 -0.067 -0.092 -0.072 -0.004 -0.023 -0.011 -0.028 -0.028 -0.041 -0.037 -0.057 -0.060 -0.062 -0.062 -0.057 -0.051 -0.044 -0.022 -0.333 -0.693 -0.179 -0.200 -0.212 -0.226 -0.241 -0.256 -0.271 -0.285 -0.356 -0.296 -0.239 -0.305

0.003 0.007 0.003 0.007 0.003 0.003 0.003 0.002 0.002 0.001 0.001 0.001 0.000 0.012 0.012 0.024 0.009 0.021 0.000 -0.003 -0.008 0.007 0.014 0.008 0.015 0.007 0.007 0.006 0.005 0.004 0.003 0.003 -0.004 0.086 0.108 0.044 0.046 0.046 0.046 0.046 0.046 0.045 0.044 0.021 0.042 0.087 0.040

3.58 3.05 5.17 3.89 5.93 6.76 7.65 8.60 9.58 10.59 11.62 12.65 17.46 3.23 5.22 3.87 7.25 4.77 16.10 10.58 6.57 2.64 2.38 3.64 2.98 5.07 5.48 6.35 6.80 7.88 8.65 9.42 7.19 2.22 4.73 3.33 3.82 4.11 4.42 4.75 5.12 5.51 5.92 8.61 6.36 4.49 6.82

67% 56% 46% 44% 42% 43% 43% 43% 46% 44% 58% 92% 58% 89% 82% 46% 70% 49% 47% 47% 41% 41% 50% 28% 56% 66% 50% 49% 50% 43% 48% 48%

23925 285917 19400 242296 644724 531970 158506 77531 64886 21161 7510 1850 60460 22570 34630 18260 1250 15750 68846 37197 23177 13530 118800 20850 102130 31520 5850 276430 494475 21440 273915 597970

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

2

Reporte de Opciones

Subyacente Precio

INDU

LEDE MIRG

PAMP

45.15 45.15 45.15 45.15 45.15 45.15 45.15 45.15 45.15 45.15 45.15 45.15 45.15 45.15 45.15 45.15 45.15 45.15 45.15 45.15 45.15 45.15 45.15 45.15 3.53 3.53 3.53 3.53 3.53 13.00 967.00 967.00 967.00 967.00 967.00 967.00 967.00 967.00 967.00 967.00 967.00 14.00 14.00 14.00 14.00 14.00 14.00

Serie

Tipo

Strike

Vto

Dias al Vto

Prima

% Var

Prima Teórica

Dif.vs Prima

Estado

GFGC43.0JU GFGC44.0AB GFGC45.0AB GFGC45.0JU GFGC46.0AB GFGC47.0AB GFGC48.0AB GFGC50.0AB GFGC50.0JU GFGC51.0AB GFGC52.0AB GFGV11.0AB GFGV35.0AB GFGV38.0AB GFGV38.0JU GFGV39.0AB GFGV40.0AB GFGV40.0JU GFGV42.0AB GFGV42.0JU GFGV43.0AB GFGV44.0AB GFGV44.0JU GFGV46.0AB INDC3.20AB INDC3.20JU INDC3.60AB INDC3.60JU INDC4.00AB LEDC10.0AB MIRC500.AB MIRC620.AB MIRC700.AB MIRC740.JU MIRC800.JU MIRC800.AB MIRC820.AB MIRC900.AB MIRC940.AB MIRC940.JU MIRV700.AB PAMC9.10AB PAMC9.10JU PAMC10.7AB PAMC12.7AB PAMC13.1AB PAMC14.3AB

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

43.000 44.000 45.000 45.000 46.000 47.000 48.000 50.000 50.000 51.000 52.000 11.000 35.000 38.000 38.000 39.000 40.000 40.000 42.000 42.000 43.000 44.000 44.000 46.000 3.200 3.200 3.600 3.600 4.000 10.000 500.000 620.000 700.000 740.000 800.000 800.000 820.000 900.000 940.000 940.000 700.000 9.100 9.100 10.700 12.700 13.100 14.300

JU AB AB JU AB AB AB AB JU AB AB AB AB AB JU AB AB JU AB JU AB AB JU AB AB JU AB JU AB AB AB AB AB JU JU AB AB AB AB JU AB AB JU AB AB AB AB

113.00 50.00 50.00 113.00 50.00 50.00 50.00 50.00 113.00 50.00 50.00 50.00 50.00 50.00 113.00 50.00 50.00 113.00 50.00 113.00 50.00 50.00 113.00 50.00 50.00 113.00 50.00 113.00 50.00 50.00 50.00 50.00 50.00 113.00 113.00 50.00 50.00 50.00 50.00 113.00 50.00 50.00 113.00 50.00 50.00 50.00 50.00

0.00 4.60 4.15 5.00 3.70 3.27 2.85 2.15 3.90 0.00 1.50 0.04 0.16 0.40 0.00 0.00 0.00 0.00 1.35 1.50 0.00 2.20 2.50 3.00 0.70 0.00 0.00 0.00 0.00 0.00 420.00 0.00 275.00 0.00 295.00 220.00 0.00 134.00 100.00 0.00 0.00 5.40 6.00 0.00 2.10 1.65 1.15

11% 13% 25% 19% 20% 0% 19% 22% 0% 0% -11% -11% -21% 0% -19% 0% -12% 1% 0% 15% 18% 10% 34% 0% 2% 0% 17% 11% 16%

7.35 4.29 3.70 6.15 3.17 2.69 2.27 1.58 3.76 1.30 1.06 0.00 0.06 0.22 0.55 0.33 0.46 0.87 0.86 1.31 1.13 1.45 1.88 2.25 0.54 0.74 0.31 0.52 0.15 3.48 486.42 373.06 301.22 318.35 277.87 220.09 205.41 152.70 130.11 197.90 7.26 5.26 5.75 3.80 2.25 1.99 1.33

-0.067 -0.108 0.230 -0.143 -0.176 -0.203 -0.266 -0.035 -0.291 -1.000 -0.644 -0.445 -0.365 -0.124 -0.343 -0.246 -0.250 -0.225 0.158 0.095 -0.058 0.000 0.140 0.301 -0.025 -0.042 0.070 0.205 0.159

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

Valor Intrínseco 2.15 1.15 0.15 0.15

0.85 0.33 0.33

3.00 467.00 347.00 267.00 227.00 167.00 167.00 147.00 67.00 27.00 27.00 4.90 4.90 3.30 1.30 0.90

Cobertura %

Tasa Lanzam. %

10.19% 9.19% 11.07% 8.19% 7.24% 6.31% 4.76% 8.64%

8.5% 9.8% 12.1% 11.0% 12.2% 13.5% 16.3% 21.2%

3.32%

19.1%

19.83%

13.1%

43.43%

-8.6%

28.44%

1.2%

30.51% 22.75%

19.0% 7.1%

13.86% 10.34%

8.0% 8.4%

38.57% 42.86%

5.8% 13.8%

15.00% 11.79% 8.21%

6.7% 6.1% 11.3%

Delta

Gamma

Vega

Theta

Rho

Efecto Palanca

Volat. Implícita

Volumen

0.764 0.694 0.640 0.697 0.584 0.528 0.472 0.367 0.520 0.318 0.274 0.000 -0.021 -0.070 -0.103 -0.096 -0.127 -0.149 -0.207 -0.205 -0.255 -0.306 -0.269 -0.416 0.790 0.784 0.579 0.648 0.365 0.931 0.998 0.978 0.939 0.869 0.820 0.847 0.823 0.713 0.652 0.690 -0.061 0.988 0.960 0.936 0.769 0.724 0.576

0.030 0.052 0.055 0.034 0.057 0.058 0.058 0.055 0.039 0.052 0.049 0.000 0.008 0.020 0.018 0.025 0.031 0.023 0.042 0.028 0.047 0.052 0.032 0.057 0.421 0.286 0.572 0.363 0.549 0.046 0.000 0.000 0.000 0.001 0.001 0.001 0.001 0.001 0.001 0.001 0.000 0.010 0.019 0.041 0.100 0.110 0.128

0.078 0.059 0.063 0.088 0.066 0.067 0.067 0.064 0.101 0.060 0.056 0.000 0.009 0.023 0.045 0.029 0.035 0.059 0.048 0.072 0.054 0.059 0.083 0.066 0.004 0.006 0.005 0.007 0.005 0.006 0.024 0.188 0.438 1.151 1.417 0.855 0.939 1.231 1.335 1.908 0.438 0.002 0.007 0.007 0.016 0.017 0.020

-0.243 -0.310 -0.311 -0.246 -0.307 -0.300 -0.289 -0.257 -0.231 -0.237 -0.216 0.000 -0.018 -0.044 -0.028 -0.054 -0.064 -0.032 -0.079 -0.032 -0.082 -0.082 -0.028 -0.069 -0.026 -0.020 -0.028 -0.021 -0.024 -0.072 -2.693 -3.971 -5.325 -5.231 -5.755 -7.244 -7.594 -8.678 -8.973 -6.537 -1.698 -0.053 -0.053 -0.076 -0.110 -0.114 -0.118

0.085 0.038 0.035 0.079 0.032 0.030 0.027 0.021 0.062 0.018 0.016 0.000 -0.001 -0.005 -0.016 -0.006 -0.009 -0.024 -0.014 -0.033 -0.018 -0.021 -0.044 -0.029 0.003 0.006 0.002 0.006 0.002 0.012 0.669 0.800 0.847 1.629 1.609 0.836 0.825 0.750 0.700 1.465 -0.093 0.012 0.024 0.013 0.012 0.011 0.009

4.69 7.30 7.80 5.12 8.31 8.84 9.38 10.49 6.23 11.06 11.63 64.68 17.00 14.13 8.45 13.26 12.44 7.72 10.92 7.05 10.22 9.56 6.44 8.35 5.14 3.72 6.69 4.40 8.37 3.48 1.98 2.54 3.01 2.64 2.85 3.72 3.87 4.51 4.85 3.37 8.16 2.63 2.34 3.44 4.79 5.10 6.05

46% 47% 27% 48% 49% 49% 49% 42% 48% 50% 49% 47% 50% 43% 53% 48% 52% 89% 50% 50% 80% 68% 53% 46% 92% 84% 49% 38% 49%

870177 2415138 2500 639878 3175476 126615 1212418 132890 66290 3620 1498 3820 42330 4500 15880 7500 77300 4480 42000 82500 109800 79000 34400 79500 94700 2400 63788 106177 25376

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

3

Reporte de Opciones

Subyacente Precio

PESA

SAMI

TECO2

TGNO4 TGSU2

TRAN TS

YPFD

14.00 14.00 14.00 14.00 9.80 9.80 9.80 9.80 54.45 54.45 54.45 54.45 55.50 55.50 55.50 55.50 55.50 7.50 19.60 19.60 19.60 19.60 7.55 7.55 153.50 153.50 153.50 153.50 153.50 153.50 153.50 290.00 290.00 290.00 290.00 290.00 290.00 290.00 290.00 290.00 290.00 290.00 290.00 290.00

Serie

Tipo

Strike

Vto

Dias al Vto

Prima

% Var

Prima Teórica

Dif.vs Prima

Estado

PAMC15.1AB PAMC15.5AB PAMV12.7AB PAMV12.7JU PSAC9.55AB PSAC10.8AB PSAC11.2AB PSAV9.55AB SAMC36.0AB SAMC40.0AB SAMC50.0AB SAMC55.0AB TECC46.6AB TECC46.6JU TECC52.6AB TECC52.6JU TECC56.6AB TGNC7.50AB TGSC17.5AB TGSC17.5JU TGSC19.9AB TGSC19.9JU TRAC7.00AB TRAC7.90AB TS.C145.AB TS.C155.AB TS.C165.AB TS.C175.AB TS.C185.AB TS.C195.AB TS.V145.AB YPFC200.AB YPFC200.JU YPFC220.JU YPFC220.AB YPFC240.AB YPFC260.AB YPFC280.AB YPFC300.AB YPFC320.AB YPFC340.AB YPFV220.AB YPFV240.AB YPFV280.AB

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

15.100 15.500 12.700 12.700 9.550 10.800 11.200 9.550 36.000 40.000 50.000 55.000 46.600 46.600 52.600 52.600 56.600 7.500 17.500 17.500 19.900 19.900 7.000 7.900 145.000 155.000 165.000 175.000 185.000 195.000 145.000 200.000 200.000 220.000 220.000 240.000 260.000 280.000 300.000 320.000 340.000 220.000 240.000 280.000

AB AB AB JU AB AB AB AB AB AB AB AB AB JU AB JU AB AB AB JU AB JU AB AB AB AB AB AB AB AB AB AB JU JU AB AB AB AB AB AB AB AB AB AB

50.00 50.00 50.00 113.00 50.00 50.00 50.00 50.00 50.00 50.00 50.00 50.00 50.00 113.00 50.00 113.00 50.00 50.00 50.00 113.00 50.00 113.00 50.00 50.00 50.00 50.00 50.00 50.00 50.00 50.00 50.00 50.00 113.00 113.00 50.00 50.00 50.00 50.00 50.00 50.00 50.00 50.00 50.00 50.00

0.68 0.51 0.40 0.00 0.00 0.33 0.19 0.70 18.75 0.00 6.50 0.00 0.00 0.00 7.00 0.00 0.00 0.00 0.00 0.00 1.38 0.00 0.00 0.63 0.00 10.00 8.50 5.00 2.85 0.00 0.00 0.00 0.00 0.00 0.00 0.00 40.00 28.00 19.00 10.00 6.00 0.00 0.00 16.00

8% 2% -50% 10% 0% 0% -4% -7% 0% 0% -3% -50% -32% 0% -5% 11% 36% 46% 186% 50% 7%

0.99 0.85 0.46 0.73 1.02 0.45 0.34 0.40 19.87 16.12 7.96 5.01 11.56 14.57 7.37 10.83 5.21 0.68 3.25 4.37 1.80 3.01 1.06 0.57 19.86 14.22 9.83 6.57 4.26 2.68 5.77 98.14 108.97 92.89 79.90 62.90 47.76 34.95 24.68 16.84 11.14 1.43 3.66 14.17

0.461 0.669 0.145 0.371 0.771 -0.428 0.059 0.225 0.053 0.302 -0.092 0.422 0.156 0.313 0.493 0.194 0.248 0.299 0.684 0.857 -0.114

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

Valor Intrínseco

Cobertura %

Tasa Lanzam. %

4.86% 3.65%

13.4% 14.9%

3.37% 1.94%

14.0% 16.5%

34.44%

0.8%

11.94%

4.3%

12.61%

8.5%

7.04%

9.2%

8.34%

14.2%

6.51% 5.54% 3.26% 1.86%

8.0% 13.8% 17.8% 22.8%

13.79% 9.66% 6.55% 3.45% 2.07%

4.0% 6.9% 10.7% 14.3% 19.7%

0.25

18.45 14.45 4.45 8.90 8.90 2.90 2.90

2.10 2.10

0.55 8.50

90.00 90.00 70.00 70.00 50.00 30.00 10.00

Delta

Gamma

Vega

Theta

Rho

Efecto Palanca

Volat. Implícita

Volumen

0.477 0.429 -0.231 -0.232 0.677 0.405 0.327 -0.323 0.992 0.970 0.769 0.598 0.867 0.838 0.707 0.727 0.579 0.622 0.805 0.793 0.587 0.652 0.752 0.527 0.722 0.598 0.472 0.356 0.258 0.179 -0.278 0.981 0.949 0.908 0.948 0.886 0.794 0.678 0.552 0.428 0.318 -0.052 -0.114 -0.322

0.131 0.129 0.100 0.067 0.209 0.225 0.210 0.209 0.002 0.006 0.029 0.036 0.018 0.014 0.029 0.019 0.033 0.285 0.070 0.048 0.099 0.063 0.212 0.267 0.011 0.013 0.013 0.012 0.011 0.009 0.011 0.001 0.001 0.002 0.002 0.003 0.005 0.006 0.007 0.007 0.006 0.002 0.003 0.006

0.021 0.021 0.016 0.024 0.013 0.014 0.013 0.013 0.004 0.014 0.062 0.079 0.044 0.076 0.071 0.103 0.081 0.011 0.020 0.031 0.029 0.040 0.009 0.011 0.193 0.222 0.228 0.214 0.185 0.150 0.193 0.049 0.170 0.267 0.116 0.209 0.309 0.389 0.429 0.425 0.387 0.116 0.209 0.389

-0.114 -0.110 -0.044 -0.021 -0.073 -0.065 -0.058 -0.023 -0.200 -0.248 -0.405 -0.431 -0.371 -0.305 -0.450 -0.339 -0.461 -0.056 -0.142 -0.112 -0.158 -0.120 -0.057 -0.059 -1.186 -1.220 -1.162 -1.032 -0.859 -0.676 -0.434 -1.193 -1.185 -1.374 -1.491 -1.842 -2.161 -2.352 -2.362 -2.198 -1.909 -0.351 -0.599 -0.901

0.008 0.007 -0.005 -0.012 0.008 0.005 0.004 -0.005 0.048 0.051 0.047 0.038 0.051 0.100 0.045 0.092 0.038 0.006 0.018 0.035 0.014 0.031 0.006 0.005 0.127 0.108 0.088 0.067 0.049 0.035 -0.068 0.261 0.519 0.532 0.272 0.271 0.255 0.226 0.189 0.150 0.113 -0.023 -0.051 -0.150

6.71 7.05 7.05 4.44 6.51 8.76 9.52 7.91 2.72 3.27 5.26 6.49 4.16 3.19 5.32 3.73 6.17 6.87 4.86 3.56 6.40 4.24 5.34 6.95 5.58 6.46 7.38 8.33 9.29 10.25 7.40 2.90 2.53 2.83 3.44 4.08 4.82 5.63 6.48 7.37 8.27 10.57 9.04 6.59

43% 41% 55% 38% 35% 69% 50% 22% 52% 39% 58% 34% 47% 45% 45% 50% 37% 42% 39% 41% 60%

43467 86270 1000 17650 4260 1750 3750 3250 7000 14124 52148 5000 70050 8725 7230 75625 60350 62250 1000 24100 1600

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

4

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

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]