Reporte de Opciones

Flavia Matsuda Analista Cuantitativo @FlaviMatsuda [email protected]

miércoles, 31 de agosto de 2016 Subyacente

Precio

Serie

Tipo

Strike

Vto

Dias al Vto

Prima

% Var

Prima Teórica

Dif.vs Prima

Estado

ALUA

9.50 9.50 9.50 9.50 9.50 9.50 9.50 9.50 9.50 9.50 68.00 68.00 68.00 68.00 68.00 68.00 68.00 68.00 68.00 68.00 68.00 68.00 68.00 68.00 68.00 68.00 68.00 68.00 68.00 68.00 68.00 68.00 68.00 68.00 68.00 68.00 68.00 68.00 68.00 68.00 68.00

ALUC5.80OC ALUC5.80DI ALUC5.80FE ALUC6.70OC ALUC6.70DI ALUC8.50OC ALUC9.40OC ALUC9.40DI ALUC10.75O ALUC10.75D PBRC18.4OC PBRC18.4DI PBRC22.4OC PBRC26.4DI PBRC30.4OC PBRC30.4FE PBRC34.4OC PBRC42.4FE PBRC46.4OC PBRC54.4OC PBRC58.4OC PBRC62.4OC PBRC62.4DI PBRC66.4OC PBRC66.4DI PBRC70.4OC PBRC70.4DI PBRC74.4OC PBRC74.4DI PBRC78.4OC PBRC78.4DI PBRC82.4SE PBRC82.4OC PBRC82.4DI PBRV18.4SE PBRV18.4OC PBRV42.4OC PBRV46.4OC PBRV50.4SE PBRV50.4OC PBRV54.4OC

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 Put Put Put Put Put

5.800 5.800 5.800 6.700 6.700 8.500 9.400 9.400 10.700 10.700 18.400 18.400 22.400 26.400 30.400 30.400 34.400 42.400 46.400 54.400 58.400 62.400 62.400 66.400 66.400 70.400 70.400 74.400 74.400 78.400 78.400 82.400 82.400 82.400 18.400 18.400 42.400 46.400 50.400 50.400 54.400

OC DI FE OC DI OC OC DI O D OC DI OC DI OC FE OC FE OC OC OC OC DI OC DI OC DI OC DI OC DI SE OC DI SE OC OC OC SE OC OC

43.00 106.00 168.00 43.00 106.00 43.00 43.00 106.00 43.00 106.00 43.00 106.00 43.00 106.00 43.00 168.00 43.00 168.00 43.00 43.00 43.00 43.00 106.00 43.00 106.00 43.00 106.00 43.00 106.00 43.00 106.00 15.00 43.00 106.00 15.00 43.00 43.00 43.00 15.00 43.00 43.00

0.00 0.00 0.00 0.00 0.00 1.30 0.60 1.15 0.15 0.55 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 25.00 14.50 11.70 8.75 11.00 6.37 0.00 4.43 6.35 2.80 4.75 1.75 3.50 0.00 1.08 0.00 0.00 0.05 0.00 0.00 0.00 0.00 0.00

-18% -6% 0% -25% -21% -6% -15% -11% -16% -15% -18% -19% 25% -19% 0% -15% -16% -14% 25% -

3.88 4.13 4.37 3.01 3.30 1.29 0.59 1.03 0.09 0.40 50.18 50.97 46.30 43.57 38.55 41.12 34.68 30.78 23.09 15.65 12.25 9.23 13.13 6.69 10.78 4.66 8.75 3.12 7.01 2.01 5.57 0.14 1.26 4.38 0.00 0.00 0.01 0.03 0.00 0.11 0.34

-0.007 -0.024 -0.103 -0.383 -0.280 -0.077 0.079 0.047 0.055 0.194 0.050 0.051 0.377 0.114 0.477 0.151 0.591 0.164 -1.000 -

ITM ITM ITM ITM ITM ITM ITM ITM OTM OTM 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

APBR

Valor Intrínseco 3.70 3.70 3.70 2.80 2.80 1.00 0.10 0.10

49.60 49.60 45.60 41.60 37.60 37.60 33.60 25.60 21.60 13.60 9.60 5.60 5.60 1.60 1.60

Cobertura %

Tasa Lanzam. %

13.68% 6.32% 12.11% 1.58% 5.79%

3.7% 5.6% 12.6% 14.4% 19.6%

36.76% 21.32% 17.21% 12.87% 16.18% 9.37%

7.9% 1.7% 3.7% 5.3% 9.5% 7.7%

6.51% 9.34% 4.12% 6.99% 2.57% 5.15%

10.7% 14.2% 14.1% 17.6% 18.3% 21.6%

1.59%

23.1%

Delta

Gamma

Vega

Theta

Rho

Efecto Palanca

Volat. Implícita

Volumen

1.000 1.000 1.000 1.000 0.998 0.939 0.689 0.748 0.193 0.419 1.000 1.000 1.000 1.000 1.000 0.998 1.000 0.972 0.993 0.939 0.873 0.777 0.769 0.658 0.694 0.529 0.615 0.404 0.536 0.294 0.460 0.049 0.204 0.389 0.000 0.000 -0.001 -0.007 -0.001 -0.024 -0.061

0.000 0.000 0.001 0.000 0.004 0.133 0.390 0.226 0.303 0.277 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.003 0.002 0.010 0.018 0.025 0.016 0.031 0.019 0.033 0.021 0.033 0.021 0.029 0.021 0.014 0.024 0.021 0.000 0.000 0.000 0.002 0.001 0.005 0.010

0.000 0.000 0.000 0.000 0.000 0.004 0.012 0.016 0.009 0.020 0.000 0.000 0.000 0.000 0.000 0.003 0.000 0.030 0.005 0.029 0.049 0.071 0.112 0.087 0.129 0.094 0.141 0.091 0.146 0.081 0.146 0.014 0.067 0.141 0.000 0.000 0.001 0.005 0.001 0.013 0.029

-0.029 -0.027 -0.026 -0.033 -0.032 -0.047 -0.056 -0.046 -0.029 -0.036 -0.090 -0.086 -0.110 -0.124 -0.149 -0.139 -0.169 -0.211 -0.244 -0.359 -0.437 -0.504 -0.384 -0.541 -0.398 -0.536 -0.400 -0.490 -0.391 -0.417 -0.372 -0.175 -0.332 -0.345 0.000 0.000 -0.004 -0.016 -0.006 -0.044 -0.092

0.007 0.016 0.024 0.008 0.018 0.009 0.007 0.018 0.002 0.011 0.021 0.050 0.026 0.072 0.035 0.124 0.040 0.163 0.054 0.058 0.057 0.053 0.115 0.046 0.107 0.038 0.097 0.029 0.086 0.022 0.075 0.001 0.015 0.065 0.000 0.000 0.000 -0.001 0.000 -0.002 -0.005

2.45 2.30 2.17 3.16 2.87 6.91 11.18 6.89 19.85 10.06 1.36 1.33 1.47 1.56 1.76 1.65 1.96 2.15 2.92 4.08 4.84 5.72 3.98 6.68 4.38 7.72 4.79 8.80 5.20 9.91 5.62 23.65 11.03 6.03 119.30 44.61 19.08 16.55 32.52 14.31 12.33

29% 29% 34% 33% 35% 50% 50% 37% 43% 29% 47% 48% 33% 47% 35% 47% 36% 48% 50% -

2600 8944 4800 5154 1690 2500 7270 121960 336735 50120 872983 2649193 39075 1351584 22800 289653 1750 135047 500 -

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

Reporte de Opciones

Subyacente

AUSO BHIP

CADO CAPU CAPX CARC CECO2 CELU COME

CRES

Precio

Serie

Tipo

Strike

Vto

Dias al Vto

Prima

% Var

Prima Teórica

Dif.vs Prima

Estado

68.00 68.00 68.00 68.00 68.00 68.00 36.00 7.50 7.50 7.50 7.50 11.15 23.20 21.35 21.35 3.45 7.12 7.12 19.90 19.90 3.03 3.03 3.03 3.03 3.03 3.03 3.03 3.03 3.03 3.03 3.03 3.03 3.03 3.03 3.03 3.03 3.03 3.03 3.03 3.03 3.03 3.03 3.03 26.40 26.40 26.40 26.40

PBRV58.4OC PBRV62.4OC PBRV66.4OC PBRV66.4DI PBRV70.4OC PBRV74.4OC AUSC30.0OC BHIC6.65OC BHIC7.25OC BHIC7.25DI BHIC8.05OC CADC9.00OC CPUC26.0OC CAPC20.0OC CAPC20.0DI CACC2.30OC CECC7.10OC CECC7.10DI CELC16.0OC CELC16.0DI COMC2.00OC COMC2.00DI COMC2.00FE COMC2.20OC COMC2.60OC COMC2.80OC COMC3.00OC COMC3.00DI COMC3.15OC COMC3.15DI COMC3.30OC COMC3.30DI COMC3.30FE COMC3.45OC COMC3.60OC COMC3.75OC COMC3.90OC COMC3.90DI COMC4.05OC COMC4.05DI COMV2.00OC COMV3.00OC COMV3.15OC CREC11.0OC CREC11.0DI CREC11.0FE CREC14.0DI

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 Put Put Put Call Call Call Call

58.400 62.400 66.400 66.400 70.400 74.400 30.000 6.650 7.250 7.250 8.050 9.000 26.000 20.000 20.000 2.300 7.100 7.100 16.000 16.000 2.000 2.000 2.000 2.200 2.600 2.800 3.000 3.000 3.150 3.150 3.300 3.300 3.300 3.450 3.600 3.750 3.900 3.900 4.050 4.050 2.000 3.000 3.150 11.000 11.000 11.000 14.000

OC OC OC DI OC OC OC OC OC DI OC OC OC OC DI OC OC DI OC DI OC DI FE OC OC OC OC DI OC DI OC DI FE OC OC OC OC DI OC DI OC OC OC OC DI FE DI

43.00 43.00 43.00 106.00 43.00 43.00 43.00 43.00 43.00 106.00 43.00 43.00 43.00 43.00 106.00 43.00 43.00 106.00 43.00 106.00 43.00 106.00 168.00 43.00 43.00 43.00 43.00 106.00 43.00 106.00 43.00 106.00 168.00 43.00 43.00 43.00 43.00 106.00 43.00 106.00 43.00 43.00 43.00 43.00 106.00 168.00 106.00

0.74 1.43 2.65 0.00 4.40 6.40 0.00 0.00 0.00 0.00 0.05 0.00 0.00 0.00 0.00 0.00 0.60 0.00 0.00 0.00 1.08 1.18 0.00 0.00 0.00 0.32 0.20 0.00 0.13 0.00 0.07 0.18 0.00 0.04 0.03 0.03 0.00 0.00 0.00 0.00 0.00 0.00 0.20 0.00 16.80 0.00 0.00

10% 14% 10% 10% 15% -90% 13% -4% -3% -20% -5% -5% -1% 5% -16% 22% -24% 0% 2% -

0.82 1.67 3.00 4.22 4.85 7.18 7.14 1.07 0.57 0.92 0.16 2.52 0.83 2.53 3.74 1.39 0.50 0.87 4.41 5.12 1.09 1.18 1.26 0.90 0.52 0.34 0.20 0.34 0.12 0.26 0.07 0.19 0.31 0.03 0.01 0.01 0.00 0.04 0.00 0.03 0.00 0.07 0.14 15.75 16.22 16.67 13.45

0.104 0.171 0.133 0.101 0.122 2.147 -0.168 0.012 0.000 0.066 -0.032 -0.088 -0.097 0.051 -0.094 -0.546 -0.746 -0.302 -0.034 -

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

Valor Intrínseco

Cobertura %

Tasa Lanzam. %

2.40 6.40 6.00 0.85 0.25 0.25 0.67%

8.1%

8.43%

8.9%

35.64% 38.94%

2.6% 8.1%

10.56% 6.73%

3.3% 6.2%

4.29%

8.6%

2.38% 5.94%

11.6% 15.8%

1.19% 1.09% 0.83%

15.2% 20.1% 24.8%

63.64%

14.6%

2.15 1.35 1.35 1.15 0.02 0.02 3.90 3.90 1.03 1.03 1.03 0.83 0.43 0.23 0.03 0.03

0.12 15.40 15.40 15.40 12.40

Delta

Gamma

Vega

Theta

Rho

Efecto Palanca

Volat. Implícita

Volumen

-0.127 -0.223 -0.342 -0.306 -0.471 -0.596 0.927 0.955 0.776 0.802 0.354 0.915 0.345 0.752 0.755 0.861 0.630 0.690 0.995 0.978 1.000 0.999 0.996 1.000 0.964 0.864 0.673 0.729 0.495 0.624 0.326 0.514 0.611 0.193 0.102 0.049 0.022 0.165 0.009 0.115 0.000 -0.327 -0.505 1.000 1.000 1.000 1.000

0.018 0.025 0.031 0.019 0.033 0.033 0.025 0.137 0.432 0.258 0.538 0.072 0.094 0.091 0.058 0.120 0.406 0.243 0.007 0.017 0.000 0.007 0.017 0.004 0.248 0.679 1.121 0.659 1.239 0.756 1.120 0.794 0.608 0.850 0.554 0.316 0.160 0.495 0.073 0.387 0.000 1.121 1.239 0.000 0.000 0.000 0.000

0.049 0.071 0.087 0.129 0.094 0.091 0.017 0.002 0.008 0.011 0.010 0.006 0.030 0.023 0.036 0.003 0.009 0.014 0.001 0.006 0.000 0.000 0.000 0.000 0.001 0.002 0.004 0.005 0.004 0.006 0.004 0.007 0.008 0.003 0.002 0.001 0.001 0.004 0.000 0.003 0.000 0.004 0.004 0.000 0.000 0.000 0.000

-0.149 -0.197 -0.214 -0.086 -0.190 -0.124 -0.195 -0.036 -0.043 -0.036 -0.033 -0.066 -0.152 -0.156 -0.118 -0.040 -0.048 -0.037 -0.080 -0.078 -0.010 -0.009 -0.009 -0.011 -0.014 -0.017 -0.019 -0.015 -0.017 -0.015 -0.014 -0.013 -0.013 -0.010 -0.006 -0.003 -0.002 -0.006 -0.001 -0.005 0.000 -0.004 -0.002 -0.054 -0.052 -0.049 -0.066

-0.011 -0.020 -0.032 -0.073 -0.044 -0.058 0.032 0.007 0.006 0.015 0.003 0.009 0.009 0.016 0.036 0.002 0.005 0.012 0.019 0.042 0.002 0.005 0.008 0.003 0.003 0.003 0.002 0.005 0.002 0.005 0.001 0.004 0.007 0.001 0.000 0.000 0.000 0.001 0.000 0.001 0.000 -0.001 -0.002 0.013 0.030 0.045 0.038

10.59 9.07 7.75 4.92 6.62 5.65 4.68 6.68 10.19 6.54 16.86 4.04 9.65 6.33 4.31 2.14 8.98 5.63 4.50 3.80 2.77 2.57 2.39 3.37 5.65 7.67 10.32 6.41 12.66 7.30 15.21 8.24 6.06 17.90 20.67 23.49 26.31 12.24 29.11 13.26 43.05 13.54 10.96 1.68 1.63 1.58 1.96

49% 47% 46% 46% 42% 15% 48% 50% 35% 17% 32% 33% 32% 29% 32% 39% 42% 45% 50% -

8326 69656 418958 188329 30845 75 87617 185287 59000 9230 196586 107158 36647 3655 26945 915 750 4020 1680 -

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

2

Reporte de Opciones

Subyacente

CTIO

EDN

ERAR

FRAN GARO GGAL

Precio

Serie

Tipo

Strike

Vto

Dias al Vto

Prima

% Var

Prima Teórica

Dif.vs Prima

Estado

26.40 26.40 26.40 26.40 26.40 26.40 26.40 26.40 26.40 26.40 26.40 26.40 26.40 26.40 26.40 26.40 42.85 42.85 42.85 12.75 12.75 12.75 12.75 12.75 12.75 12.75 8.15 8.15 8.15 8.15 8.15 8.15 8.15 8.15 8.15 8.15 8.15 8.15 8.15 8.15 8.15 8.15 101.35 101.35 10.70 10.70 44.85

CREC19.0OC CREC20.0OC CREC22.0DI CREC22.0FE CREC23.0OC CREC24.0OC CREC25.0OC CREC25.0DI CREC26.0OC CREC27.0OC CREC28.0OC CREC28.0DI CREC29.0OC CREC30.0OC CREC30.0DI CREV26.0OC CTOC38.0OC CTOC46.0OC CTOC48.0OC EDNC9.15OC EDNC9.15DI EDNC11.2OC EDNC12.7OC EDNC12.7DI EDNC13.3OC EDNV11.2OC ERAC4.30OC ERAC4.30DI ERAC4.30FE ERAC5.70OC ERAC6.20OC ERAC7.20OC ERAC7.70OC ERAC7.70DI ERAC8.30OC ERAC8.30DI ERAC8.30FE ERAC8.70OC ERAC9.10OC ERAC9.50OC ERAV7.70OC ERAV8.30OC FRAC84.0OC FRAC78324O GARC10.5OC GARC11.0OC GFGC40.0DI

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

19.000 20.000 22.000 22.000 23.000 24.000 25.000 25.000 26.000 27.000 28.000 28.000 29.000 30.000 30.000 26.000 38.000 46.000 48.000 9.150 9.150 11.200 12.700 12.700 13.300 11.200 4.300 4.300 4.300 5.700 6.200 7.200 7.700 7.700 8.300 8.300 8.300 8.700 9.100 9.500 7.700 8.300 84.000 78.320 10.500 11.000 40.000

OC OC DI FE OC OC OC DI OC OC OC DI OC OC DI OC OC OC OC OC DI OC OC DI OC OC OC DI FE OC OC OC OC DI OC DI FE OC OC OC OC OC OC O OC OC DI

43.00 43.00 106.00 168.00 43.00 43.00 43.00 106.00 43.00 43.00 43.00 106.00 43.00 43.00 106.00 43.00 43.00 43.00 43.00 43.00 106.00 43.00 43.00 106.00 43.00 43.00 43.00 106.00 168.00 43.00 43.00 43.00 43.00 106.00 43.00 106.00 168.00 43.00 43.00 43.00 43.00 43.00 43.00 43.00 43.00 43.00 106.00

0.00 0.00 6.85 0.00 4.50 3.60 0.00 4.50 2.30 1.62 1.01 2.35 0.69 0.60 0.00 1.00 6.50 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 4.40 0.00 2.62 2.20 1.20 0.80 0.00 0.50 0.00 0.00 0.25 0.15 0.00 0.00 0.00 21.00 0.00 0.00 0.00 0.00

-6% -12% -9% -10% -14% -12% -27% -11% -26% -14% 0% -13% 8% 3% 7% 9% 14% 35% 52% 67% -9% -

8.00 7.04 6.30 7.31 4.29 3.47 2.73 4.11 2.09 1.55 1.12 2.46 0.78 0.53 1.67 0.87 6.32 1.46 0.89 3.89 4.30 1.98 0.90 1.56 0.60 0.08 3.99 4.17 4.35 2.63 2.15 1.20 0.78 1.16 0.39 0.78 1.11 0.22 0.11 0.05 0.09 0.28 20.01 25.49 0.94 0.68 7.98

-0.080 -0.047 -0.037 -0.086 -0.093 -0.044 0.105 0.046 0.131 -0.116 -0.129 -0.027 -0.052 0.003 -0.025 -0.001 -0.025 -0.214 -0.112 -0.238 -0.047 -

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

Valor Intrínseco 7.40 6.40 4.40 4.40 3.40 2.40 1.40 1.40 0.40

4.85

Cobertura %

Tasa Lanzam. %

25.95%

12.5%

17.05% 13.64%

5.0% 5.3%

17.05% 8.71% 6.14% 3.83% 8.90% 2.61% 2.27%

14.2% 7.9% 9.0% 10.3% 16.4% 12.8% 16.3%

15.17%

4.5%

53.99%

14.7%

32.15% 26.99% 14.72% 9.82%

3.1% 4.2% 3.6% 4.8%

6.13%

8.5%

3.07% 1.84%

10.1% 13.8%

20.72%

4.5%

3.60 3.60 1.55 0.05 0.05

3.85 3.85 3.85 2.45 1.95 0.95 0.45 0.45

0.15 17.35 23.03 0.20 4.85

Delta

Gamma

Vega

Theta

Rho

Efecto Palanca

Volat. Implícita

Volumen

0.997 0.991 0.909 0.900 0.906 0.843 0.759 0.767 0.661 0.555 0.448 0.577 0.349 0.261 0.448 -0.339 0.897 0.403 0.281 0.998 0.983 0.905 0.634 0.693 0.494 -0.095 1.000 1.000 1.000 1.000 0.999 0.940 0.818 0.819 0.573 0.673 0.731 0.394 0.241 0.132 -0.182 -0.427 0.993 0.999 0.658 0.542 0.943

0.003 0.007 0.029 0.025 0.047 0.067 0.087 0.055 0.102 0.110 0.110 0.070 0.103 0.091 0.071 0.102 0.033 0.071 0.062 0.004 0.016 0.102 0.228 0.136 0.241 0.102 0.000 0.000 0.000 0.000 0.005 0.141 0.313 0.200 0.464 0.274 0.199 0.455 0.368 0.253 0.313 0.464 0.002 0.000 0.223 0.241 0.020

0.001 0.002 0.023 0.032 0.015 0.022 0.029 0.044 0.034 0.036 0.036 0.056 0.034 0.030 0.057 0.034 0.027 0.058 0.050 0.000 0.003 0.007 0.017 0.024 0.018 0.007 0.000 0.000 0.000 0.000 0.000 0.003 0.007 0.012 0.011 0.016 0.018 0.011 0.009 0.006 0.007 0.011 0.007 0.001 0.014 0.015 0.028

-0.096 -0.104 -0.120 -0.109 -0.147 -0.164 -0.177 -0.138 -0.182 -0.179 -0.167 -0.136 -0.148 -0.125 -0.124 -0.054 -0.240 -0.247 -0.202 -0.046 -0.045 -0.071 -0.086 -0.067 -0.081 -0.016 -0.021 -0.020 -0.019 -0.028 -0.031 -0.041 -0.048 -0.039 -0.048 -0.039 -0.036 -0.041 -0.030 -0.020 -0.010 -0.007 -0.423 -0.386 -0.079 -0.078 -0.195

0.022 0.023 0.052 0.076 0.024 0.023 0.021 0.047 0.019 0.016 0.013 0.037 0.010 0.008 0.030 -0.012 0.039 0.019 0.013 0.011 0.024 0.012 0.009 0.021 0.007 -0.002 0.005 0.012 0.018 0.007 0.007 0.008 0.007 0.016 0.005 0.014 0.022 0.004 0.002 0.001 -0.002 -0.005 0.097 0.091 0.007 0.006 0.101

3.29 3.71 3.81 3.25 5.58 6.41 7.34 4.93 8.36 9.45 10.60 6.20 11.79 13.01 7.09 10.28 6.08 11.86 13.58 3.27 2.92 5.83 9.01 5.65 10.53 15.58 2.05 1.95 1.88 3.10 3.79 6.39 8.55 5.73 11.88 7.04 5.36 14.44 17.19 20.05 16.86 12.32 5.03 3.97 7.50 8.56 5.30

57% 51% 45% 48% 45% 41% 36% 37% 36% 41% 43% 42% 50% 50% 63% 30% 32% 39% 32% 34% 54% -

57024 168785 15700 7100 73050 52078 277644 12095 37060 12660 3200 3250 67010 3406 154914 2880 128085 301413 84328 7437 6300 -

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

3

Reporte de Opciones

Subyacente

INDU

MIRG

PAMP

Precio

Serie

Tipo

Strike

Vto

Dias al Vto

Prima

% Var

Prima Teórica

Dif.vs Prima

Estado

44.85 44.85 44.85 44.85 44.85 44.85 44.85 44.85 44.85 44.85 44.85 44.85 44.85 44.85 44.85 44.85 44.85 44.85 44.85 44.85 44.85 44.85 44.85 44.85 44.85 44.85 44.85 44.85 3.70 3.70 3.70 3.70 1348.00 1348.00 1348.00 1348.00 1348.00 1348.00 1348.00 1348.00 15.10 15.10 15.10 15.10 15.10 15.10 15.10

GFGC42.0OC GFGC43.0OC GFGC44.0OC GFGC45.0SE GFGC45.0OC GFGC46.0SE GFGC46.0OC GFGC47.0OC GFGC47.0DI GFGC48.0OC GFGC49.0OC GFGC50.0OC GFGC50.0DI GFGC51.0OC GFGC55.0OC GFGC55.0DI GFGV11.0OC GFGV11.0DI GFGV11.0FE GFGV37.0DI GFGV42.0OC GFGV42.0DI GFGV43.0OC GFGV45.0OC GFGV45.0DI GFGV46.0OC GFGV46.0DI GFGV48.0OC INDC3.20DI INDC3.60OC INDC3.60DI INDC4.00OC MIRC800.FE MIRC1140.O MIRC1180.O MIRC1260.O MIRC1300.O MIRC1340.O MIRC1380.O MIRC1420.O PAMC14.3OC PAMC15.1OC PAMC15.1DI PAMC15.5OC PAMC15.5DI PAMC16.2OC PAMC16.9OC

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

42.000 43.000 44.000 45.000 45.000 46.000 46.000 47.000 47.000 48.000 49.000 50.000 50.000 51.000 55.000 55.000 11.000 11.000 11.000 37.000 42.000 42.000 43.000 45.000 45.000 46.000 46.000 48.000 3.200 3.600 3.600 4.000 800.000 1140.000 1180.000 1260.000 1300.000 1340.000 1380.000 1420.000 14.300 15.100 15.100 15.500 15.500 16.200 16.900

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

43.00 43.00 43.00 15.00 43.00 15.00 43.00 43.00 106.00 43.00 43.00 43.00 106.00 43.00 43.00 106.00 43.00 106.00 168.00 106.00 43.00 106.00 43.00 43.00 106.00 43.00 106.00 43.00 106.00 43.00 106.00 43.00 168.00 43.00 43.00 43.00 43.00 43.00 43.00 43.00 43.00 43.00 106.00 43.00 106.00 43.00 43.00

0.00 4.50 2.50 0.00 1.95 0.00 1.58 1.17 3.00 0.86 0.70 0.50 0.00 0.00 0.17 0.00 0.02 0.00 0.00 0.00 0.68 0.00 0.00 1.50 0.00 2.20 0.00 3.50 0.90 0.00 0.00 0.00 0.00 0.00 0.00 0.00 95.00 0.00 40.00 0.00 0.00 0.95 0.00 0.60 0.00 0.35 0.20

0% -25% -22% -21% -22% -21% -25% -21% -28% -15% -33% 172% 36% 19% 21% 0% -5% -60% 0% -12% -8% -48%

4.36 3.55 2.81 1.07 2.15 0.61 1.60 1.15 2.98 0.80 0.54 0.35 1.66 0.22 0.02 0.51 0.00 0.00 0.00 0.03 0.20 0.34 0.35 0.89 0.95 1.31 1.25 2.45 1.06 0.55 0.85 0.37 640.47 246.58 210.58 144.70 116.02 90.84 69.39 51.70 1.41 0.86 1.58 0.65 1.35 0.37 0.19

-0.212 0.122 0.104 0.014 -0.014 -0.007 -0.066 -0.229 -0.298 -0.855 -1.000 -0.713 -0.406 -0.406 -0.301 0.173 0.221 0.735 -0.090 0.083 0.051 -0.048

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

Valor Intrínseco

Cobertura %

Tasa Lanzam. %

2.85 1.85 0.85

10.03% 5.57%

6.6% 3.9%

4.35%

4.9%

3.52% 2.61% 6.69% 1.92% 1.56% 1.11%

6.3% 7.6% 12.3% 9.1% 11.0% 12.7%

0.38%

23.1%

24.32%

14.3%

7.05%

3.8%

2.97%

5.5%

6.29%

6.7%

3.97%

6.9%

2.32% 1.32%

9.8% 13.4%

0.15 0.15 1.15 1.15 3.15 0.50 0.10 0.10 548.00 208.00 168.00 88.00 48.00 8.00

0.80

Delta

Gamma

Vega

Theta

Rho

Efecto Palanca

Volat. Implícita

Volumen

0.893 0.829 0.748 0.577 0.652 0.399 0.548 0.443 0.620 0.344 0.256 0.183 0.428 0.126 0.019 0.175 0.000 0.000 0.000 -0.014 -0.107 -0.116 -0.171 -0.348 -0.258 -0.452 -0.317 -0.656 0.761 0.636 0.677 0.499 0.998 0.959 0.926 0.815 0.737 0.647 0.552 0.456 0.818 0.643 0.716 0.543 0.658 0.371 0.227

0.051 0.070 0.087 0.178 0.101 0.176 0.109 0.108 0.067 0.101 0.088 0.073 0.069 0.057 0.013 0.045 0.000 0.000 0.000 0.006 0.051 0.034 0.070 0.101 0.057 0.109 0.063 0.101 0.178 0.336 0.206 0.357 0.000 0.001 0.001 0.002 0.002 0.002 0.002 0.002 0.174 0.245 0.143 0.260 0.155 0.248 0.198

0.029 0.040 0.050 0.037 0.058 0.036 0.062 0.061 0.092 0.057 0.050 0.041 0.095 0.032 0.007 0.063 0.000 0.000 0.000 0.009 0.029 0.048 0.040 0.058 0.078 0.062 0.087 0.057 0.006 0.005 0.007 0.005 0.057 0.412 0.654 1.249 1.528 1.738 1.851 1.856 0.014 0.020 0.028 0.021 0.030 0.020 0.016

-0.235 -0.244 -0.249 -0.314 -0.245 -0.274 -0.232 -0.210 -0.197 -0.181 -0.149 -0.117 -0.162 -0.087 -0.018 -0.085 0.000 0.000 0.000 -0.003 -0.028 -0.008 -0.033 -0.024 0.003 -0.005 0.012 0.055 -0.027 -0.043 -0.029 -0.043 -3.619 -6.430 -7.048 -8.242 -8.610 -8.699 -8.462 -7.909 -0.088 -0.090 -0.073 -0.086 -0.072 -0.072 -0.053

0.043 0.041 0.037 0.011 0.033 0.008 0.028 0.023 0.073 0.018 0.013 0.009 0.051 0.007 0.001 0.022 0.000 0.000 0.000 -0.002 -0.006 -0.016 -0.010 -0.020 -0.037 -0.026 -0.045 -0.038 0.005 0.002 0.005 0.002 3.264 1.261 1.251 1.150 1.057 0.942 0.813 0.679 0.013 0.011 0.027 0.009 0.025 0.006 0.004

9.17 10.48 11.96 24.14 13.59 29.44 15.35 17.23 9.34 19.22 21.28 23.42 11.53 25.60 34.61 15.50 218.10 92.99 60.89 21.46 24.71 15.26 22.12 17.51 12.25 15.49 11.35 12.03 2.66 4.31 2.93 4.96 2.10 5.24 5.93 7.59 8.56 9.61 10.72 11.89 8.77 11.23 6.83 12.61 7.35 15.21 17.98

43% 17% 20% 23% 24% 24% 24% 27% 27% 33% 50% 36% 34% 38% 41% 61% 18% 18% 33% 27% 28% 30%

10800 67375 143288 288555 91573 2100 65436 6184 15289 4839 200 18510 45790 45800 41150 27000 47500 4000 31351 84693 6212 5976

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

4

Reporte de Opciones

Subyacente

PESA PETR SAMI

TGSU2

TRAN

TS

YPFD

Precio

Serie

Tipo

Strike

Vto

Dias al Vto

Prima

% Var

Prima Teórica

Dif.vs Prima

Estado

15.10 15.10 15.10 9.30 50.00 50.00 115.00 115.00 115.00 18.25 18.25 18.25 6.74 6.74 6.74 6.74 6.74 6.74 206.00 206.00 206.00 206.00 256.00 256.00 256.00 256.00 256.00 256.00 256.00 256.00 256.00

PAMC17.6OC PAMV15.1OC PAMV15.5OC PSAC9.95OC PETC48.0OC PETC52.0OC SAMC64.0DI SAMC100.OC SAMC130.OC TGSC16.3OC TGSC19.9OC TGSC19.9DI TRAC6.10OC TRAC6.40OC TRAC6.40DI TRAC7.00OC TRAC7.00DI TRAC7.30OC TS.C213.OC TS.C229.SE TS.C237.OC TS.V213.OC YPFC220.OC YPFC240.OC YPFC260.OC YPFC280.OC YPFC300.OC YPFC300.DI YPFV260.OC YPFV260.DI YPFV280.OC

Call Put Put 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 Put Put Put

17.600 15.100 15.500 9.950 48.000 52.000 64.000 100.000 130.000 16.300 19.900 19.900 6.100 6.400 6.400 7.000 7.000 7.300 213.000 229.000 237.000 213.000 220.000 240.000 260.000 280.000 300.000 300.000 260.000 260.000 280.000

OC OC OC OC OC OC DI OC OC OC OC DI OC OC DI OC DI OC OC SE OC OC OC OC OC OC OC DI OC DI OC

43.00 43.00 43.00 43.00 43.00 43.00 106.00 43.00 43.00 43.00 43.00 106.00 43.00 43.00 106.00 43.00 106.00 43.00 43.00 15.00 43.00 43.00 43.00 43.00 43.00 43.00 43.00 106.00 43.00 106.00 43.00

0.00 0.00 0.74 0.00 0.00 4.00 0.00 20.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 8.20 0.00 0.00 0.00 0.00 0.00 12.00 4.50 0.00 0.00 0.00 0.00 0.00

84% 0% -13% -25% -20% -8% -

0.09 0.39 0.56 0.10 5.08 2.95 55.78 18.94 2.65 2.52 0.36 1.09 0.86 0.61 0.93 0.25 0.55 0.14 9.01 0.53 2.13 9.32 43.24 25.80 12.48 4.73 1.40 8.17 8.32 9.13 19.94

-0.234 -0.263 -0.053 0.099 0.040 0.052 -

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

Valor Intrínseco

Cobertura %

Tasa Lanzam. %

0.40 2.00 51.00 15.00

8.00%

13.0%

17.39%

5.3%

3.98%

7.7%

4.69% 1.76%

6.6% 11.3%

1.95

0.64 0.34 0.34

7.00 36.00 16.00

4.00 4.00 24.00

Delta

Gamma

Vega

Theta

Rho

Efecto Palanca

Volat. Implícita

Volumen

0.125 -0.357 -0.457 0.294 0.707 0.513 0.999 0.902 0.283 0.928 0.316 0.510 0.916 0.814 0.819 0.496 0.631 0.332 0.517 0.086 0.180 -0.483 0.969 0.842 0.584 0.302 0.115 0.332 -0.416 -0.319 -0.698

0.135 0.245 0.260 0.595 0.044 0.051 0.000 0.011 0.021 0.073 0.189 0.136 0.231 0.400 0.252 0.596 0.362 0.543 0.017 0.011 0.011 0.017 0.003 0.009 0.015 0.013 0.007 0.009 0.015 0.009 0.013

0.011 0.020 0.021 0.011 0.060 0.069 0.002 0.069 0.135 0.009 0.023 0.039 0.004 0.006 0.010 0.009 0.014 0.009 0.285 0.068 0.188 0.285 0.063 0.215 0.347 0.310 0.173 0.503 0.347 0.495 0.310

-0.034 -0.016 -0.010 -0.029 -0.368 -0.363 -0.303 -0.653 -0.587 -0.094 -0.080 -0.080 -0.035 -0.039 -0.032 -0.037 -0.032 -0.030 -1.223 -0.561 -0.657 -0.176 -1.185 -1.462 -1.501 -1.089 -0.544 -0.871 -0.223 -0.012 0.288

0.002 -0.007 -0.009 0.003 0.036 0.027 0.173 0.102 0.036 0.017 0.007 0.024 0.006 0.006 0.013 0.004 0.011 0.003 0.117 0.008 0.042 -0.131 0.247 0.229 0.165 0.088 0.034 0.226 -0.138 -0.266 -0.239

20.85 13.81 12.26 26.33 6.96 8.70 2.06 5.48 12.28 6.71 15.88 8.53 7.19 8.96 5.95 13.48 7.70 16.11 11.81 33.27 17.39 10.68 5.73 8.35 11.98 16.34 21.10 10.42 12.80 8.93 8.96

37% 60% 53% 29% 28% 28% -

1785 5600 12000 4060 9885 8100 -

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 @FlaviaMatsuda [email protected]

Analista

Posisición

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

Activo

María Fernanda Lázaro 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)

Ignacio Muneta Asesor Financiero (54 11) 4000 1400 [email protected]