Reporte de Opciones

Flavia Matsuda Analista Cuantitativo @FlaviMatsuda [email protected]

martes, 04 de octubre de 2016 Subyacente

Precio

Serie

Tipo

Strike

Vto

Dias al Vto

Prima

% Var

Prima Teórica

Dif.vs Prima

Estado

AGRO

21.00 21.00 21.00 21.00 11.25 11.25 11.25 11.25 11.25 11.25 11.25 11.25 11.25 11.25 11.25 11.25 11.25 72.60 72.60 72.60 72.60 72.60 72.60 72.60 72.60 72.60 72.60 72.60 72.60 72.60 72.60 72.60 72.60 72.60 72.60 72.60 72.60 72.60 72.60 72.60 72.60 72.60

AGRC14.0DI AGRC17.0DI AGRC20.0OC AGRC22.0OC ALUC5.80OC ALUC5.80DI ALUC5.80FE ALUC6.70OC ALUC6.70DI ALUC9.40OC ALUC9.40DI ALUC10.75O ALUC10.75D ALUC11.2OC ALUC11.2DI ALUC12.1OC ALUC12.1DI PBRC18.4OC PBRC18.4DI PBRC26.4DI PBRC30.4OC PBRC34.4OC PBRC42.4FE PBRC46.4OC PBRC50.4OC PBRC54.4OC PBRC58.4OC PBRC58.4DI PBRC62.4OC PBRC66.4OC PBRC66.4DI PBRC70.4OC PBRC70.4DI PBRC74.4OC PBRC74.4DI PBRC78.4OC PBRC78.4DI PBRC82.4OC PBRC82.4DI PBRC86.4OC PBRC86.4DI PBRC90.4OC

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 Call Call Call Call Call Call Call Call

14.000 17.000 20.000 22.000 5.800 5.800 5.800 6.700 6.700 9.400 9.400 10.700 10.700 11.200 11.200 12.100 12.100 18.400 18.400 26.400 30.400 34.400 42.400 46.400 50.400 54.400 58.400 58.400 62.400 66.400 66.400 70.400 70.400 74.400 74.400 78.400 78.400 82.400 82.400 86.400 86.400 90.400

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

72.00 72.00 9.00 9.00 9.00 72.00 134.00 9.00 72.00 9.00 72.00 9.00 72.00 9.00 72.00 9.00 72.00 9.00 72.00 72.00 9.00 9.00 134.00 9.00 9.00 9.00 9.00 72.00 9.00 9.00 72.00 9.00 72.00 9.00 72.00 9.00 72.00 9.00 72.00 9.00 72.00 9.00

8.00 5.45 0.00 0.00 5.45 5.78 0.00 0.00 0.00 1.75 2.40 0.73 1.30 0.45 1.00 0.00 0.70 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 17.60 15.20 0.00 10.40 7.20 0.00 3.90 7.70 1.60 5.15 0.52 3.40 0.28 2.30 0.12 0.00 0.05

3% 0% 2% 3% 6% 9% 33% 8% 1% 0% 0% -6% 3% -7% -3% -13% -6% -24% -13% -35% 3% -20% -12% -37% -50%

7.73 5.03 1.34 0.30 5.49 5.75 5.99 4.60 4.90 1.92 2.34 0.64 1.21 0.25 0.85 0.01 0.39 54.33 55.15 47.56 42.42 38.45 34.19 26.54 22.56 18.59 14.62 17.68 10.68 6.89 11.43 3.69 8.84 1.54 6.66 0.49 4.89 0.12 3.51 0.02 2.47 0.00

-0.033 -0.076 0.008 -0.005 0.096 -0.025 -0.120 -0.072 -0.441 -0.150 -0.450 0.056 -0.038 0.026 -0.043 -0.054 0.148 -0.034 0.293 -0.060 0.439 -0.586 0.527 -0.826 -0.942

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

ALUA

APBR

Valor Intrínseco

Cobertura Tasa Lanzam. % %

7.00 4.00 1.00

38.10% 25.95%

7.7% 9.3%

5.45 5.45 5.45 4.55 4.55 1.85 1.85 0.55 0.55 0.05 0.05

48.44% 51.38%

0.0% 6.0%

15.56% 21.33% 6.49% 11.56% 4.00% 8.89%

-1.1% 6.2% 1.7% 7.5% 3.7% 9.3%

6.22%

14.7%

24.24% 20.94%

-1.1% 1.7%

14.33% 9.92%

0.3% 1.5%

5.37% 10.61% 2.20% 7.09% 0.72% 4.68% 0.39% 3.17% 0.17%

2.5% 8.5% 4.8% 10.3% 8.8% 13.3% 13.9% 17.2% 19.2%

0.07%

24.6%

54.20 54.20 46.20 42.20 38.20 30.20 26.20 22.20 18.20 14.20 14.20 10.20 6.20 6.20 2.20 2.20

Delta

Gamma

Vega

Theta

Rho

Efecto Palanca

Volat. Implícita

Volumen

0.992 0.923 0.787 0.310 1.000 1.000 1.000 1.000 1.000 1.000 0.986 0.927 0.843 0.623 0.721 0.053 0.448 1.000 1.000 1.000 1.000 1.000 0.994 1.000 1.000 1.000 0.999 0.931 0.987 0.914 0.795 0.713 0.700 0.420 0.596 0.178 0.490 0.054 0.390 0.012 0.301 0.002

0.005 0.035 0.187 0.228 0.000 0.000 0.000 0.000 0.000 0.000 0.029 0.308 0.197 0.844 0.276 0.239 0.325 0.000 0.000 0.000 0.000 0.000 0.001 0.000 0.000 0.000 0.001 0.009 0.006 0.030 0.020 0.065 0.024 0.074 0.027 0.049 0.028 0.021 0.027 0.006 0.025 0.001

0.002 0.014 0.010 0.012 0.000 0.000 0.000 0.000 0.000 0.000 0.002 0.003 0.012 0.007 0.017 0.002 0.020 0.000 0.000 0.000 0.000 0.000 0.007 0.000 0.000 0.000 0.000 0.043 0.004 0.019 0.092 0.041 0.113 0.047 0.126 0.031 0.129 0.013 0.125 0.004 0.113 0.001

-0.071 -0.102 -0.235 -0.223 -0.029 -0.028 -0.027 -0.034 -0.032 -0.047 -0.046 -0.072 -0.056 -0.094 -0.056 -0.020 -0.047 -0.093 -0.089 -0.127 -0.153 -0.173 -0.201 -0.234 -0.254 -0.274 -0.299 -0.344 -0.371 -0.590 -0.429 -0.872 -0.450 -0.867 -0.450 -0.542 -0.428 -0.220 -0.388 -0.061 -0.336 -0.012

0.026 0.029 0.004 0.002 0.002 0.011 0.019 0.002 0.013 0.003 0.018 0.003 0.017 0.002 0.015 0.000 0.009 0.005 0.035 0.050 0.008 0.009 0.140 0.013 0.014 0.015 0.016 0.100 0.017 0.016 0.093 0.013 0.084 0.008 0.073 0.003 0.061 0.001 0.050 0.000 0.039 0.000

2.69 3.85 12.35 21.93 2.05 1.96 1.88 2.45 2.30 5.87 4.74 16.24 7.86 27.84 9.54 60.16 13.09 1.34 1.32 1.53 1.71 1.89 2.11 2.74 3.22 3.90 4.96 3.82 6.71 9.63 5.05 14.02 5.75 19.74 6.50 26.39 7.27 33.55 8.07 40.94 8.87 48.35

80% 67% 50% 84% 50% 38% 45% 31% 52% 33% 40% 50% 50% 50% 57% 49% 33% 45% 32% 45% 32% 53% 34% 57% 61%

5050 16350 10950 434886 130694 34140 13474 28970 14415 7202 9800 295896 20095 35457 286278 1516417 62030 1416415 56275 143898 41425 17711 15270 3515 12090

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

Reporte de Opciones

Subyacente

BHIP BMA CAPU CAPX

CARC CECO2

CELU CEPU COME

Precio

Serie

Tipo

Strike

Vto

Dias al Vto

Prima

% Var

Prima Teórica

Dif.vs Prima

Estado

72.60 72.60 72.60 72.60 72.60 72.60 72.60 72.60 72.60 72.60 72.60 72.60 72.60 72.60 7.60 120.10 25.80 25.50 25.50 25.50 25.50 3.72 9.55 9.55 9.55 9.55 22.60 189.00 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

PBRC90.4DI PBRV18.4OC PBRV46.4OC PBRV50.4OC PBRV54.4OC PBRV58.4OC PBRV62.4OC PBRV66.4OC PBRV66.4DI PBRV70.4OC PBRV70.4DI PBRV74.4OC PBRV74.4DI PBRV78.4OC BHIC8.05OC BMAC120.OC CPUC26.0OC CAPC20.0OC CAPC24.0OC CAPC24.0DI CAPC25.0OC CACC2.30OC CECC6.00OC CECC7.10OC CECC7.10DI CECC9.20DI CELC19.0OC CEPC88.0DI COMC2.00OC COMC2.00DI COMC2.20OC COMC2.20DI COMC2.60OC COMC2.80OC COMC2.80DI COMC3.00OC COMC3.00DI COMC3.00FE COMC3.15OC COMC3.15DI COMC3.15FE COMC3.30OC COMC3.30DI COMC3.30FE COMC3.45OC COMC3.45DI COMC3.60OC COMC3.60DI

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 Call Call Call Call Call Call Call Call Call Call Call Call Call Call Call Call Call Call

90.400 18.400 46.400 50.400 54.400 58.400 62.400 66.400 66.400 70.400 70.400 74.400 74.400 78.400 8.050 120.000 26.000 20.000 24.000 24.000 25.000 2.300 6.000 7.100 7.100 9.200 19.000 88.000 2.000 2.000 2.200 2.200 2.600 2.800 2.800 3.000 3.000 3.000 3.150 3.150 3.150 3.300 3.300 3.300 3.450 3.450 3.600 3.600

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

72.00 9.00 9.00 9.00 9.00 9.00 9.00 9.00 72.00 9.00 72.00 9.00 72.00 9.00 9.00 9.00 9.00 9.00 9.00 72.00 9.00 9.00 9.00 9.00 72.00 72.00 9.00 72.00 9.00 72.00 9.00 72.00 9.00 9.00 72.00 9.00 72.00 134.00 9.00 72.00 134.00 9.00 72.00 134.00 9.00 72.00 9.00 72.00

0.00 0.01 0.00 0.00 0.15 0.00 0.00 0.38 3.80 0.93 0.00 2.99 0.00 0.00 0.10 4.00 0.00 5.00 0.00 0.00 0.00 0.00 3.47 2.37 3.25 1.00 0.00 0.00 1.18 1.25 0.00 1.10 0.00 0.40 0.00 0.22 0.42 0.00 0.10 0.28 0.00 0.05 0.19 0.00 0.02 0.13 0.01 0.00

-84% 0% -10% -7% -15% 20% 0% 0% 25% -19% -7% 2% -17% 1% 4% 2% 3% 16% 11% 2% 12% 4% 0% 5% -17% -33% -

1.70 0.00 0.00 0.00 0.00 0.00 0.02 0.21 1.80 0.98 3.01 2.81 4.62 5.72 0.02 2.46 0.58 5.64 1.77 3.31 1.01 1.44 3.59 2.50 2.85 1.24 3.74 105.54 1.17 1.26 0.98 1.07 0.58 0.38 0.52 0.19 0.35 0.49 0.07 0.25 0.39 0.02 0.17 0.30 0.00 0.11 0.00 0.06

-1.000 -1.000 -0.439 -0.525 0.056 -0.061 -0.831 -0.384 0.129 0.036 0.055 -0.124 0.236 -0.005 0.011 -0.024 -0.049 -0.145 -0.155 -0.251 -0.099 -0.621 -0.107 -0.900 -0.137 -0.984 -

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

Valor Intrínseco

Cobertura Tasa Lanzam. % %

1.80 1.80 5.80 0.10 5.50 1.50 1.50 0.50 1.42 3.55 2.45 2.45 0.35 3.60 101.00 1.16 1.16 0.96 0.96 0.56 0.36 0.36 0.16 0.16 0.16 0.01 0.01 0.01

1.32% 3.33%

7.3% 3.4%

19.61%

-2.4%

36.34% 24.82% 34.03% 10.47%

-1.3% -1.1% 12.7% 7.6%

37.34% 39.56%

1.0% 4.7%

34.81%

6.8%

12.66%

1.4%

6.96% 13.29%

2.0% 9.5%

3.16% 8.86%

2.9% 9.4%

1.49% 6.01%

6.0% 11.1%

0.73% 3.96% 0.32%

10.0% 13.7% 14.3%

Delta

Gamma

Vega

Theta

Rho

Efecto Palanca

Volat. Implícita

Volumen

0.226 0.000 0.000 0.000 0.000 -0.001 -0.013 -0.086 -0.205 -0.287 -0.300 -0.580 -0.404 -0.822 0.114 0.587 0.508 1.000 0.874 0.780 0.682 1.000 1.000 1.000 0.963 0.705 0.997 1.000 1.000 1.000 1.000 1.000 1.000 0.998 0.930 0.907 0.820 0.836 0.599 0.698 0.754 0.221 0.555 0.659 0.040 0.412 0.004 0.285

0.021 0.000 0.000 0.000 0.000 0.001 0.006 0.030 0.020 0.065 0.024 0.074 0.027 0.049 0.619 0.080 0.272 0.000 0.133 0.071 0.229 0.000 0.000 0.000 0.041 0.174 0.006 0.000 0.000 0.000 0.000 0.003 0.000 0.049 0.346 1.155 0.676 0.467 2.687 0.898 0.596 2.062 1.017 0.694 0.603 1.002 0.076 0.874

0.098 0.000 0.000 0.000 0.000 0.000 0.004 0.019 0.092 0.041 0.113 0.047 0.126 0.031 0.002 0.077 0.017 0.000 0.009 0.034 0.015 0.000 0.000 0.000 0.003 0.015 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.002 0.001 0.004 0.005 0.002 0.005 0.006 0.002 0.006 0.007 0.000 0.006 0.000 0.005

-0.280 0.000 0.000 0.000 0.000 -0.005 -0.057 -0.255 -0.109 -0.517 -0.111 -0.492 -0.092 -0.147 -0.025 -1.012 -0.268 -0.101 -0.217 -0.144 -0.277 -0.012 -0.030 -0.036 -0.040 -0.061 -0.100 -0.424 -0.010 -0.010 -0.011 -0.011 -0.013 -0.014 -0.015 -0.022 -0.016 -0.014 -0.029 -0.016 -0.014 -0.018 -0.015 -0.014 -0.005 -0.013 -0.001 -0.011

0.029 0.000 0.000 0.000 0.000 0.000 0.000 -0.002 -0.033 -0.006 -0.050 -0.012 -0.068 -0.018 0.000 0.019 0.003 0.005 0.006 0.033 0.004 0.001 0.002 0.002 0.013 0.011 0.005 0.167 0.001 0.004 0.001 0.004 0.001 0.001 0.005 0.001 0.004 0.008 0.000 0.004 0.007 0.000 0.003 0.007 0.000 0.002 0.000 0.002

9.68 263.73 90.25 75.27 61.72 49.51 38.64 29.18 8.25 21.25 7.24 15.00 6.34 10.43 51.06 28.60 22.65 4.52 12.56 6.00 17.21 2.59 2.66 3.82 3.23 5.45 6.03 1.79 2.69 2.50 3.24 2.94 5.46 8.29 5.68 15.25 7.30 5.40 25.27 8.74 6.15 39.12 10.34 6.95 55.26 12.07 72.44 13.89

50% 100% 52% 64% 43% 48% 48% 44% 50% 50% 50% 99% 29% 50% 50% 66% 67% 52% 43% 40% 33% 44% 31% 49% 31% 52% -

250 195 22997 4940 175329 132925 2500 800 4000 10410 71744 1625 6950 106213 1250 1023 119706 490179 67044 262000 95126 160364 155590 43112 30772 12750 -

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

2

Reporte de Opciones

Subyacente

CRES

CTIO

EDN

ERAR

Precio

Serie

Tipo

Strike

Vto

Dias al Vto

Prima

% Var

Prima Teórica

Dif.vs Prima

Estado

3.16 3.16 3.16 3.16 3.16 3.16 27.05 27.05 27.05 27.05 27.05 27.05 27.05 27.05 27.05 27.05 27.05 27.05 27.05 27.05 27.05 27.05 27.05 27.05 27.05 27.05 27.05 27.05 27.05 45.50 45.50 45.50 45.50 45.50 15.00 15.00 15.00 15.00 15.00 15.00 15.00 15.00 15.00 9.28 9.28 9.28 9.28 9.28

COMC3.75OC COMC3.90DI COMC4.05OC COMC4.05DI COMV3.00OC COMV3.15OC CREC11.0OC CREC11.0DI CREC11.0FE CREC14.0DI CREC17.0OC CREC19.0OC CREC20.0OC CREC22.0DI CREC23.0OC CREC24.0OC CREC25.0OC CREC25.0DI CREC26.0OC CREC27.0OC CREC28.0OC CREC28.0DI CREC29.0OC CREC30.0OC CREC30.0DI CREV26.0OC CREV26.0DI CREV26.0FE CREV27.0DI CTOC44.0OC CTOC46.0OC CTOC46.0DI CTOC48.0OC CTOC48.0DI EDNC9.15DI EDNC11.2OC EDNC12.7OC EDNC13.3OC EDNC13.9OC EDNC13.9DI EDNV9.15DI EDNV11.2OC EDNV11.2DI ERAC4.30OC ERAC4.30DI ERAC4.30FE ERAC6.20OC ERAC6.20FE

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

3.750 3.900 4.050 4.050 3.000 3.150 11.000 11.000 11.000 14.000 17.000 19.000 20.000 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 26.000 26.000 27.000 44.000 46.000 46.000 48.000 48.000 9.150 11.200 12.700 13.300 13.900 13.900 9.150 11.200 11.200 4.300 4.300 4.300 6.200 6.200

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

9.00 72.00 9.00 72.00 9.00 9.00 9.00 72.00 134.00 72.00 9.00 9.00 9.00 72.00 9.00 9.00 9.00 72.00 9.00 9.00 9.00 72.00 9.00 9.00 72.00 9.00 72.00 134.00 72.00 9.00 9.00 72.00 9.00 72.00 72.00 9.00 9.00 9.00 9.00 72.00 72.00 9.00 72.00 9.00 72.00 134.00 9.00 134.00

0.00 0.00 0.01 0.00 0.00 0.10 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 4.15 3.00 0.00 0.00 1.60 0.60 0.24 1.75 0.00 0.00 0.00 0.35 0.00 0.00 0.00 2.00 0.00 0.00 0.00 0.00 0.00 4.00 2.30 1.80 1.50 2.10 0.00 0.00 0.00 0.00 5.30 0.00 3.15 0.00

0% -33% -12% -14% -11% -33% -29% -3% 0% -35% 14% -15% -14% 7% -9% 2% 9% -

0.00 0.02 0.00 0.01 0.01 0.04 16.13 16.62 17.08 13.77 10.17 8.19 7.19 6.21 4.22 3.22 2.25 3.59 1.34 0.64 0.23 1.63 0.06 0.01 0.82 0.11 0.45 0.53 0.74 1.90 0.53 2.72 0.06 1.64 6.32 3.88 2.39 1.80 1.22 2.04 0.00 0.00 0.01 5.01 5.20 5.38 3.12 3.66

-1.000 -0.578 0.016 0.075 -0.159 0.065 -0.033 -0.070 -0.697 -0.050 -0.030 0.040 -0.001 -0.185 -0.029 -0.019 -0.008 -

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

Valor Intrínseco

Cobertura Tasa Lanzam. % %

0.22%

28.4%

15.34% 11.09%

0.4% -0.2%

5.91% 2.22% 0.87% 6.47%

2.2% 2.1% 4.4% 10.7%

1.50

4.40%

1.1%

5.85 3.80 2.30 1.70 1.10 1.10

26.67% 15.33% 12.00% 10.00% 14.00%

1.8% 0.0% 0.8% 3.0% 7.8%

57.11%

8.0%

33.94%

1.1%

16.05 16.05 16.05 13.05 10.05 8.05 7.05 5.05 4.05 3.05 2.05 2.05 1.05 0.05

4.98 4.98 4.98 3.08 3.08

Delta

Gamma

Vega

Theta

Rho

Efecto Palanca

Volat. Implícita

Volumen

0.000 0.111 0.000 0.064 -0.093 -0.401 1.000 1.000 1.000 1.000 1.000 1.000 1.000 0.982 1.000 0.997 0.967 0.863 0.845 0.586 0.290 0.582 0.098 0.022 0.370 -0.155 -0.215 -0.190 -0.311 0.890 0.463 0.694 0.087 0.516 1.000 1.000 0.999 0.990 0.939 0.827 0.000 0.000 -0.008 1.000 1.000 1.000 1.000 0.999

0.005 0.488 0.000 0.321 1.155 2.687 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.013 0.000 0.008 0.057 0.063 0.186 0.305 0.268 0.113 0.135 0.041 0.109 0.186 0.085 0.058 0.102 0.122 0.260 0.085 0.104 0.096 0.000 0.000 0.003 0.031 0.147 0.115 0.000 0.000 0.010 0.000 0.000 0.000 0.000 0.001

0.000 0.003 0.000 0.002 0.001 0.002 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.005 0.000 0.000 0.003 0.027 0.011 0.017 0.015 0.047 0.008 0.002 0.046 0.011 0.035 0.045 0.043 0.014 0.030 0.071 0.012 0.081 0.000 0.000 0.000 0.001 0.003 0.017 0.000 0.000 0.002 0.000 0.000 0.000 0.000 0.000

0.000 -0.005 0.000 -0.003 -0.007 -0.013 -0.055 -0.053 -0.051 -0.067 -0.086 -0.096 -0.101 -0.111 -0.116 -0.125 -0.154 -0.137 -0.216 -0.252 -0.192 -0.136 -0.090 -0.027 -0.109 -0.085 -0.017 -0.004 -0.012 -0.296 -0.317 -0.216 -0.105 -0.190 -0.044 -0.056 -0.065 -0.074 -0.100 -0.080 0.000 0.000 -0.002 -0.022 -0.021 -0.020 -0.031 -0.029

0.000 0.001 0.000 0.000 0.000 0.000 0.003 0.021 0.037 0.027 0.005 0.005 0.005 0.041 0.006 0.007 0.007 0.040 0.006 0.004 0.002 0.028 0.001 0.000 0.018 -0.001 -0.013 -0.021 -0.018 0.011 0.006 0.058 0.001 0.044 0.017 0.003 0.003 0.004 0.004 0.021 0.000 0.000 0.000 0.001 0.008 0.014 0.002 0.021

89.91 17.67 124.35 19.59 46.23 30.01 1.68 1.63 1.58 1.96 2.66 3.30 3.76 4.28 6.41 8.36 11.64 6.50 17.00 24.74 34.54 9.68 45.73 57.74 12.18 39.60 12.88 9.61 11.35 21.32 39.64 11.61 65.39 14.33 2.37 3.87 6.27 8.26 11.51 6.08 27.34 104.45 19.31 1.85 1.78 1.72 2.97 2.54

81% 56% 50% 50% 48% 26% 29% 31% 47% 26% 50% 50% 35% 79% 37% 50% 50% -

1299 2497 9960 6000 94578 23779 40016 94829 1050 4000 2250 6085 7915 7500 1990 32525 14175 -

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

3

Reporte de Opciones

Subyacente

FRAN GARO GGAL

Precio

Serie

Tipo

Strike

Vto

Dias al Vto

Prima

% Var

Prima Teórica

Dif.vs Prima

Estado

9.28 9.28 9.28 9.28 9.28 9.28 9.28 9.28 9.28 9.28 9.28 9.28 9.28 9.28 9.28 9.28 9.28 9.28 103.00 9.60 9.60 48.25 48.25 48.25 48.25 48.25 48.25 48.25 48.25 48.25 48.25 48.25 48.25 48.25 48.25 48.25 48.25 48.25 48.25 48.25 48.25 48.25 48.25 48.25 48.25 48.25 48.25 48.25

ERAC7.20OC ERAC7.70OC ERAC8.30OC ERAC8.30DI ERAC8.30FE ERAC8.70OC ERAC8.70DI ERAC9.10OC ERAC9.10DI ERAC9.50OC ERAC9.50DI ERAC9.90OC ERAC9.90DI ERAV7.70DI ERAV7.70FE ERAV8.30OC ERAV9.10DI ERAV9.50OC FRAC84.0OC GARC10.5OC GARC11.0OC GFGC37.0DI GFGC42.0OC GFGC43.0OC GFGC44.0OC GFGC45.0OC GFGC45.0DI GFGC46.0OC GFGC46.0DI GFGC47.0OC GFGC47.0DI GFGC48.0OC GFGC48.0DI GFGC49.0OC GFGC49.0DI GFGC50.0OC GFGC50.0DI GFGC51.0OC GFGC52.0OC GFGC53.0DI GFGC55.0OC GFGC55.0DI GFGV11.0OC GFGV11.0DI GFGV11.0FE GFGV35.0FE GFGV37.0DI GFGV42.0OC

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

7.200 7.700 8.300 8.300 8.300 8.700 8.700 9.100 9.100 9.500 9.500 9.900 9.900 7.700 7.700 8.300 9.100 9.500 84.000 10.500 11.000 37.000 42.000 43.000 44.000 45.000 45.000 46.000 46.000 47.000 47.000 48.000 48.000 49.000 49.000 50.000 50.000 51.000 52.000 53.000 55.000 55.000 11.000 11.000 11.000 35.000 37.000 42.000

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

9.00 9.00 9.00 72.00 134.00 9.00 72.00 9.00 72.00 9.00 72.00 9.00 72.00 72.00 134.00 9.00 72.00 9.00 9.00 9.00 9.00 72.00 9.00 9.00 9.00 9.00 72.00 9.00 72.00 9.00 72.00 9.00 72.00 9.00 72.00 9.00 72.00 9.00 9.00 72.00 9.00 72.00 9.00 72.00 134.00 134.00 72.00 9.00

2.05 1.55 0.99 1.60 0.00 0.62 1.10 0.40 0.90 0.13 0.00 0.00 0.30 0.00 0.15 0.00 0.00 0.00 21.50 0.00 0.05 0.00 5.90 4.50 4.15 3.11 5.00 2.20 0.00 1.48 3.33 0.93 2.40 0.64 0.00 0.36 1.45 0.00 0.00 0.00 0.07 0.00 0.01 0.00 0.00 0.00 0.13 0.00

0% 0% -3% 19% -11% 0% 13% 6% -19% 0% -1% 5% -80% 13% 2% 27% 32% 19% 33% 56% 11% 55% 14% 83% 71% 13% 0% -41% -19% -

2.13 1.64 1.04 1.44 1.81 0.65 1.11 0.31 0.82 0.10 0.57 0.02 0.38 0.01 0.02 0.00 0.17 0.25 19.61 0.01 0.00 13.16 6.55 5.56 4.57 3.60 5.92 2.67 5.14 1.82 4.41 1.13 3.74 0.62 3.12 0.30 2.58 0.12 0.05 1.34 0.00 0.81 0.00 0.00 0.00 0.01 0.00 0.00

0.040 0.055 0.053 -0.098 0.049 0.011 -0.215 -0.090 -0.256 0.273 -0.876 -0.088 -0.994 0.111 0.236 0.102 0.157 0.185 0.212 0.232 0.324 0.213 0.556 -0.031 -0.170 0.779 -0.987 -1.000 -0.976 -

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

Valor Intrínseco 2.08 1.58 0.98 0.98 0.98 0.58 0.58 0.18 0.18

0.22 19.00

11.25 6.25 5.25 4.25 3.25 3.25 2.25 2.25 1.25 1.25 0.25 0.25

Cobertura Tasa Lanzam. % % 22.09% 16.70% 10.65% 17.24%

-0.4% -0.4% 0.1% 8.1%

6.68% 11.85% 4.26% 9.70% 1.40%

0.5% 6.4% 2.4% 8.6% 3.8%

3.23%

10.2%

20.87%

3.1%

0.52%

15.2%

12.23% 9.33% 8.60% 6.45% 10.36% 4.56%

-0.8% -1.7% -0.2% -0.3% 4.0% -0.1%

3.07% 6.90% 1.93% 4.97% 1.33%

0.5% 4.6% 1.4% 4.7% 2.9%

0.75% 3.01%

4.4% 6.8%

0.15%

14.2%

Delta

Gamma

Vega

Theta

Rho

Efecto Palanca

Volat. Implícita

Volumen

1.000 1.000 0.997 0.929 0.919 0.954 0.857 0.740 0.752 0.362 0.622 0.096 0.483 -0.017 -0.031 -0.003 -0.248 -0.638 1.000 0.036 0.002 0.998 1.000 0.999 0.992 0.970 0.875 0.911 0.830 0.796 0.777 0.626 0.717 0.430 0.652 0.254 0.583 0.127 0.054 0.379 0.002 0.261 0.000 0.000 0.000 -0.002 -0.002 0.000

0.000 0.000 0.021 0.125 0.102 0.241 0.209 0.809 0.292 0.935 0.351 0.423 0.368 0.040 0.047 0.021 0.292 0.935 0.000 0.182 0.017 0.001 0.000 0.002 0.011 0.034 0.038 0.081 0.047 0.141 0.055 0.189 0.062 0.196 0.068 0.160 0.072 0.104 0.055 0.070 0.003 0.060 0.000 0.000 0.000 0.001 0.001 0.000

0.000 0.000 0.000 0.006 0.008 0.001 0.009 0.005 0.013 0.006 0.016 0.003 0.017 0.002 0.004 0.000 0.013 0.006 0.000 0.001 0.000 0.001 0.000 0.000 0.002 0.005 0.044 0.013 0.055 0.023 0.064 0.030 0.073 0.031 0.080 0.026 0.084 0.017 0.009 0.082 0.000 0.070 0.000 0.000 0.000 0.002 0.001 0.000

-0.036 -0.039 -0.043 -0.043 -0.040 -0.055 -0.046 -0.079 -0.048 -0.069 -0.046 -0.028 -0.042 -0.001 -0.001 -0.001 -0.004 -0.021 -0.423 -0.014 -0.001 -0.179 -0.212 -0.220 -0.235 -0.267 -0.238 -0.323 -0.243 -0.384 -0.245 -0.413 -0.244 -0.378 -0.240 -0.285 -0.231 -0.177 -0.090 -0.185 -0.004 -0.144 0.000 0.000 0.000 -0.001 -0.001 0.000

0.002 0.002 0.002 0.014 0.025 0.002 0.014 0.002 0.012 0.001 0.010 0.000 0.008 0.000 -0.001 0.000 -0.005 -0.002 0.023 0.000 0.000 0.070 0.011 0.012 0.012 0.012 0.073 0.011 0.070 0.010 0.066 0.008 0.062 0.006 0.057 0.003 0.051 0.002 0.001 0.034 0.000 0.024 0.000 0.000 0.000 0.000 0.000 0.000

4.35 5.67 8.90 5.97 4.71 13.60 7.14 22.13 8.51 34.74 10.06 50.22 11.74 22.82 15.32 76.22 13.56 23.86 5.25 56.50 75.65 3.66 7.36 8.66 10.47 13.00 7.13 16.48 7.79 21.06 8.50 26.76 9.26 33.47 10.07 41.01 10.91 49.18 57.80 13.63 85.10 15.57 862.39 122.44 68.45 21.20 29.72 95.62

50% 50% 50% 44% 50% 25% 42% 32% 32% 21% 43% 50% 61% 50% 50% 50% 50% 50% 50% 50% 50% 18% 50% 26% 27% 11% 44% 50% 41% -

15375 23975 242060 3000 38729 20800 101017 53991 31504 3000 495 2150 225 10300 26560 525051 409697 42350 900532 674782 139239 428150 19680 266174 52556 208040 1535 500 1300 -

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

4

Reporte de Opciones

Subyacente

INDU

JMIN LONG METR MIRG

MOLI PAMP

Precio

Serie

Tipo

Strike

Vto

Dias al Vto

Prima

% Var

Prima Teórica

Dif.vs Prima

Estado

48.25 48.25 48.25 48.25 48.25 48.25 48.25 48.25 48.25 3.65 3.65 3.65 3.65 33.95 33.95 8.50 8.95 8.95 1355.00 1355.00 1355.00 1355.00 1355.00 1355.00 106.90 19.25 19.25 19.25 19.25 19.25 19.25 19.25 19.25 19.25 19.25 19.25 19.25 19.25 19.25 19.25 19.25 19.25 19.25 19.25 19.25 19.25 19.25 19.25

GFGV42.0DI GFGV44.0OC GFGV45.0OC GFGV45.0DI GFGV46.0OC GFGV46.0DI GFGV48.0OC GFGV49.0OC GFGV49.0DI INDC3.20DI INDC3.60OC INDC3.60DI INDC4.00OC JMIC29.0DI JMIC36.0DI LONC10.0OC METC8.40OC METC8.40DI MIRC1300.O MIRC1380.O MIRC1420.D MIRC1420.O MIRC1500.O MIRC1500.D MOLC80.0OC PAMC14.3OC PAMC14.3DI PAMC15.1DI PAMC15.5OC PAMC16.2OC PAMC16.2DI PAMC16.9OC PAMC16.9DI PAMC17.6OC PAMC17.6DI PAMC18.3OC PAMC19.0OC PAMC19.0DI PAMC19.7OC PAMC19.7DI PAMC20.4OC PAMC21.1OC PAMC21.1DI PAMV11.5DI PAMV11.5FE PAMV15.1OC PAMV15.5OC PAMV15.5DI

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

42.000 44.000 45.000 45.000 46.000 46.000 48.000 49.000 49.000 3.200 3.600 3.600 4.000 29.000 36.000 10.000 8.400 8.400 1300.000 1380.000 1420.000 1420.000 1500.000 1500.000 80.000 14.300 14.300 15.100 15.500 16.200 16.200 16.900 16.900 17.600 17.600 18.300 19.000 19.000 19.700 19.700 20.400 21.100 21.100 11.500 11.500 15.100 15.500 15.500

DI OC OC DI OC DI OC OC DI DI OC DI OC DI DI OC OC DI .O .O .D .O .O .D OC OC DI DI OC OC DI OC DI OC DI OC OC DI OC DI OC OC DI DI FE OC OC DI

72.00 9.00 9.00 72.00 9.00 72.00 9.00 9.00 72.00 72.00 9.00 72.00 9.00 72.00 72.00 9.00 9.00 72.00 9.00 9.00 72.00 9.00 9.00 72.00 9.00 9.00 72.00 72.00 9.00 9.00 72.00 9.00 72.00 9.00 72.00 9.00 9.00 72.00 9.00 72.00 9.00 9.00 72.00 72.00 134.00 9.00 9.00 72.00

0.44 0.00 0.23 1.00 0.36 0.00 1.00 0.00 3.00 0.00 0.00 0.50 0.00 0.00 1.90 0.00 0.00 0.00 80.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 3.05 0.00 2.70 3.60 1.80 0.00 1.20 0.75 1.85 0.28 1.10 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00

10% -49% -67% -28% -38% 0% 0% -37% -16% -13% -4% -4% -14% -20% -18% 0% -38% -33% -

0.09 0.01 0.02 0.35 0.08 0.52 0.53 1.02 1.35 0.70 0.16 0.45 0.03 7.30 3.29 0.44 0.63 1.13 73.02 24.62 88.67 11.83 1.81 57.18 27.48 5.05 5.71 4.97 3.86 3.17 4.00 2.48 3.42 1.81 2.89 1.19 0.69 1.95 0.34 1.57 0.14 0.05 0.96 0.00 0.00 0.00 0.00 0.06

-0.800 -0.896 -0.646 -0.766 -0.469 -0.551 -0.107 0.734 -0.087 0.039 -0.082 -0.049 0.003 -0.007 -0.081 0.055 0.218 0.425 -

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

Valor Intrínseco

0.75 0.75 0.45 0.05 0.05

Cobertura Tasa Lanzam. % %

13.70%

14.3%

5.60%

12.3%

5.90%

2.0%

15.84%

0.0%

14.03% 18.70% 9.35%

2.1% 8.0% 0.9%

6.23% 3.90% 9.61% 1.45% 5.71%

1.4% 2.7% 9.2% 3.8% 8.5%

4.95

0.55 0.55 55.00

26.90 4.95 4.95 4.15 3.75 3.05 3.05 2.35 2.35 1.65 1.65 0.95 0.25 0.25

Delta

Gamma

Vega

Theta

Rho

Efecto Palanca

Volat. Implícita

Volumen

-0.039 -0.008 -0.030 -0.125 -0.089 -0.170 -0.374 -0.570 -0.348 0.825 0.616 0.659 0.165 0.833 0.541 0.331 0.911 0.810 0.807 0.436 0.547 0.257 0.055 0.408 1.000 1.000 0.985 0.968 1.000 0.998 0.924 0.988 0.881 0.945 0.825 0.833 0.640 0.684 0.411 0.603 0.215 0.091 0.441 0.000 -0.002 0.000 0.000 -0.045

0.016 0.011 0.034 0.038 0.081 0.047 0.189 0.196 0.068 0.315 1.262 0.449 0.819 0.029 0.047 0.157 0.336 0.210 0.003 0.005 0.002 0.004 0.001 0.002 0.000 0.000 0.012 0.022 0.000 0.005 0.044 0.027 0.062 0.094 0.080 0.210 0.314 0.110 0.326 0.120 0.245 0.137 0.123 0.000 0.002 0.000 0.000 0.029

0.018 0.002 0.005 0.044 0.013 0.055 0.030 0.031 0.080 0.004 0.002 0.006 0.001 0.038 0.060 0.005 0.002 0.011 0.614 0.883 2.401 0.723 0.250 2.353 0.000 0.000 0.003 0.006 0.000 0.000 0.012 0.001 0.017 0.004 0.022 0.008 0.012 0.031 0.012 0.033 0.009 0.005 0.034 0.000 0.001 0.000 0.000 0.008

-0.012 -0.013 -0.041 -0.021 -0.091 -0.021 -0.171 -0.131 -0.004 -0.022 -0.051 -0.024 -0.029 -0.208 -0.238 -0.304 -0.065 -0.048 -12.726 -13.724 -7.350 -10.589 -3.444 -6.478 -0.403 -0.072 -0.073 -0.080 -0.078 -0.084 -0.092 -0.097 -0.099 -0.130 -0.106 -0.180 -0.215 -0.112 -0.201 -0.111 -0.142 -0.077 -0.099 0.000 -0.001 0.000 0.000 -0.010

-0.004 0.000 0.000 -0.013 -0.001 -0.017 -0.005 -0.008 -0.036 0.005 0.001 0.004 0.000 0.042 0.030 0.001 0.002 0.012 0.280 0.155 1.304 0.092 0.020 0.992 0.022 0.004 0.027 0.027 0.004 0.004 0.028 0.005 0.027 0.004 0.026 0.004 0.003 0.022 0.002 0.020 0.001 0.000 0.015 0.000 0.000 0.000 0.000 -0.002

21.28 71.96 61.16 17.08 51.15 15.82 33.99 27.06 12.46 4.30 13.95 5.39 23.62 3.88 5.57 6.44 12.93 6.43 14.98 24.00 8.35 29.44 41.44 9.67 3.89 3.81 3.32 3.75 4.98 6.07 4.44 7.68 4.95 10.07 5.51 13.46 17.88 6.74 23.20 7.41 29.19 35.64 8.82 22.72 13.86 71.66 65.44 13.65

37% 43% 37% 40% 40% 45% 59% 33% 46% 50% 86% 46% 36% 38% 42% 34% 32% 23% -

5224 5731 6600 33930 71285 15000 15000 12300 18000 40520 29220 22600 18530 37725 31180 1295 30440 7660 -

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

5

Reporte de Opciones

Subyacente

PESA PETR SAMI

TGNO4 TGSU2

TRAN

TS

Precio

Serie

Tipo

Strike

Vto

Dias al Vto

Prima

% Var

Prima Teórica

Dif.vs Prima

Estado

19.25 19.25 19.25 10.05 58.25 125.50 125.50 125.50 125.50 125.50 8.88 8.88 21.15 21.15 21.15 21.15 9.24 9.24 9.24 9.24 9.24 9.24 9.24 9.24 9.24 9.24 9.24 9.24 9.24 216.00 216.00 216.00 216.00 216.00

PAMV17.6OC PAMV18.3OC PAMV19.7DI PSAC9.95OC PETC52.0OC SAMC64.0OC SAMC64.0DI SAMC100.DI SAMC100.OC SAMC120.OC TGNC8.50OC TGNC8.50DI TGSC19.9OC TGSC19.9DI TGSC21.9OC TGSC21.9DI TRAC6.40DI TRAC7.00OC TRAC7.00DI TRAC7.30OC TRAC7.60OC TRAC7.90OC TRAC8.20OC TRAC8.50OC TRAC8.50DI TRAC8.80OC TRAC9.10OC TRAC9.40OC TRAC9.40DI TS.C205.OC TS.C213.OC TS.C229.DI TS.C229.OC TS.C237.OC

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

17.600 18.300 19.700 9.950 52.000 64.000 64.000 100.000 100.000 120.000 8.500 8.500 19.900 19.900 21.900 21.900 6.400 7.000 7.000 7.300 7.600 7.900 8.200 8.500 8.500 8.800 9.100 9.400 9.400 205.000 213.000 229.000 229.000 237.000

OC OC DI OC OC OC DI DI OC OC OC DI OC DI OC DI DI OC DI OC OC OC OC OC DI OC OC OC DI OC OC DI OC OC

9.00 9.00 72.00 9.00 9.00 9.00 72.00 72.00 9.00 9.00 9.00 72.00 9.00 72.00 9.00 72.00 72.00 9.00 72.00 9.00 9.00 9.00 9.00 9.00 72.00 9.00 9.00 9.00 72.00 9.00 9.00 72.00 9.00 9.00

0.00 0.20 0.00 0.21 0.00 0.00 0.00 32.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 3.30 2.20 0.00 0.00 0.00 1.35 1.00 0.80 0.00 0.47 0.40 0.00 0.25 0.00 7.00 0.00 2.55 0.75

5% 11% 0% 3% -12% -16% -15% -33% -15% -38% -64% 0% -27% -32%

0.03 0.11 1.00 0.19 6.64 61.96 64.80 30.96 26.22 7.16 0.47 0.97 1.42 2.49 0.15 1.20 3.17 2.29 2.61 1.99 1.69 1.40 1.10 0.82 1.35 0.56 0.34 0.19 0.78 13.19 7.11 11.66 1.02 0.26

-0.455 -0.106 -0.032 -0.039 0.041 0.035 0.103 0.024 0.189 -0.141 2.127 0.015 -0.602 -0.658

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

Valor Intrínseco

0.45 0.10 6.25 61.50 61.50 25.50 25.50 5.50 0.38 0.38 1.25 1.25

2.84 2.24 2.24 1.94 1.64 1.34 1.04 0.74 0.74 0.44 0.14

11.00 3.00

Cobertura Tasa Lanzam. % %

2.09%

1.1%

25.50%

7.0%

35.71% 23.81%

7.7% -0.6%

14.61% 10.82% 8.66%

0.1% -0.5% 0.7%

5.09% 4.33%

0.3% 2.9%

2.71%

4.6%

3.24%

1.9%

1.18% 0.35%

7.3% 10.1%

Delta

Gamma

Vega

Theta

Rho

Efecto Palanca

Volat. Implícita

Volumen

-0.055 -0.167 -0.397 0.835 0.988 1.000 1.000 0.964 1.000 0.815 0.857 0.788 0.942 0.845 0.273 0.584 0.995 1.000 0.980 1.000 1.000 0.996 0.981 0.933 0.816 0.825 0.653 0.449 0.617 0.877 0.667 0.513 0.171 0.054

0.094 0.210 0.120 1.382 0.010 0.000 0.000 0.004 0.000 0.035 0.520 0.247 0.125 0.095 0.357 0.155 0.009 0.000 0.031 0.000 0.003 0.019 0.081 0.228 0.172 0.450 0.645 0.691 0.247 0.018 0.032 0.013 0.022 0.010

0.004 0.008 0.033 0.004 0.003 0.000 0.000 0.044 0.000 0.056 0.003 0.012 0.004 0.023 0.012 0.037 0.001 0.000 0.002 0.000 0.000 0.000 0.001 0.002 0.011 0.004 0.006 0.006 0.016 0.073 0.130 0.385 0.091 0.039

-0.041 -0.088 -0.016 -0.057 -0.292 -0.323 -0.308 -0.534 -0.504 -1.190 -0.070 -0.047 -0.132 -0.107 -0.137 -0.104 -0.032 -0.035 -0.036 -0.037 -0.039 -0.042 -0.050 -0.066 -0.051 -0.088 -0.103 -0.099 -0.053 -1.703 -2.138 -1.089 -1.192 -0.497

0.000 -0.001 -0.017 0.002 0.014 0.017 0.121 0.180 0.027 0.026 0.002 0.012 0.005 0.031 0.002 0.022 0.012 0.002 0.013 0.002 0.002 0.002 0.002 0.002 0.012 0.002 0.002 0.001 0.010 0.048 0.038 0.198 0.010 0.003

37.13 29.50 7.62 44.67 8.67 2.03 1.94 3.91 4.79 14.29 16.07 7.22 14.05 7.17 37.77 10.32 2.90 4.03 3.47 4.64 5.45 6.59 8.22 10.52 5.59 13.64 17.57 22.24 7.29 14.36 20.26 9.50 36.43 45.85

48% 15% 51% 76% 50% 50% 50% 50% 50% 47% 50% 31% 46% 41%

5800 11541 36700 13500 15650 27865 4940 10271 6032 15895 6725 2100 1530 1500

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

VALE

42.00 42.00 286.80 286.80 286.80 286.80 286.80 286.80 286.80 286.80 286.80 286.80 286.80 286.80 286.80

VALC42.0DI VALC50.0DI YPFC240.OC YPFC260.OC YPFC280.DI YPFC280.OC YPFC300.DI YPFC300.OC YPFC31774O YPFC320.DI YPFV260.OC YPFV260.DI YPFV280.OC YPFV300.OC YPFV300.DI

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

42.000 50.000 240.000 260.000 280.000 280.000 300.000 300.000 317.700 320.000 260.000 260.000 280.000 300.000 300.000

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

72.00 72.00 9.00 9.00 72.00 9.00 72.00 9.00 9.00 72.00 9.00 72.00 9.00 9.00 72.00

5.00 0.00 48.00 28.00 26.50 11.50 17.50 2.50 0.72 8.00 8.00 0.00 5.00 0.00 0.00

25% 50% 12% 10% 21% 9% -2% -82% 14% 0% -18% -

5.04 2.04 48.53 28.70 25.94 10.42 14.17 1.26 0.05 6.70 0.02 1.31 1.59 12.29 11.90

0.007 0.011 0.025 -0.021 -0.094 -0.190 -0.498 -0.925 -0.162 -0.997 -0.681 -

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

YPFD

Valor Intrínseco

46.80 26.80 6.80 6.80

13.20 13.20

Cobertura Tasa Lanzam. % % 11.90%

13.5%

16.74% 9.76% 9.24% 4.01% 6.10% 0.87% 0.25% 2.79%

0.5% 0.5% 7.6% 1.7% 11.4% 5.5% 11.1% 14.8%

Delta

Gamma

Vega

Theta

Rho

Efecto Palanca

Volat. Implícita

Volumen

0.634 0.347 1.000 0.994 0.768 0.777 0.550 0.192 0.013 0.330 -0.006 -0.084 -0.223 -0.808 -0.450

0.038 0.037 0.000 0.001 0.009 0.025 0.012 0.023 0.003 0.011 0.001 0.005 0.025 0.023 0.012

0.071 0.069 0.000 0.008 0.392 0.142 0.508 0.129 0.016 0.465 0.008 0.197 0.142 0.129 0.508

-0.289 -0.240 -1.210 -1.373 -1.465 -2.345 -1.351 -1.429 -0.160 -1.016 -0.063 -0.113 -0.934 0.083 0.094

0.043 0.025 0.065 0.070 0.388 0.058 0.287 0.015 0.001 0.176 0.000 -0.051 -0.018 -0.067 -0.282

5.29 7.13 5.91 9.93 8.49 21.38 11.14 43.77 68.83 14.14 72.70 18.28 40.22 18.87 10.84

52% 50% 50% 27% 33% 32% 34% 41% 28% 50% 47% -

5000 9600 110640 68360 311950 131770 95610 576 17210 800 6720 -

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

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]