Reporte de Opciones

Flavia Matsuda Analista Cuantitativo @FlaviMatsuda [email protected]

viernes, 03 de febrero de 2017 Subyacente Precio AGRO

ALUA

APBR

28.00 28.00 28.00 10.25 10.25 10.25 10.25 10.25 10.25 10.25 10.25 10.25 10.25 10.25 10.25 10.25 10.25 10.25 82.45 82.45 82.45 82.45 82.45 82.45 82.45 82.45 82.45 82.45 82.45 82.45 82.45 82.45 82.45 82.45 82.45 82.45 82.45 82.45 82.45 82.45 82.45

Serie

Tipo

Strike

Vto

Dias al Vto

Prima

% Var

Prima Teórica

Dif.vs Prima

Estado

AGRC22.0FE AGRC26.0AB AGRC27.0AB ALUC5.80AB ALUC5.80JU ALUC6.70AB ALUC8.266F ALUC8.486A ALUC9.386F ALUC9.40AB ALUC9.40JU ALUC10.3AB ALUC10516F ALUC10.75A ALUC10966F ALUC11.2AB ALUC11.65F ALUC12086F PBRC18.4AB PBRC30.4FE PBRC42.4FE PBRC62.4AB PBRC74.4FE PBRC78.4FE PBRC78.4AB PBRC82.4FE PBRC82.4AB PBRC86.4FE PBRC86.4AB PBRC90.4FE PBRC90.4AB PBRC94.4FE PBRC94.4AB PBRC98.4FE PBRC98.4AB PBRC102.FE PBRC106.AB PBRC106.FE PBRC110.FE PBRC110.AB PBRV18.4FE

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 Put

22.000 26.000 27.000 5.800 5.800 6.700 8.260 8.480 9.380 9.400 9.400 10.300 10.510 10.700 10.960 11.200 11.600 12.080 18.400 30.400 42.400 62.400 74.400 78.400 78.400 82.400 82.400 86.400 86.400 90.400 90.400 94.400 94.400 98.400 98.400 102.000 106.000 106.000 110.000 110.000 18.400

FE AB AB AB JU AB F A F AB JU AB F A F AB F F AB FE FE AB FE FE AB FE AB FE AB FE AB FE AB FE AB FE AB FE FE AB FE

13.00 76.00 76.00 76.00 132.00 76.00 13.00 76.00 13.00 76.00 132.00 76.00 13.00 76.00 13.00 76.00 13.00 13.00 76.00 13.00 13.00 76.00 13.00 13.00 76.00 13.00 76.00 13.00 76.00 13.00 76.00 13.00 76.00 13.00 76.00 13.00 76.00 13.00 13.00 76.00 13.00

0.00 0.00 0.00 4.70 0.00 0.00 0.00 0.00 0.95 0.00 0.00 0.00 0.15 0.70 0.07 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 5.10 8.10 3.00 7.00 1.45 5.50 0.68 3.85 0.27 2.70 0.15 0.00 0.10 0.90 0.08 0.08 0.00 0.00

-2% -17% -25% -7% -14% 24% 1% 30% 17% 22% 10% 33% -4% 8% 8% -21% -23% 6% -21% -25% -

6.19 4.27 3.66 4.72 4.91 3.87 2.06 2.23 0.98 1.49 1.88 0.92 0.22 0.72 0.09 0.52 0.02 0.00 64.92 52.32 40.42 23.06 8.80 5.28 9.71 2.59 7.22 0.99 5.19 0.29 3.61 0.07 2.43 0.01 1.59 0.00 0.65 0.00 0.00 0.39 0.00

0.005 0.034 0.494 0.035 0.327 0.036 0.198 -0.137 0.032 -0.316 -0.056 -0.573 -0.062 -0.759 -0.100 -0.925 -0.981 -0.277 -0.997 -1.000 -

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

Valor Intrínseco 6.00 2.00 1.00 4.45 4.45 3.55 1.99 1.77 0.87 0.85 0.85

64.05 52.05 40.05 20.05 8.05 4.05 4.05 0.05 0.05

Cobertura %

Tasa Lanzam. %

45.85%

4.5%

9.27%

0.9%

1.46% 6.83% 0.68%

4.1% 12.0% 7.7%

6.19% 9.82% 3.64% 8.49% 1.76% 6.67% 0.82% 4.67% 0.33% 3.27% 0.18%

1.4% 5.4% 3.7% 9.2% 6.7% 12.3% 10.6% 15.0% 14.9% 18.4% 19.6%

0.12% 1.09% 0.10% 0.09%

23.9% 30.0% 28.7% 33.5%

Delta

Gamma

Vega

Theta

Rho

Efecto Palanca

Volat. Implícita

Volumen

0.997 0.747 0.689 1.000 0.999 0.998 0.999 0.930 0.915 0.809 0.807 0.633 0.426 0.546 0.223 0.440 0.062 0.018 1.000 1.000 1.000 0.985 0.956 0.821 0.761 0.569 0.652 0.296 0.535 0.112 0.420 0.031 0.316 0.006 0.228 0.001 0.111 0.000 0.000 0.073 0.000

0.004 0.052 0.057 0.000 0.002 0.004 0.004 0.077 0.208 0.155 0.119 0.215 0.524 0.226 0.399 0.225 0.163 0.059 0.000 0.000 0.000 0.003 0.017 0.048 0.024 0.071 0.029 0.063 0.031 0.035 0.030 0.013 0.028 0.003 0.023 0.001 0.015 0.000 0.000 0.011 0.000

0.001 0.041 0.045 0.000 0.000 0.000 0.000 0.006 0.003 0.013 0.017 0.018 0.008 0.019 0.006 0.019 0.002 0.001 0.000 0.000 0.000 0.014 0.015 0.042 0.118 0.063 0.140 0.056 0.151 0.031 0.148 0.011 0.135 0.003 0.115 0.001 0.072 0.000 0.000 0.052 0.000

-0.102 -0.163 -0.167 -0.024 -0.024 -0.028 -0.036 -0.043 -0.066 -0.051 -0.045 -0.054 -0.091 -0.053 -0.065 -0.049 -0.026 -0.009 -0.077 -0.132 -0.184 -0.277 -0.435 -0.633 -0.414 -0.734 -0.420 -0.577 -0.403 -0.301 -0.365 -0.107 -0.312 -0.027 -0.253 -0.006 -0.148 -0.001 0.000 -0.105 0.000

0.008 0.035 0.033 0.012 0.019 0.013 0.003 0.015 0.003 0.014 0.023 0.012 0.002 0.010 0.001 0.008 0.000 0.000 0.037 0.012 0.016 0.123 0.027 0.024 0.112 0.017 0.098 0.009 0.082 0.003 0.065 0.001 0.050 0.000 0.036 0.000 0.018 0.000 0.000 0.012 0.000

4.50 4.90 5.27 2.17 2.08 2.65 4.97 4.28 9.55 5.55 4.41 7.02 19.48 7.73 24.63 8.65 32.54 38.70 1.27 1.58 2.04 3.52 8.96 12.82 6.46 18.12 7.44 24.58 8.49 31.80 9.59 39.43 10.72 47.22 11.87 54.24 14.09 61.98 69.59 15.25 339.96

50% 50% 28% 36% 33% 29% 18% 41% 32% 42% 36% 45% 36% 45% 36% 50% 54% 37% 60% 67% -

151680 1900 12720 1960 15709 308717 41650 1123274 100460 845312 77710 154492 55880 55881 17625 4393 2430 3150 2711 5498 -

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

Reporte de Opciones

Subyacente Precio

BHIP

BOLT CADO CECO2

CELU

CEPU

CGPA2

COME

82.45 82.45 82.45 82.45 82.45 82.45 82.45 82.45 82.45 82.45 82.45 82.45 6.95 6.95 6.95 6.95 6.95 6.95 6.95 4.99 10.00 13.00 13.00 13.00 13.00 13.00 16.55 16.55 16.55 16.55 16.55 27.00 27.00 27.00 16.95 16.95 16.95 2.97 2.97 2.97 2.97 2.97 2.97 2.97 2.97 2.97 2.97

Serie

Tipo

Strike

Vto

Dias al Vto

Prima

% Var

Prima Teórica

Dif.vs Prima

Estado

PBRV42.4FE PBRV58.4FE PBRV58.4AB PBRV66.4FE PBRV70.4FE PBRV74.4FE PBRV78.4FE PBRV82.4FE PBRV82.4AB PBRV86.4FE PBRV86.4AB PBRV90.4FE BHIC5.05FE BHIC6.05AB BHIC6.05JU BHIC6.65FE BHIC6.65AB BHIC6.85FE BHIC6.85AB BOLC5.50FE CADC10.0FE CECC9.20FE CECC11.0FE CECC11.5FE CECC14.0FE CECC14.0AB CELC14.5FE CELC14.5AB CELC14.5JU CELC16.0FE CELC16.0AB CEPC210.FE CEPC220.FE CEPC230.FE CGPC15.0FE CGPC15.0AB CGPC15.0JU COMC2.00FE COMC2.00AB COMC2.20FE COMC2.60FE COMC2.60AB COMC2.60JU COMC2.80FE COMC2.80AB COMC3.00FE COMC3.00AB

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 Call

42.400 58.400 58.400 66.400 70.400 74.400 78.400 82.400 82.400 86.400 86.400 90.400 5.050 6.050 6.050 6.650 6.650 6.850 6.850 5.500 10.000 9.200 11.000 11.500 14.000 14.000 14.500 14.500 14.500 16.000 16.000 21.000 22.000 23.000 15.000 15.000 15.000 2.000 2.000 2.200 2.600 2.600 2.600 2.800 2.800 3.000 3.000

FE FE AB FE FE FE FE FE AB FE AB FE FE AB JU FE AB FE AB FE FE FE FE FE FE AB FE AB JU FE AB FE FE FE FE AB JU FE AB FE FE AB JU FE AB FE AB

13.00 13.00 76.00 13.00 13.00 13.00 13.00 13.00 76.00 13.00 76.00 13.00 13.00 76.00 132.00 13.00 76.00 13.00 76.00 13.00 13.00 13.00 13.00 13.00 13.00 76.00 13.00 76.00 132.00 13.00 76.00 13.00 13.00 13.00 13.00 76.00 132.00 13.00 76.00 13.00 13.00 76.00 132.00 13.00 76.00 13.00 76.00

0.00 0.00 0.00 0.00 0.00 0.00 0.79 1.81 3.00 4.50 5.50 8.00 0.00 1.40 0.00 0.55 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.27 0.00 0.00 0.00 0.00 0.00 0.00 20.00 10.00 0.00 0.00 0.00 0.00 0.97 1.04 0.00 0.35 0.54 0.00 0.19 0.37 0.09 0.22

-23% -35% -19% -12% 10% -16% 0% -16% -23% 135% 150% -3% 0% -4% 10% 17% 12% 16% 5%

0.00 0.00 0.02 0.00 0.01 0.10 0.55 1.82 3.30 4.19 5.08 7.45 1.94 1.33 1.59 0.46 0.92 0.34 0.81 0.02 0.24 3.88 2.12 1.66 0.21 1.08 2.20 2.99 3.60 0.94 1.96 6.18 5.19 4.20 2.29 3.62 4.47 0.99 1.06 0.79 0.39 0.51 0.61 0.21 0.35 0.07 0.22

-0.303 0.006 0.099 -0.069 -0.077 -0.068 -0.053 -0.155 -0.217 -0.691 -0.481 0.018 0.023 0.123 -0.056 0.064 -0.049 -0.192 0.017

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

Valor Intrínseco

3.95 3.95 7.95 1.90 0.90 0.90 0.30 0.30 0.10 0.10

Cobertura %

Tasa Lanzam. %

20.14%

9.0%

7.91%

3.9%

2.08%

10.0%

74.07% 37.04%

200.0% 29.4%

32.66% 35.02%

0.0% 3.6%

11.78% 18.18%

-0.8% 7.0%

6.50% 12.46% 2.86% 7.41%

0.8% 7.7% 4.0% 9.1%

3.80 2.00 1.50

2.05 2.05 2.05 0.55 0.55 6.00 5.00 4.00 1.95 1.95 1.95 0.97 0.97 0.77 0.37 0.37 0.37 0.17 0.17

Delta

Gamma

Vega

Theta

Rho

Efecto Palanca

Volat. Implícita

Volumen

0.000 0.000 -0.005 0.000 -0.006 -0.044 -0.179 -0.431 -0.348 -0.704 -0.465 -0.888 1.000 0.837 0.824 0.735 0.705 0.618 0.656 0.119 0.581 1.000 0.963 0.912 0.275 0.504 0.963 0.852 0.839 0.714 0.701 1.000 1.000 1.000 0.844 0.753 0.756 1.000 0.999 1.000 0.992 0.914 0.898 0.878 0.799 0.503 0.634

0.000 0.000 0.001 0.000 0.003 0.017 0.048 0.071 0.029 0.063 0.031 0.035 0.001 0.166 0.133 0.519 0.233 0.604 0.249 0.548 0.808 0.001 0.061 0.122 0.254 0.130 0.061 0.074 0.059 0.254 0.111 0.000 0.000 0.000 0.101 0.057 0.043 0.000 0.005 0.000 0.123 0.378 0.327 1.142 0.678 2.255 0.907

0.000 0.000 0.005 0.000 0.003 0.015 0.042 0.063 0.140 0.056 0.151 0.031 0.000 0.008 0.011 0.004 0.011 0.005 0.012 0.002 0.008 0.000 0.002 0.004 0.008 0.024 0.003 0.018 0.024 0.011 0.026 0.000 0.000 0.000 0.008 0.025 0.032 0.000 0.000 0.000 0.000 0.002 0.003 0.001 0.004 0.002 0.005

0.000 0.000 -0.006 -0.002 -0.020 -0.112 -0.292 -0.377 -0.077 -0.202 -0.043 0.091 -0.022 -0.036 -0.031 -0.072 -0.041 -0.078 -0.041 -0.021 -0.072 -0.040 -0.072 -0.097 -0.124 -0.080 -0.087 -0.082 -0.072 -0.161 -0.092 -0.091 -0.096 -0.100 -0.194 -0.119 -0.097 -0.009 -0.008 -0.010 -0.012 -0.013 -0.012 -0.019 -0.014 -0.024 -0.014

0.000 0.000 -0.001 0.000 0.000 -0.001 -0.006 -0.014 -0.068 -0.024 -0.092 -0.031 0.002 0.009 0.015 0.002 0.008 0.002 0.008 0.000 0.002 0.003 0.004 0.004 0.001 0.012 0.005 0.023 0.037 0.004 0.020 0.008 0.008 0.009 0.005 0.019 0.030 0.001 0.004 0.001 0.001 0.005 0.008 0.001 0.004 0.001 0.004

153.86 84.17 19.38 57.49 45.96 35.70 26.84 19.52 8.71 13.87 7.55 9.82 3.57 4.39 3.60 10.99 5.32 12.76 5.65 28.83 24.36 3.35 5.92 7.16 16.93 6.08 7.25 4.71 3.85 12.60 5.91 4.37 5.20 6.43 6.26 3.53 2.86 3.01 2.79 3.76 7.49 5.33 4.40 12.70 6.74 21.76 8.41

39% 34% 32% 40% 37% 48% 55% 65% 58% 50% 50% 50% 50% 50% 42% 50% 35% 37% 30%

38936 192345 20390 289787 8450 29000 3500 7485 16200 28000 3000 18070 6160 1400 93600 31364 7333 35336 14460

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

2

Reporte de Opciones

Subyacente Precio

CRES

CTIO

DYCA EDN

ERAR

2.97 2.97 2.97 2.97 2.97 2.97 2.97 2.97 2.97 2.97 2.97 2.97 2.97 27.80 27.80 27.80 27.80 27.80 27.80 27.80 27.80 27.80 27.80 27.80 27.80 27.80 27.80 27.80 27.80 27.80 42.65 42.65 42.65 42.65 42.65 42.65 39.50 39.50 26.70 26.70 26.70 26.70 26.70 10.40 10.40 10.40 10.40

Serie

Tipo

Strike

Vto

Dias al Vto

Prima

% Var

Prima Teórica

Dif.vs Prima

Estado

COMC3.15FE COMC3.15AB COMC3.30FE COMC3.30AB COMC3.45FE COMC3.45AB COMC3.60FE COMC3.75FE COMC3.75AB COMC4.05AB COMV2.80FE COMV3.00FE COMV3.00AB CREC11.0AB CREC23.0FE CREC24.0FE CREC24.0AB CREC25827F CREC26827F CREC27827F CREC28.0AB CREC29.0AB CREC29827F CREC30.0AB CREC30.0JU CREC10827F CREV25827F CREV26.0AB CREV27827F CREV28.0AB CTOC38.0FE CTOC40.0AB CTOC46.0FE CTOC46.0AB CTOC46.0JU CTOC48.0JU DYCC40.0FE DYCC40.0AB EDNC24.0FE EDNC24.0AB EDNC25.0FE EDNC26.0FE EDNV18.1FE ERAC4.30FE ERAC4.30AB ERAC4.30JU ERAC6.20FE

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

3.150 3.150 3.300 3.300 3.450 3.450 3.600 3.750 3.750 4.050 2.800 3.000 3.000 11.000 23.000 24.000 24.000 25.820 26.820 27.820 28.000 29.000 29.820 30.000 30.000 108.200 25.820 26.000 27.820 28.000 38.000 40.000 46.000 46.000 46.000 48.000 40.000 40.000 24.000 24.000 25.000 26.000 18.100 4.300 4.300 4.300 6.200

FE AB FE AB FE AB FE FE AB AB FE FE AB AB FE FE AB F F F AB AB F AB JU F F AB F AB FE AB FE AB JU JU FE AB FE AB FE FE FE FE AB JU FE

13.00 76.00 13.00 76.00 13.00 76.00 13.00 13.00 76.00 76.00 13.00 13.00 76.00 76.00 13.00 13.00 76.00 13.00 13.00 13.00 76.00 76.00 13.00 76.00 132.00 13.00 13.00 76.00 13.00 76.00 13.00 76.00 13.00 76.00 132.00 132.00 13.00 76.00 13.00 76.00 13.00 13.00 13.00 13.00 76.00 132.00 13.00

0.03 0.14 0.01 0.10 0.00 0.00 0.00 0.00 0.04 0.02 0.00 0.00 0.00 0.00 5.50 0.00 5.80 2.07 1.50 0.60 2.00 1.80 0.20 1.75 3.00 0.00 0.10 0.00 0.00 0.00 5.15 0.00 0.00 1.70 0.00 0.00 0.00 0.00 0.00 0.00 1.70 0.80 0.00 0.00 6.25 7.00 0.00

19% -12% -9% 0% -40% -20% -27% 0% -2% -23% -20% -44% -33% -10% -28% -3% -9% -83% 14% 13% -32% -20% -4% 5% -

0.02 0.15 0.00 0.10 0.00 0.06 0.00 0.00 0.02 0.01 0.01 0.07 0.11 17.32 5.00 4.02 5.19 2.32 1.53 0.91 2.44 1.94 0.22 1.52 2.54 0.00 0.12 0.65 0.69 1.32 5.00 5.22 0.18 1.89 3.31 2.51 1.41 4.13 3.02 4.55 2.19 1.49 0.00 6.14 6.30 6.44 4.25

-0.189 0.077 -0.591 -0.031 -0.982 -0.509 -0.747 -0.091 -0.106 0.122 0.020 0.513 0.219 0.078 0.116 -0.131 -0.155 0.179 -0.029 0.112 0.289 0.861 0.008 -0.080 -

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

Valor Intrínseco

0.03 0.03 16.80 4.80 3.80 3.80 1.98 0.98

0.02 0.20 4.65 2.65

2.70 2.70 1.70 0.70 6.10 6.10 6.10 4.20

Cobertura %

Tasa Lanzam. %

0.84% 4.71% 0.34% 3.37%

7.0% 11.3% 11.5% 15.0%

0.10%

21.3%

1.35% 0.74%

28.0% 37.4%

19.78%

3.1%

20.86% 7.45% 5.40% 2.16% 7.19% 6.47% 0.72% 6.29% 10.79%

9.1% 0.3% 2.0% 2.3% 8.5% 11.5% 8.0% 15.2% 21.0%

12.08%

1.3%

3.99%

12.3%

6.37% 3.00%

0.0% 0.4%

60.10% 67.31%

3.6% 26.5%

Delta

Gamma

Vega

Theta

Rho

Efecto Palanca

Volat. Implícita

Volumen

0.209 0.497 0.056 0.367 0.010 0.255 0.001 0.000 0.105 0.035 -0.122 -0.497 -0.366 1.000 0.997 0.986 0.893 0.883 0.745 0.559 0.629 0.547 0.206 0.467 0.557 0.000 -0.117 -0.221 -0.441 -0.371 0.982 0.807 0.140 0.451 0.553 0.462 0.502 0.607 0.905 0.797 0.806 0.667 0.000 1.000 1.000 1.000 1.000

1.623 0.962 0.635 0.908 0.146 0.775 0.021 0.002 0.438 0.188 1.142 2.255 0.907 0.000 0.004 0.017 0.039 0.099 0.161 0.198 0.081 0.085 0.143 0.085 0.064 0.000 0.099 0.064 0.198 0.081 0.017 0.046 0.087 0.066 0.050 0.050 0.108 0.044 0.069 0.049 0.113 0.149 0.000 0.000 0.000 0.000 0.000

0.002 0.005 0.001 0.005 0.000 0.004 0.000 0.000 0.002 0.001 0.001 0.002 0.005 0.000 0.000 0.002 0.023 0.011 0.017 0.021 0.048 0.051 0.016 0.051 0.066 0.000 0.011 0.038 0.021 0.048 0.004 0.054 0.019 0.078 0.102 0.102 0.031 0.070 0.009 0.035 0.014 0.019 0.000 0.000 0.000 0.000 0.000

-0.015 -0.013 -0.006 -0.011 -0.001 -0.009 0.000 0.000 -0.005 -0.002 -0.007 -0.011 -0.002 -0.046 -0.103 -0.120 -0.125 -0.195 -0.244 -0.261 -0.146 -0.142 -0.166 -0.135 -0.121 0.000 -0.083 -0.033 -0.140 -0.029 -0.190 -0.203 -0.169 -0.184 -0.171 -0.158 -0.450 -0.239 -0.196 -0.147 -0.252 -0.293 0.000 -0.019 -0.018 -0.017 -0.027

0.000 0.003 0.000 0.002 0.000 0.001 0.000 0.000 0.001 0.000 0.000 -0.001 -0.003 0.022 0.009 0.009 0.041 0.009 0.007 0.006 0.032 0.028 0.002 0.024 0.047 0.000 -0.001 -0.014 -0.005 -0.025 0.014 0.062 0.002 0.037 0.074 0.063 0.007 0.042 0.008 0.035 0.007 0.006 0.000 0.002 0.009 0.014 0.002

30.57 9.80 40.38 11.25 50.65 12.76 61.04 71.38 15.86 18.96 33.15 20.34 9.64 1.61 5.54 6.82 4.79 10.56 13.53 17.11 7.17 7.85 25.64 8.54 6.10 264.79 27.63 9.52 17.90 7.82 8.38 6.59 33.41 10.18 7.13 7.85 14.12 5.80 7.99 4.67 9.81 11.97 51.63 1.69 1.65 1.61 2.44

33% 28% 37% 31% 48% 37% 40% 50% 57% 50% 35% 22% 27% 34% 35% 41% 44% 35% 48% 28% 50% 50% 50% 50% -

33076 10200 7049 49205 267 2000 5140 13750 12900 6310 16362 171513 13200 26063 24680 44212 22800 200 49920 2890 8840 4000 131422 2800 -

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

3

Reporte de Opciones

Subyacente Precio

FRAN

GBAN GGAL

10.40 10.40 10.40 10.40 10.40 10.40 10.40 10.40 10.40 10.40 10.40 10.40 10.40 10.40 10.40 10.40 10.40 10.40 10.40 99.95 99.95 99.95 99.95 36.50 36.50 50.55 50.55 50.55 50.55 50.55 50.55 50.55 50.55 50.55 50.55 50.55 50.55 50.55 50.55 50.55 50.55 50.55 50.55 50.55 50.55 50.55 50.55

Serie

Tipo

Strike

Vto

Dias al Vto

Prima

% Var

Prima Teórica

ERAC8.30FE ERAC8.30AB ERAC8.70FE ERAC9.10FE ERAC9.50FE ERAC9.50AB ERAC9.90FE ERAC9.90AB ERAC10.3FE ERAC10.3AB ERAC10.3JU ERAC10.7AB ERAC11.1FE ERAC11.1AB ERAC12.0FE ERAV7.70FE ERAV9.50FE ERAV9.90FE ERAV11.1FE FRAC74.0FE FRAC84.0FE FRAC96.0FE FRAC102.AB GNBC35.0AB GNBC35.0JU GFGC31.0FE GFGC35.0FE GFGC36.0FE GFGC37.0FE GFGC38.0FE GFGC39.0FE GFGC40.0FE GFGC41.0FE GFGC42.0FE GFGC42.0AB GFGC43.0FE GFGC43.0AB GFGC44.0FE GFGC45.0FE GFGC45.0AB GFGC46.0FE GFGC46.0AB GFGC47.0FE GFGC47.0AB GFGC48.0FE GFGC48.0AB GFGC49.0FE

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

8.300 8.300 8.700 9.100 9.500 9.500 9.900 9.900 10.300 10.300 10.300 10.700 11.100 11.100 12.000 7.700 9.500 9.900 11.100 74.000 84.000 96.000 102.000 35.000 35.000 31.000 35.000 36.000 37.000 38.000 39.000 40.000 41.000 42.000 42.000 43.000 43.000 44.000 45.000 45.000 46.000 46.000 47.000 47.000 48.000 48.000 49.000

FE AB FE FE FE AB FE AB FE AB JU AB FE AB FE FE FE FE FE FE FE FE AB AB JU FE FE FE FE FE FE FE FE FE AB FE AB FE FE AB FE AB FE AB FE AB FE

13.00 76.00 13.00 13.00 13.00 76.00 13.00 76.00 13.00 76.00 132.00 76.00 13.00 76.00 13.00 13.00 13.00 13.00 13.00 13.00 13.00 13.00 76.00 76.00 132.00 13.00 13.00 13.00 13.00 13.00 13.00 13.00 13.00 13.00 76.00 13.00 76.00 13.00 13.00 76.00 13.00 76.00 13.00 76.00 13.00 76.00 13.00

2.25 0.00 0.00 1.40 1.20 1.65 0.60 1.35 0.45 0.93 2.55 0.70 0.12 0.00 0.04 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 11.80 11.10 0.00 8.60 9.20 7.80 8.40 6.70 6.00 0.00 4.80 0.00 3.60 0.00 2.90 0.00 2.20

1% 2.17 2.55 1.78 -11% 1.39 9% 1.03 -13% 1.59 -29% 0.70 -13% 1.33 -10% 0.44 -3% 1.09 -2% 1.51 -13% 0.88 -29% 0.12 0.71 -48% 0.02 0.00 0.04 0.11 0.73 26.60 16.69 5.67 7.63 #¡VALOR! #¡VALOR! 19.82 15.86 14.86 13.87 12.88 8% 11.89 11% 10.90 9.91 7% 8.92 8% 10.69 8% 7.93 17% 9.81 3% 6.94 7% 5.97 8.14 2% 5.02 7.35 -2% 4.10 6.59 12% 3.25 5.88 7% 2.48

Dif.vs Prima

Estado

-0.034 -0.006 -0.146 -0.034 0.165 -0.017 -0.032 0.172 -0.407 0.261 0.031 -0.552 0.008 -0.018 0.037 0.162 0.016 0.168 0.036 -0.005 0.045 0.140 0.121 0.129

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

Valor Intrínseco

Cobertura %

Tasa Lanzam. %

2.10 2.10 1.70 1.30 0.90 0.90 0.50 0.50 0.10 0.10 0.10

21.63%

1.8%

13.46% 11.54% 15.87% 5.77% 12.98% 4.33% 8.94% 24.52% 6.73% 1.15%

1.1% 3.3% 8.6% 1.0% 9.4% 3.5% 8.8% 31.2% 10.3% 8.0%

0.38%

15.8%

23.34% 21.96%

0.6% 1.4%

17.01% 18.20% 15.43% 16.62% 13.25% 11.87%

0.1% 1.6% 0.6% 2.0% 0.3% 1.0%

9.50%

0.5%

7.12%

0.1%

5.74%

0.7%

4.35%

1.3%

0.70 25.95 15.95 3.95 1.50 1.50 19.55 15.55 14.55 13.55 12.55 11.55 10.55 9.55 8.55 8.55 7.55 7.55 6.55 5.55 5.55 4.55 4.55 3.55 3.55 2.55 2.55 1.55

Delta

Gamma

Vega

Theta

0.998 0.938 0.991 0.964 0.898 0.796 0.776 0.729 0.606 0.655 0.691 0.579 0.255 0.502 0.052 0.000 -0.102 -0.224 -0.745 1.000 0.997 0.779 0.601 #¡VALOR! #¡VALOR! 1.000 1.000 1.000 1.000 1.000 1.000 1.000 1.000 0.999 0.950 0.997 0.931 0.991 0.977 0.881 0.951 0.849 0.906 0.813 0.838 0.772 0.746

0.006 0.062 0.029 0.094 0.212 0.144 0.356 0.168 0.458 0.187 0.136 0.199 0.383 0.203 0.127 0.000 0.212 0.356 0.383 0.000 0.001 0.044 0.025 #¡VALOR! #¡VALOR! 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.001 0.014 0.003 0.018 0.008 0.017 0.026 0.032 0.031 0.052 0.036 0.077 0.040 0.100

0.000 0.006 0.001 0.002 0.004 0.014 0.006 0.016 0.008 0.018 0.022 0.019 0.007 0.019 0.002 0.000 0.004 0.006 0.007 0.000 0.002 0.058 0.177 #¡VALOR! #¡VALOR! 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.024 0.001 0.031 0.002 0.005 0.046 0.010 0.054 0.017 0.062 0.024 0.070 0.032

-0.037 -0.042 -0.043 -0.054 -0.074 -0.055 -0.095 -0.057 -0.106 -0.058 -0.049 -0.058 -0.079 -0.055 -0.025 0.000 -0.033 -0.052 -0.030 -0.321 -0.378 -0.813 -0.505 #¡VALOR! #¡VALOR! -0.135 -0.152 -0.156 -0.161 -0.165 -0.169 -0.174 -0.179 -0.185 -0.199 -0.194 -0.208 -0.209 -0.233 -0.227 -0.270 -0.236 -0.317 -0.243 -0.368 -0.249 -0.411

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

Rho

Efecto Palanca

0.003 4.78 0.015 3.83 0.003 5.79 0.003 7.21 0.003 9.11 0.014 5.19 0.003 11.54 0.013 5.71 0.002 14.47 0.012 6.25 0.021 4.75 0.011 6.82 0.001 21.46 0.010 7.40 0.000 30.32 0.000 52.48 0.000 25.17 -0.001 20.63 -0.003 10.65 0.028 3.76 0.032 5.97 0.028 13.73 0.111 7.87 #¡VALOR! #¡VALOR! #¡VALOR! #¡VALOR! 0.012 2.55 0.013 3.19 0.014 3.40 0.014 3.64 0.014 3.92 0.015 4.25 0.015 4.64 0.016 5.10 0.016 5.66 0.079 4.49 0.016 6.36 0.079 4.80 0.017 7.21 0.017 8.28 0.077 5.47 0.017 9.58 0.075 5.84 0.016 11.16 0.073 6.23 0.015 13.02 0.070 6.64 0.014 15.18

Volat. Implícita

Volumen

93% 46% 75% 45% 21% 43% 43% 32% 87% 31% 41% 49% 50% 82% 50% 50% 50% 50% 50% 37% 50% 50% 50% 23%

6525 11800 9597 1980 9000 4050 59129 13020 5100 21300 15568 240 73880 101500 4300 9060 52495 4200 20770 92335 35500 34756 244280 169510

4

Reporte de Opciones

Subyacente Precio

INDU

JMIN

LEDE METR

MIRG

50.55 50.55 50.55 50.55 50.55 50.55 50.55 50.55 50.55 50.55 50.55 50.55 50.55 50.55 50.55 50.55 50.55 50.55 50.55 50.55 50.55 50.55 50.55 50.55 50.55 50.55 50.55 50.55 50.55 50.55 50.55 50.55 3.52 3.52 3.52 3.52 37.50 37.50 37.50 37.50 37.50 17.70 16.60 16.60 16.60 16.60 301.50

Serie

Tipo

Strike

Vto

Dias al Vto

Prima

% Var

Prima Teórica

Dif.vs Prima

Estado

GFGC50.0FE GFGC50.0AB GFGC51.0FE GFGC52.0FE GFGC52.0JU GFGC53.0FE GFGC53.0AB GFGC54.0FE GFGC55.0FE GFGC55.0AB GFGC56.0FE GFGC57.0FE GFGC60.0FE GFGC60.0AB GFGV11.0FE GFGV11.0AB GFGV11.0JU GFGV35.0FE GFGV42.0FE GFGV42.0AB GFGV44.0FE GFGV45.0FE GFGV45.0AB GFGV46.0FE GFGV47.0FE GFGV49.0FE GFGV49.0AB GFGV50.0FE GFGV50.0AB GFGV51.0FE GFGV52.0FE GFGV52.0AB INDC3.20AB INDC3.60FE INDC3.60AB INDC4.00FE JMIC29.0FE JMIC36.0FE JMIC36.0AB JMIC37.0FE JMIC37.0AB LEDC13.5FE METC10.8FE METC11.2AB METC16.0AB METC17.0AB MIRC300.FE

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

50.000 50.000 51.000 52.000 52.000 53.000 53.000 54.000 55.000 55.000 56.000 57.000 60.000 60.000 11.000 11.000 11.000 35.000 42.000 42.000 44.000 45.000 45.000 46.000 47.000 49.000 49.000 50.000 50.000 51.000 52.000 52.000 3.200 3.600 3.600 4.000 29.000 36.000 36.000 37.000 37.000 13.500 10.800 11.200 16.000 17.000 300.000

FE AB FE FE JU FE AB FE FE AB FE FE FE AB FE AB JU FE FE AB FE FE AB FE FE FE AB FE AB FE FE AB AB FE AB FE FE FE AB FE AB FE FE AB AB AB FE

13.00 76.00 13.00 13.00 132.00 13.00 76.00 13.00 13.00 76.00 13.00 13.00 13.00 76.00 13.00 76.00 132.00 13.00 13.00 76.00 13.00 13.00 76.00 13.00 13.00 13.00 76.00 13.00 76.00 13.00 13.00 76.00 76.00 13.00 76.00 13.00 13.00 13.00 76.00 13.00 76.00 13.00 13.00 76.00 76.00 76.00 13.00

1.47 4.10 0.93 0.55 0.00 0.38 2.50 0.22 0.12 1.71 0.00 0.00 0.02 0.76 0.01 0.00 0.00 0.00 0.00 0.00 0.00 0.07 0.00 0.00 0.20 0.55 2.00 0.95 2.30 1.25 1.90 5.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 6.60 0.00 0.00 0.00

-2% 17% -15% -29% -16% 25% -26% -33% 4% -74% 1% -33% -82% -23% -38% 0% -15% 0% 8% -14% 2% 10% -

1.82 4.59 1.28 0.85 5.33 0.54 3.02 0.33 0.19 2.21 0.10 0.05 0.01 0.91 0.00 0.00 0.00 0.00 0.00 0.17 0.01 0.03 0.47 0.07 0.14 0.51 1.36 0.83 1.69 1.28 1.85 2.50 0.52 0.07 0.27 0.00 8.75 2.36 4.74 1.72 4.16 4.32 5.89 5.96 2.21 1.69 15.82

0.239 0.119 0.373 0.554 0.433 0.208 0.487 0.584 0.294 -0.727 0.203 -1.000 -0.605 -0.277 -0.080 -0.322 -0.122 -0.266 0.026 -0.026 -0.501 -0.098 -

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

Valor Intrínseco

Cobertura %

Tasa Lanzam. %

0.55 0.55

2.91% 8.11% 1.84% 1.09%

1.9% 7.6% 2.8% 4.0%

0.75% 4.95% 0.44% 0.24% 3.38%

5.6% 10.3% 7.3% 9.1% 12.6%

0.04% 1.50%

18.7% 20.5%

39.76%

12.0%

0.45 1.45 1.45 0.32

8.50 1.50 1.50 0.50 0.50 4.20 5.80 5.40 0.60 1.50

Delta

Gamma

Vega

Theta

Rho

Efecto Palanca

Volat. Implícita

Volumen

0.634 0.681 0.512 0.391 0.648 0.282 0.532 0.192 0.123 0.433 0.074 0.042 0.006 0.226 0.000 0.000 0.000 0.000 -0.001 -0.050 -0.009 -0.023 -0.119 -0.049 -0.094 -0.254 -0.272 -0.366 -0.319 -0.488 -0.609 -0.418 0.835 0.434 0.595 0.044 0.999 0.733 0.707 0.619 0.658 1.000 1.000 0.981 0.688 0.587 0.570

0.117 0.047 0.124 0.120 0.038 0.105 0.053 0.085 0.063 0.052 0.044 0.028 0.005 0.040 0.000 0.000 0.000 0.000 0.001 0.014 0.008 0.017 0.026 0.032 0.052 0.100 0.044 0.117 0.047 0.124 0.120 0.052 0.439 1.632 0.685 0.387 0.001 0.103 0.046 0.119 0.049 0.000 0.000 0.013 0.094 0.104 0.011

0.037 0.083 0.039 0.038 0.113 0.033 0.092 0.027 0.020 0.091 0.014 0.009 0.002 0.070 0.000 0.000 0.000 0.000 0.000 0.024 0.002 0.005 0.046 0.010 0.017 0.032 0.077 0.037 0.083 0.039 0.038 0.091 0.004 0.003 0.006 0.001 0.000 0.024 0.059 0.028 0.063 0.000 0.000 0.004 0.027 0.030 0.232

-0.434 -0.253 -0.428 -0.391 -0.217 -0.331 -0.241 -0.260 -0.190 -0.221 -0.129 -0.082 -0.014 -0.149 0.000 0.000 0.000 0.000 -0.002 -0.024 -0.018 -0.038 -0.040 -0.070 -0.113 -0.199 -0.047 -0.217 -0.044 -0.206 -0.165 -0.030 -0.017 -0.030 -0.018 -0.006 -0.128 -0.373 -0.213 -0.399 -0.215 -0.059 -0.047 -0.053 -0.101 -0.102 -4.071

0.012 0.063 0.009 0.007 0.100 0.005 0.050 0.004 0.002 0.042 0.001 0.001 0.000 0.022 0.000 0.000 0.000 0.000 0.000 -0.006 0.000 0.000 -0.014 -0.001 -0.002 -0.005 -0.032 -0.007 -0.038 -0.010 -0.013 -0.050 0.005 0.001 0.004 0.000 0.011 0.010 0.046 0.008 0.043 0.005 0.004 0.022 0.019 0.017 0.060

17.60 7.50 20.27 23.15 6.14 26.21 8.91 29.41 32.72 9.90 36.12 39.59 50.17 12.48 381.68 71.77 42.73 97.89 55.97 15.18 45.98 41.35 12.81 36.96 32.83 25.43 10.13 22.18 9.54 19.24 16.62 8.45 5.61 20.52 7.76 36.52 4.28 11.66 5.59 13.51 5.93 4.10 2.82 2.73 5.16 5.79 10.87

23% 26% 24% 24% 27% 27% 28% 29% 27% 38% 30% 50% 38% 36% 34% 41% 35% 40% 32% 34% 60% 50% -

110662 17340 467216 216658 94339 23283 41214 22854 82925 927 2456 100 647 7480 13873 16000 27431 41150 3200 4650 500 31980 -

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

5

Reporte de Opciones

Subyacente Precio

MOLI PAMP

PETR

PSUR SAMI

301.50 301.50 301.50 301.50 100.50 100.50 29.45 29.45 29.45 29.45 29.45 29.45 29.45 29.45 29.45 29.45 29.45 29.45 29.45 29.45 29.45 29.45 29.45 29.45 29.45 29.45 29.45 29.45 29.45 29.45 29.45 29.45 29.45 29.45 29.45 29.45 29.45 29.45 29.45 29.45 86.40 86.40 86.40 86.40 8.30 100.25 100.25

Serie

Tipo

Strike

Vto

Dias al Vto

Prima

% Var

Prima Teórica

Dif.vs Prima

Estado

MIRC300.AB MIRC330.FE MIRC360.FE MIRC390.FE MOLC88.0FE MOLC92.0FE PAMC19.0AB PAMC20.4AB PAMC21.1FE PAMC22.1FE PAMC23.1FE PAMC23.1AB PAMC24.1FE PAMC25.1FE PAMC25.1AB PAMC26.1FE PAMC26.1AB PAMC27.1FE PAMC27.1AB PAMC28.1FE PAMC28.1AB PAMC29.1FE PAMC29.1AB PAMC30.1FE PAMC30.1AB PAMC31.1FE PAMC31.1AB PAMC32.1FE PAMC32.1AB PAMC33.1AB PAMV11.5FE PAMV18.3FE PAMV19.7FE PAMV20.4FE PAMV22.1FE PAMV23.1FE PAMV24.1FE PAMV24.1AB PAMV29.1FE PAMV29.1AB PETC64.0FE PETC80.0AB PETC90.0FE PETC90.0AB PSUC8.50FE SAMC80.0AB SAMC90.0FE

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 Put Put Put Call Call Call Call Call Call Call

300.000 330.000 360.000 390.000 88.000 92.000 19.000 20.400 21.100 22.100 23.100 23.100 24.100 25.100 25.100 26.100 26.100 27.100 27.100 28.100 28.100 29.100 29.100 30.100 30.100 31.100 31.100 32.100 32.100 33.100 11.500 18.300 19.700 20.400 22.100 23.100 24.100 24.100 29.100 29.100 64.000 80.000 90.000 90.000 8.500 80.000 90.000

AB FE FE FE FE FE AB AB FE FE FE AB FE FE AB FE AB FE AB FE AB FE AB FE AB FE AB FE AB AB FE FE FE FE FE FE FE AB FE AB FE AB FE AB FE AB FE

76.00 13.00 13.00 13.00 13.00 13.00 76.00 76.00 13.00 13.00 13.00 76.00 13.00 13.00 76.00 13.00 76.00 13.00 76.00 13.00 76.00 13.00 76.00 13.00 76.00 13.00 76.00 13.00 76.00 76.00 13.00 13.00 13.00 13.00 13.00 13.00 13.00 76.00 13.00 76.00 13.00 76.00 13.00 76.00 13.00 76.00 13.00

26.00 0.00 0.00 0.00 0.00 11.00 0.00 0.00 8.40 7.40 8.20 0.00 5.25 4.40 6.30 3.72 5.40 2.31 0.00 2.70 0.00 1.30 3.00 0.65 2.50 0.31 2.00 0.15 1.32 1.00 0.00 0.00 0.00 0.00 0.13 0.00 0.10 0.40 1.05 1.45 0.00 0.00 2.40 6.90 0.00 0.00 11.00

-7% -26% -16% -16% 6% -22% -25% -16% -22% -17% -42% -23% -40% -22% -57% -7% -54% -20% -50% 32% -23% -92% 100% 14% 102% 16% 300% 0% -15%

39.76 5.02 1.17 0.21 13.49 9.95 11.35 10.02 8.53 7.54 6.55 7.50 5.56 4.57 5.74 3.60 4.93 2.67 4.17 1.84 3.48 1.15 2.86 0.65 2.31 0.33 1.84 0.15 1.45 1.12 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.12 0.55 1.14 22.96 12.77 1.78 7.17 0.61 25.94 11.93

0.529 -0.095 0.016 0.019 -0.201 0.059 0.040 -0.088 -0.032 -0.087 0.158 -0.319 -0.114 -0.048 -0.001 -0.075 0.054 -0.078 -0.027 0.098 0.123 -1.000 -0.993 -0.696 -0.478 -0.216 -0.257 0.039 0.085

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

Valor Intrínseco

Cobertura %

Tasa Lanzam. %

1.50

8.62%

8.9%

10.95%

2.8%

28.52% 25.13% 27.84%

0.2% 0.2% 8.7%

17.83% 14.94% 21.39% 12.63% 18.34% 7.84%

-0.4% 0.2% 8.4% 1.4% 8.5% -0.1%

9.17%

5.0%

4.41% 10.19% 2.21% 8.49% 1.05% 6.79% 0.51% 4.48% 3.40%

3.4% 10.0% 4.5% 11.7% 6.7% 13.3% 9.6% 14.1% 16.3%

2.78% 7.99%

7.1% 13.2%

10.97%

0.8%

12.50 8.50 10.45 9.05 8.35 7.35 6.35 6.35 5.35 4.35 4.35 3.35 3.35 2.35 2.35 1.35 1.35 0.35 0.35

22.40 6.40

20.25 10.25

Delta

Gamma

Vega

Theta

Rho

Efecto Palanca

Volat. Implícita

Volumen

0.630 0.256 0.078 0.017 0.944 0.866 0.999 0.995 1.000 1.000 1.000 0.968 0.999 0.993 0.911 0.970 0.866 0.911 0.811 0.797 0.746 0.630 0.673 0.440 0.596 0.268 0.517 0.143 0.441 0.369 0.000 0.000 0.000 0.000 0.000 0.000 -0.001 -0.055 -0.370 -0.327 1.000 0.766 0.369 0.554 0.511 0.874 0.857

0.005 0.009 0.004 0.001 0.012 0.024 0.001 0.003 0.000 0.000 0.000 0.015 0.002 0.010 0.033 0.033 0.045 0.078 0.056 0.137 0.066 0.183 0.075 0.191 0.080 0.160 0.082 0.109 0.081 0.078 0.000 0.000 0.000 0.000 0.000 0.000 0.002 0.023 0.183 0.075 0.000 0.018 0.051 0.023 0.238 0.008 0.019

0.523 0.190 0.086 0.025 0.022 0.043 0.001 0.002 0.000 0.000 0.000 0.010 0.000 0.001 0.022 0.004 0.029 0.009 0.037 0.016 0.043 0.022 0.049 0.023 0.052 0.019 0.054 0.013 0.053 0.051 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.015 0.022 0.049 0.000 0.122 0.064 0.157 0.006 0.095 0.044

-2.046 -3.091 -1.361 -0.389 -0.616 -0.836 -0.080 -0.087 -0.092 -0.096 -0.101 -0.108 -0.107 -0.119 -0.128 -0.144 -0.138 -0.189 -0.146 -0.241 -0.152 -0.271 -0.154 -0.257 -0.152 -0.203 -0.146 -0.134 -0.137 -0.126 0.000 0.000 0.000 0.000 0.000 0.000 -0.002 -0.017 -0.145 -0.032 -0.279 -0.474 -0.826 -0.488 -0.183 -0.526 -0.979

0.317 0.028 0.009 0.002 0.031 0.030 0.038 0.041 0.008 0.008 0.009 0.044 0.009 0.009 0.044 0.010 0.043 0.009 0.042 0.008 0.039 0.007 0.036 0.005 0.032 0.003 0.028 0.002 0.024 0.021 0.000 0.000 0.000 0.000 0.000 0.000 0.000 -0.004 -0.004 -0.023 0.024 0.113 0.012 0.086 0.001 0.130 0.028

4.78 15.38 20.25 25.17 7.03 8.74 2.59 2.93 3.45 3.90 4.49 3.80 5.29 6.39 4.67 7.93 5.18 10.03 5.73 12.76 6.32 16.09 6.94 19.94 7.59 24.20 8.27 28.75 8.96 9.67 194.72 102.01 87.62 80.87 65.63 57.40 49.70 13.43 19.90 8.47 3.76 5.18 17.89 6.68 6.93 3.38 7.20

32% 67% 50% 50% 50% 50% 50% 55% 53% 50% 50% 80% 43% 39% 36% 39% 35% 39% 36% 33% 33% 98% 70% 49% 58% 42% 53% 42% 50%

17200 12800 67980 95062 45810 102333 136035 7540 21108 39190 214264 23800 164006 42230 316450 94100 119558 112675 128250 132471 106760 2600 4475 4000 80106 43685 2400 690 2200

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

6

Reporte de Opciones

Subyacente Precio

TECO2

TGNO4 TGSU2 TRAN

TS

VALE

YPFD

100.25 100.25 100.25 69.05 69.05 69.05 69.05 69.05 69.05 69.05 69.05 17.65 34.00 34.00 17.55 17.55 17.55 17.55 17.55 17.55 17.55 17.55 17.55 17.55 17.55 275.00 275.00 275.00 275.00 275.00 275.00 275.00 77.15 77.15 77.15 344.00 344.00 344.00 344.00 344.00 344.00 344.00 344.00 344.00 344.00 344.00 344.00

Serie

Tipo

Strike

Vto

Dias al Vto

Prima

% Var

Prima Teórica

Dif.vs Prima

Estado

SAMC90.0AB SAMC100.FE SAMC100.AB TECC50.6FE TECC50.6AB TECC54.6FE TECC54.6AB TECC60.6FE TECC60.6AB TECC60.6JU TECC68.6AB TGNC9.50AB TGSC25.9FE TGSC25.9AB TRAC6.10AB TRAC12.0FE TRAC13.0FE TRAC14.0FE TRAC16.0FE TRAC16.0AB TRAC17.0FE TRAC17.0AB TRAC17.0JU TRAC18.0FE TRAC19.0FE TS.C245.FE TS.C26699F TS.C277.FE TS.C293.AB TS.C293.FE TS.V277.FE TS.V277.AB VALC62.0FE VALC66.0FE VALC80.0FE YPFC220.JU YPFC240.AB YPFC260.FE YPFC280.JU YPFC280.FE YPFC280.AB YPFC300.AB YPFC300.FE YPFC320.JU YPFC320.AB YPFC320.FE YPFC340.FE

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

90.000 100.000 100.000 50.600 50.600 54.600 54.600 60.600 60.600 60.600 68.600 9.500 25.900 25.900 6.100 12.000 13.000 14.000 16.000 16.000 17.000 17.000 17.000 18.000 19.000 245.000 266.900 277.000 293.000 293.000 277.000 277.000 62.000 66.000 80.000 220.000 240.000 260.000 280.000 280.000 280.000 300.000 300.000 320.000 320.000 320.000 340.000

AB FE AB FE AB FE AB FE AB JU AB AB FE AB AB FE FE FE FE AB FE AB JU FE FE FE F FE AB FE FE AB FE FE FE JU AB FE JU FE AB AB FE JU AB FE FE

76.00 13.00 76.00 13.00 76.00 13.00 76.00 13.00 76.00 132.00 76.00 76.00 13.00 76.00 76.00 13.00 13.00 13.00 13.00 76.00 13.00 76.00 132.00 13.00 13.00 13.00 13.00 13.00 76.00 13.00 13.00 76.00 13.00 13.00 13.00 132.00 76.00 13.00 132.00 13.00 76.00 76.00 13.00 132.00 76.00 13.00 13.00

0.00 0.00 0.00 0.00 22.00 14.00 0.00 8.00 12.00 0.00 5.25 0.00 10.00 11.00 12.00 0.00 0.00 0.00 1.70 2.65 0.65 0.00 0.00 0.20 0.00 0.00 0.00 0.00 10.00 2.50 0.00 10.00 0.00 12.00 2.00 0.00 0.00 0.00 0.00 0.00 0.00 65.00 43.00 0.00 55.00 25.00 10.00

7% 41% 0% 9% 5% 0% 16% 0% -28% -16% -38% -69% -17% 25% -33% -20% -58% -7% -14% -8% -17% -39%

18.88 5.18 13.21 18.89 20.88 14.93 17.18 9.02 12.02 14.40 6.46 8.60 8.33 9.36 11.74 5.65 4.66 3.67 1.79 2.83 1.03 2.20 2.94 0.50 0.20 32.15 11.86 5.32 10.07 0.78 4.90 7.03 15.71 11.85 2.04 142.56 116.05 86.28 93.47 66.55 81.25 65.78 47.39 66.59 52.07 30.10 16.51

-0.051 0.066 0.127 0.001 0.230 -0.167 -0.149 -0.022 0.052 0.066 0.584 1.504 0.007 -0.688 -0.297 -0.013 0.020 0.012 0.102 -0.053 0.204 0.651

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

Valor Intrínseco 10.25 0.25 0.25 18.45 18.45 14.45 14.45 8.45 8.45 8.45 0.45 8.15 8.10 8.10 11.45 5.55 4.55 3.55 1.55 1.55 0.55 0.55 0.55

Cobertura %

Tasa Lanzam. %

31.86% 20.28%

7.5% -0.8%

11.59% 17.38%

-0.7% 6.2%

7.60%

7.5%

29.41% 32.35% 68.38%

7.9% 12.6% 9.9%

9.69% 15.10% 3.70%

0.9% 7.4% 0.6%

1.14%

3.7%

3.64% 0.91%

10.6% 7.5%

15.55% 2.59%

1.3% 6.5%

18.90% 12.50%

7.5% -0.3%

15.99% 7.27% 2.91%

10.7% 0.3% 1.8%

30.00 8.10

2.00 2.00 15.15 11.15 124.00 104.00 84.00 64.00 64.00 64.00 44.00 44.00 24.00 24.00 24.00 4.00

Delta

Gamma

Vega

Theta

Rho

Efecto Palanca

Volat. Implícita

Volumen

0.761 0.562 0.626 1.000 0.989 1.000 0.965 0.979 0.880 0.865 0.662 1.000 1.000 0.980 1.000 1.000 1.000 0.996 0.878 0.780 0.690 0.686 0.710 0.445 0.230 0.996 0.803 0.522 0.466 0.125 -0.478 -0.334 0.992 0.961 0.406 0.976 0.975 0.999 0.874 0.990 0.897 0.829 0.945 0.753 0.745 0.819 0.605

0.011 0.034 0.014 0.000 0.003 0.000 0.007 0.010 0.018 0.015 0.032 0.000 0.000 0.009 0.000 0.000 0.001 0.008 0.128 0.080 0.223 0.096 0.070 0.250 0.192 0.001 0.022 0.031 0.013 0.016 0.031 0.012 0.003 0.011 0.052 0.001 0.001 0.000 0.002 0.001 0.002 0.003 0.003 0.003 0.004 0.008 0.012

0.143 0.077 0.174 0.000 0.009 0.000 0.024 0.007 0.063 0.091 0.116 0.000 0.000 0.008 0.000 0.000 0.000 0.000 0.007 0.024 0.012 0.029 0.036 0.014 0.010 0.006 0.149 0.215 0.502 0.111 0.215 0.460 0.003 0.013 0.059 0.117 0.091 0.002 0.430 0.018 0.283 0.401 0.075 0.656 0.508 0.177 0.259

-0.635 -1.367 -0.685 -0.220 -0.223 -0.238 -0.256 -0.317 -0.316 -0.283 -0.359 -0.040 -0.113 -0.117 -0.025 -0.052 -0.057 -0.065 -0.140 -0.098 -0.188 -0.103 -0.086 -0.188 -0.137 -1.094 -1.803 -1.881 -1.060 -0.806 -0.678 -0.064 -0.306 -0.428 -0.846 -0.993 -1.160 -1.152 -1.449 -1.411 -1.612 -1.834 -2.111 -1.669 -1.999 -3.225 -3.944

0.121 0.020 0.105 0.019 0.100 0.021 0.104 0.022 0.103 0.165 0.083 0.019 0.010 0.051 0.012 0.005 0.005 0.005 0.005 0.023 0.004 0.021 0.035 0.003 0.001 0.093 0.080 0.053 0.249 0.013 -0.052 -0.208 0.023 0.024 0.011 0.704 0.463 0.099 0.755 0.105 0.480 0.463 0.107 0.701 0.431 0.097 0.073

4.04 10.87 4.75 3.66 3.27 4.63 3.88 7.50 5.06 4.15 7.07 2.05 4.08 3.56 1.50 3.10 3.76 4.76 8.62 4.84 11.76 5.48 4.23 15.59 19.91 8.52 18.63 27.02 12.73 44.12 26.82 13.05 4.87 6.26 15.34 2.36 2.89 3.98 3.22 5.12 3.80 4.34 6.86 3.89 4.92 9.36 12.59

69% 50% 50% 35% 25% 50% 95% 50% 28% 38% 50% 24% 24% 36% 30% 59% 48% 46% 50% 54% 50% 22%

2200 4200 54540 361750 42630 1000 21100 4800 15270 11815 4550 1000 11200 500 2000 8430 2000 6500 14300 5500 41100 103690

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

7

Reporte de Opciones

Subyacente Precio 344.00 344.00 344.00 344.00 344.00 344.00 344.00 344.00 344.00 344.00 344.00 344.00 344.00 344.00 344.00

Serie

Tipo

Strike

Vto

Dias al Vto

Prima

% Var

Prima Teórica

Dif.vs Prima

Estado

YPFC340.AB YPFC360.AB YPFC360.FE YPFC380.AB YPFC380.FE YPFC400.AB YPFC400.FE YPFV240.FE YPFV280.AB YPFV300.FE YPFV320.AB YPFV320.FE YPFV340.FE YPFV340.AB YPFV360.FE

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

340.000 360.000 360.000 380.000 380.000 400.000 400.000 240.000 280.000 300.000 320.000 320.000 340.000 340.000 360.000

AB AB FE AB FE AB FE FE AB FE AB FE FE AB FE

76.00 76.00 13.00 76.00 13.00 76.00 13.00 13.00 76.00 13.00 76.00 13.00 13.00 76.00 13.00

43.00 18.50 3.25 15.00 1.20 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 16.00

0% -16% -54% 7% -40% 23%

40.31 30.54 7.66 22.68 2.98 16.53 0.98 0.00 4.07 0.78 13.02 3.31 9.55 20.31 20.52

-0.063 0.651 1.357 0.512 1.486 0.283

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

Valor Intrínseco

Cobertura %

Tasa Lanzam. %

4.00

12.50% 5.38% 0.94% 4.36% 0.35%

13.0% 10.6% 5.6% 15.5% 10.9%

16.00

Delta

Gamma

Vega

Theta

Rho

Efecto Palanca

Volat. Implícita

Volumen

0.649 0.549 0.365 0.451 0.178 0.361 0.071 0.000 -0.103 -0.055 -0.255 -0.181 -0.395 -0.351 -0.635

0.005 0.005 0.012 0.005 0.008 0.005 0.004 0.000 0.002 0.003 0.004 0.008 0.012 0.005 0.012

0.586 0.626 0.253 0.626 0.176 0.591 0.091 0.000 0.283 0.075 0.508 0.177 0.259 0.586 0.253

-2.076 -2.054 -3.548 -1.941 -2.360 -1.758 -1.197 -0.001 -0.443 -0.808 -0.663 -1.835 -2.468 -0.657 -1.984

0.386 0.334 0.045 0.279 0.022 0.227 0.009 0.000 -0.083 -0.008 -0.213 -0.025 -0.056 -0.298 -0.092

5.54 6.18 16.40 6.84 20.57 7.51 24.95 46.13 8.68 24.26 6.75 18.79 14.25 5.95 10.64

52% 29% 30% 35% 36% 29%

4300 15400 46875 14400 1680 4800

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

8

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. Tasa libre de riesgo: Se utiliza la tasa de caución a 7 días. Para ver su valor puede descargarse el Informe de Bonos y Tasas. 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.

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

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