Reporte de Opciones

Flavia Matsuda Analista Cuantitativo @FlaviMatsuda [email protected]

martes, 28 de junio de 2016 Subyacente

Precio

Serie

Tipo

Strike

Vto

Dias al Vto

Prima

% Var

Prima Teórica

Dif.vs Prima

Estado

ALUA

9.48 9.48 9.48 9.48 9.48 9.48 9.48 9.48 9.48 9.48 9.48 9.48 50.10 50.10 50.10 50.10 50.10 50.10 50.10 50.10 50.10 50.10 50.10 50.10 50.10 50.10 50.10 50.10 50.10 50.10 50.10 50.10 50.10 50.10 50.10 50.10 50.10 50.10 50.10 50.10 50.10

ALUC5.80AG ALUC5.80OC ALUC5.80DI ALUC6.70AG ALUC6.70OC ALUC7.60AG ALUC8.50AG ALUC8.50OC ALUC9.40AG ALUC10.75G ALUC11.2AG ALUV10.75G PBRC18.4AG PBRC18.4OC PBRC18.4DI PBRC22.4AG PBRC22.4OC PBRC26.4OC PBRC30.4AG PBRC30.4OC PBRC30.4DI PBRC34.4AG PBRC34.4OC PBRC34.4DI PBRC38.4AG PBRC38.4OC PBRC42.4AG PBRC42.4OC PBRC46.4JL PBRC46.4AG PBRC46.4OC PBRC50.4JL PBRC50.4AG PBRC50.4OC PBRC54.4AG PBRC54.4OC PBRC58.4AG PBRC58.4OC PBRC62.4AG PBRC66.4AG PBRC70.4AG

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

5.800 5.800 5.800 6.700 6.700 7.600 8.500 8.500 9.400 10.700 11.200 10.700 18.400 18.400 18.400 22.400 22.400 26.400 30.400 30.400 30.400 34.400 34.400 34.400 38.400 38.400 42.400 42.400 46.400 46.400 46.400 50.400 50.400 50.400 54.400 54.400 58.400 58.400 62.400 66.400 70.400

AG OC DI AG OC AG AG OC AG G AG G AG OC DI AG OC OC AG OC DI AG OC DI AG OC AG OC JL AG OC JL AG OC AG OC AG OC AG AG AG

51.00 107.00 170.00 51.00 107.00 51.00 51.00 107.00 51.00 51.00 51.00 51.00 51.00 107.00 170.00 51.00 107.00 107.00 51.00 107.00 170.00 51.00 107.00 170.00 51.00 107.00 51.00 107.00 16.00 51.00 107.00 16.00 51.00 107.00 51.00 107.00 51.00 107.00 51.00 51.00 51.00

3.90 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.75 0.00 0.20 0.00 0.00 0.00 0.00 0.00 0.00 0.00 19.15 0.00 0.00 0.00 0.00 21.00 12.48 0.00 8.60 0.00 0.00 5.54 10.90 0.00 3.30 0.00 1.81 5.00 0.98 2.50 0.55 0.00 0.00

8% 15% -13% 12% -5% 33% 23% 24% 22% 34% 21% 56% 22% 0% 38% -

3.91 4.14 4.40 3.04 3.32 2.19 1.39 1.79 0.74 0.21 0.12 1.01 32.42 33.17 33.99 28.58 29.51 25.89 20.94 22.39 24.00 17.23 19.07 21.00 13.73 16.00 10.57 13.24 5.35 7.87 10.82 2.96 5.66 8.75 3.96 7.00 2.69 5.56 1.79 1.16 0.74

0.002 -0.014 -0.417 0.093 0.000 0.100 0.229 0.420 -0.007 0.717 1.187 0.401 1.746 1.225 2.249 -

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

APBR

Valor Intrínseco

Cobertura %

Tasa Lanzam. %

3.68 3.68 3.68 2.78 2.78 1.88 0.98 0.98 0.08

41.14%

3.9%

7.91%

7.7%

2.11%

20.7%

38.22%

-1.8%

41.92% 24.91%

18.2% 2.1%

17.17%

2.2%

11.06% 21.76%

4.1% 18.4%

6.59%

7.7%

3.61% 9.98% 1.96% 4.99% 1.10%

12.7% 20.6% 18.9% 22.7% 25.9%

1.22 31.70 31.70 31.70 27.70 27.70 23.70 19.70 19.70 19.70 15.70 15.70 15.70 11.70 11.70 7.70 7.70 3.70 3.70 3.70

Delta

Gamma

Vega

Theta

Rho

Efecto Palanca

Volat. Implícita

Volumen

1.000 0.999 0.997 0.999 0.991 0.980 0.886 0.867 0.669 0.290 0.183 -0.710 1.000 0.999 0.997 1.000 0.997 0.987 0.990 0.967 0.950 0.966 0.931 0.915 0.916 0.879 0.834 0.813 0.762 0.726 0.736 0.548 0.603 0.654 0.479 0.571 0.366 0.490 0.269 0.192 0.134

0.000 0.002 0.004 0.003 0.013 0.038 0.156 0.120 0.293 0.276 0.214 0.276 0.000 0.000 0.000 0.000 0.001 0.002 0.002 0.004 0.005 0.006 0.008 0.007 0.013 0.011 0.020 0.015 0.044 0.027 0.019 0.057 0.032 0.021 0.033 0.022 0.031 0.023 0.027 0.022 0.018

0.000 0.000 0.001 0.000 0.001 0.002 0.007 0.011 0.013 0.012 0.009 0.012 0.000 0.001 0.003 0.000 0.003 0.009 0.005 0.020 0.035 0.014 0.036 0.054 0.029 0.055 0.047 0.073 0.033 0.063 0.089 0.043 0.073 0.101 0.075 0.107 0.071 0.109 0.062 0.052 0.041

-0.030 -0.029 -0.028 -0.035 -0.034 -0.042 -0.054 -0.047 -0.060 -0.042 -0.031 0.013 -0.095 -0.092 -0.090 -0.116 -0.116 -0.146 -0.176 -0.183 -0.174 -0.230 -0.224 -0.205 -0.300 -0.266 -0.373 -0.302 -0.622 -0.427 -0.327 -0.702 -0.449 -0.340 -0.436 -0.340 -0.394 -0.330 -0.335 -0.270 -0.209

0.008 0.016 0.024 0.009 0.018 0.010 0.010 0.019 0.008 0.004 0.002 -0.011 0.025 0.050 0.075 0.031 0.060 0.070 0.041 0.077 0.111 0.044 0.082 0.116 0.046 0.083 0.044 0.081 0.015 0.041 0.077 0.011 0.035 0.071 0.029 0.064 0.022 0.056 0.017 0.012 0.008

2.43 2.29 2.15 3.11 2.83 4.25 6.06 4.60 8.57 13.03 14.89 6.66 1.55 1.51 1.47 1.75 1.69 1.91 2.37 2.16 1.98 2.81 2.45 2.18 3.34 2.75 3.95 3.07 7.14 4.62 3.41 9.29 5.33 3.74 6.07 4.08 6.81 4.42 7.56 8.29 9.01

50% 35% 43% 50% 65% 50% 50% 15% 65% 32% 36% 46% 39% 36% 42% -

97132 14038 319 9575 4200 3746 201802 1313774 10950 2279266 1106768 7250 163690 10000 14801 -

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

Reporte de Opciones

Subyacente

BHIP CECO2 CELU COME

CRES

DGCU2 EDN

ERAR

Precio

Serie

Tipo

Strike

Vto

Dias al Vto

Prima

% Var

Prima Teórica

Dif.vs Prima

Estado

50.10 50.10 50.10 50.10 50.10 50.10 50.10 50.10 7.05 7.05 5.85 5.85 18.00 2.79 2.79 2.79 2.79 2.79 2.79 2.79 2.79 2.79 2.79 2.79 2.79 2.79 2.79 20.35 20.35 20.35 20.35 20.35 20.35 20.35 20.35 20.35 10.90 12.15 12.15 12.15 12.15 12.15 12.15 12.15 12.15 12.15 7.17

PBRC74.4AG PBRV18.4AG PBRV34.4AG PBRV38.4AG PBRV42.4AG PBRV46.4AG PBRV50.4AG PBRV54.4AG BHIC6.65AG BHIC7.05AG CECC5.80AG CECC6.00AG CELC15.0AG COMC2.00AG COMC2.00OC COMC2.60AG COMC2.80AG COMC3.00JL COMC3.00AG COMC3.00OC COMC3.15AG COMC3.30AG COMC3.30OC COMC3.45AG COMC3.60AG COMC4.05AG COMC4.90AG CREC11.0AG CREC11.0OC CREC16.0AG CREC17.0AG CREC17.0OC CREC18.0AG CREC19.0AG CREC19.0OC CREC20.0AG DGCC9.60AG EDNC9.15AG EDNC9.15OC EDNC11.2AG EDNC11.2OC EDNC12.7AG EDNC12.7OC EDNC13.3AG EDNV9.15AG EDNV11.2AG ERAC4.30OC

Call 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 Call Put Put Call

74.400 18.400 34.400 38.400 42.400 46.400 50.400 54.400 6.650 7.050 5.800 6.000 15.000 2.000 2.000 2.600 2.800 3.000 3.000 3.000 3.150 3.300 3.300 3.450 3.600 4.050 4.900 11.000 11.000 16.000 17.000 17.000 18.000 19.000 19.000 20.000 9.600 9.150 9.150 11.200 11.200 12.700 12.700 13.300 9.150 11.200 4.300

AG AG AG AG AG AG AG AG AG AG AG AG AG AG OC AG AG JL AG OC AG AG OC AG AG AG AG AG OC AG AG OC AG AG OC AG AG AG OC AG OC AG OC AG AG AG OC

51.00 51.00 51.00 51.00 51.00 51.00 51.00 51.00 51.00 51.00 51.00 51.00 51.00 51.00 107.00 51.00 51.00 16.00 51.00 107.00 51.00 51.00 107.00 51.00 51.00 51.00 51.00 51.00 107.00 51.00 51.00 107.00 51.00 51.00 107.00 51.00 51.00 51.00 107.00 51.00 107.00 51.00 107.00 51.00 51.00 51.00 107.00

0.20 0.12 0.25 0.50 1.00 2.00 3.50 6.00 0.00 0.00 0.00 0.00 0.00 0.90 0.00 0.36 0.23 0.00 0.13 0.00 0.08 0.05 0.00 0.04 0.00 0.00 0.01 0.00 10.60 0.00 4.20 0.00 0.00 0.00 0.00 1.99 0.00 0.00 0.00 1.70 2.45 0.79 1.40 0.50 0.00 0.50 3.60

11% -1% -44% -34% -29% -23% -17% -20% 3% 6% 7% 0% 0% 0% -12% 0% 9% 24% 59% 21% 7% 13% 0% 100% -23% 3%

0.47 0.00 0.18 0.52 1.21 2.35 3.99 6.12 0.77 0.50 0.48 0.38 3.72 0.87 0.95 0.32 0.18 0.02 0.09 0.19 0.04 0.02 0.09 0.01 0.00 0.00 0.00 9.78 10.23 5.02 4.12 4.95 3.29 2.54 3.51 1.89 1.69 3.37 3.77 1.60 2.17 0.72 1.29 0.49 0.01 0.21 3.21

1.341 -1.000 -0.289 0.044 0.209 0.173 0.139 0.020 -0.030 -0.120 -0.222 -0.355 -0.451 -0.587 -0.745 -1.000 -0.035 -0.018 -0.050 -0.058 -0.116 -0.094 -0.077 -0.029 -0.577 -0.107

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

Valor Intrínseco

Cobertura %

Tasa Lanzam. %

0.40%

49.1%

32.08%

5.5%

12.90% 8.21%

7.0% 9.3%

4.73%

12.9%

2.87% 1.79%

16.2% 20.4%

1.25%

25.2%

0.36%

76.3%

52.09%

12.8%

20.64%

5.3%

9.78%

8.9%

13.99% 20.16% 6.50% 11.52% 4.12%

7.2% 15.5% 11.8% 18.1% 14.2%

50.21%

20.4%

0.30 4.30 0.40 0.05 3.00 0.79 0.79 0.19

9.35 9.35 4.35 3.35 3.35 2.35 1.35 1.35 0.35 1.30 3.00 3.00 0.95 0.95

2.87

Delta

Gamma

Vega

Theta

Rho

Efecto Palanca

Volat. Implícita

Volumen

0.091 0.000 -0.034 -0.084 -0.166 -0.274 -0.397 -0.521 0.800 0.648 0.659 0.569 0.913 1.000 0.996 0.853 0.649 0.184 0.407 0.558 0.250 0.137 0.327 0.068 0.031 0.002 0.000 1.000 0.999 0.969 0.930 0.898 0.867 0.779 0.783 0.671 0.973 0.986 0.962 0.808 0.804 0.519 0.613 0.400 -0.014 -0.192 1.000

0.013 0.000 0.006 0.013 0.020 0.027 0.032 0.033 0.314 0.416 0.436 0.467 0.050 0.004 0.025 0.741 1.193 1.495 1.248 0.881 1.022 0.707 0.806 0.422 0.222 0.018 0.000 0.000 0.001 0.022 0.042 0.038 0.067 0.093 0.064 0.113 0.065 0.019 0.031 0.147 0.103 0.215 0.143 0.208 0.019 0.147 0.001

0.031 0.000 0.014 0.029 0.047 0.063 0.073 0.075 0.007 0.010 0.008 0.009 0.011 0.000 0.000 0.002 0.004 0.002 0.004 0.006 0.003 0.002 0.005 0.001 0.001 0.000 0.000 0.000 0.000 0.005 0.010 0.020 0.017 0.023 0.033 0.028 0.003 0.002 0.005 0.013 0.018 0.018 0.025 0.018 0.002 0.013 0.000

-0.156 0.000 -0.052 -0.102 -0.154 -0.187 -0.188 -0.154 -0.043 -0.044 -0.039 -0.038 -0.102 -0.010 -0.010 -0.016 -0.017 -0.012 -0.014 -0.013 -0.010 -0.007 -0.010 -0.004 -0.002 0.000 0.000 -0.057 -0.055 -0.094 -0.109 -0.098 -0.124 -0.136 -0.111 -0.141 -0.052 -0.051 -0.050 -0.078 -0.065 -0.080 -0.066 -0.072 -0.004 -0.020 -0.021

0.006 0.000 -0.003 -0.007 -0.014 -0.023 -0.034 -0.046 0.007 0.006 0.005 0.004 0.018 0.003 0.005 0.003 0.002 0.000 0.001 0.004 0.001 0.001 0.002 0.000 0.000 0.000 0.000 0.015 0.030 0.021 0.021 0.039 0.020 0.019 0.037 0.017 0.013 0.012 0.023 0.012 0.023 0.008 0.018 0.006 0.000 -0.004 0.012

9.72 18.71 9.52 8.09 6.87 5.85 4.99 4.26 7.35 9.06 7.96 8.83 4.42 3.21 2.93 7.51 10.17 29.65 13.32 8.08 15.89 18.56 10.33 21.29 24.02 32.09 46.06 2.08 1.99 3.93 4.59 3.69 5.37 6.25 4.54 7.22 6.29 3.56 3.10 6.14 4.51 8.82 5.76 10.01 17.69 11.02 2.23

54% 50% 69% 64% 60% 59% 58% 63% 74% 45% 42% 41% 40% 40% 42% 72% 50% 48% 45% 48% 55% 45% 45% 41% 61% 50%

1725 1997 1250 4500 67099 290618 170700 16200 74680 55130 92649 132573 29516 9240 4340 2500 84050 36000 63100 39137 2700 47806 7000 1500 6650 10800

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

2

Reporte de Opciones

Subyacente

FRAN GARO GGAL

METR MIRG

PAMP

Precio

Serie

Tipo

Strike

Vto

Dias al Vto

Prima

% Var

Prima Teórica

Dif.vs Prima

Estado

7.17 7.17 7.17 7.17 7.17 7.17 7.17 7.17 7.17 7.17 7.17 7.17 102.00 102.00 8.55 8.55 45.00 45.00 45.00 45.00 45.00 45.00 45.00 45.00 45.00 45.00 45.00 45.00 45.00 45.00 45.00 45.00 45.00 45.00 45.00 45.00 45.00 45.00 7.35 7.35 1308.00 1308.00 1308.00 16.10 16.10 16.10 16.10

ERAC4.699G ERAC5.699G ERAC5.70OC ERAC6.70AG ERAC7.199G ERAC7.20OC ERAC7.449G ERAC7.70AG ERAC7.95AG ERAC8.30AG ERAV7.199G ERAV7.449G FRAC80.0AG FRAC90.0OC GARC8.30AG GARC8.60AG GFGC32.0AG GFGC32.0OC GFGC39885G GFGC42885G GFGC44885G GFGC45.0JL GFGC45.0OC GFGC46.0AG GFGC47.0AG GFGC48.0AG GFGC48.0OC GFGC49885G GFGC50.0OC GFGC54885G GFGV11.0AG GFGV37885G GFGV39885G GFGV42.0AG GFGV44.0AG GFGV46.0AG GFGV48.0AG GFGV50.0OC METC7.00AG METC7.00OC MIRC12933G MIRC13333G MIRC79333G PAMC9.10AG PAMC11.5AG PAMC13.1AG PAMC14.3AG

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

4.690 5.690 5.700 6.700 7.190 7.200 7.440 7.700 7.950 8.300 7.190 7.440 80.000 90.000 8.300 8.600 32.000 32.000 39.880 42.880 44.880 45.000 45.000 46.000 47.000 48.000 48.000 49.880 50.000 54.880 11.000 37.880 39.880 42.000 44.000 46.000 48.000 50.000 7.000 7.000 1293.000 1333.000 793.300 9.100 11.500 13.100 14.300

G G OC AG G OC G AG AG AG G G AG OC AG AG AG OC G G G JL OC AG AG AG OC G OC G AG G G AG AG AG AG OC AG OC G G G AG AG AG AG

51.00 51.00 107.00 51.00 51.00 107.00 51.00 51.00 51.00 51.00 51.00 51.00 51.00 107.00 51.00 51.00 51.00 107.00 51.00 51.00 51.00 16.00 107.00 51.00 51.00 51.00 107.00 51.00 107.00 51.00 51.00 51.00 51.00 51.00 51.00 51.00 51.00 107.00 51.00 107.00 51.00 51.00 51.00 51.00 51.00 51.00 51.00

2.90 1.78 0.00 1.05 0.60 0.00 0.46 0.26 0.19 0.00 0.30 0.00 27.00 0.00 0.00 0.00 13.50 0.00 6.72 4.20 2.72 1.99 5.50 2.20 1.62 1.15 4.35 0.75 2.00 0.20 0.06 0.50 0.00 1.24 1.70 2.95 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 3.39 2.38

12% 22% 5% 2% -2% -4% 3% 0% 23% 0% 22% 35% 36% 0% 38% 42% 54% 48% 0% 50% 33% 25% 0% -33% -29% -41% -24% 3% 3%

2.66 1.71 1.94 0.82 0.49 0.80 0.36 0.25 0.17 0.10 0.23 0.34 25.16 19.91 0.85 0.67 14.26 15.55 6.75 4.16 2.72 1.26 4.51 2.07 1.57 1.17 2.79 0.62 1.93 0.08 0.00 0.01 0.06 0.22 0.59 1.26 2.28 2.94 0.76 1.10 128.06 107.14 545.90 7.36 5.05 3.53 2.46

-0.081 -0.041 -0.221 -0.186 -0.221 -0.034 -0.067 -0.243 -0.068 0.056 0.004 -0.011 0.001 -0.368 -0.181 -0.061 -0.029 0.015 -0.359 -0.169 -0.037 -0.618 -1.000 -0.974 -0.819 -0.653 -0.573 0.042 0.034

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

Valor Intrínseco

Cobertura %

Tasa Lanzam. %

2.48 1.48 1.47 0.47

40.45% 24.83%

9.8% 5.6%

14.64% 8.37%

9.5% 9.4%

6.42% 3.63% 2.58%

10.9% 11.4% 13.8%

26.47%

6.7%

30.00%

1.6%

14.93% 9.33% 6.04% 4.42% 12.22% 4.89% 3.60% 2.56% 9.67% 1.67% 4.44% 0.44%

4.2% 5.1% 6.1% 4.6% 13.9% 7.5% 8.3% 9.5% 18.1% 12.7% 16.3% 22.5%

21.06% 14.78%

3.1% 4.2%

0.02 0.27 22.00 12.00 0.25 13.00 13.00 5.12 2.12 0.12

1.00 3.00 5.00 0.35 0.35 15.00 514.70 7.00 4.60 3.00 1.80

Delta

Gamma

Vega

Theta

Rho

Efecto Palanca

Volat. Implícita

Volumen

1.000 0.989 0.969 0.828 0.643 0.705 0.534 0.422 0.323 0.208 -0.357 -0.466 0.995 0.912 0.702 0.617 1.000 0.999 0.964 0.843 0.695 0.609 0.756 0.596 0.503 0.412 0.582 0.261 0.459 0.046 0.000 -0.009 -0.036 -0.109 -0.234 -0.404 -0.588 -0.541 0.770 0.784 0.647 0.582 0.999 1.000 0.999 0.976 0.903

0.000 0.033 0.055 0.292 0.427 0.274 0.455 0.448 0.411 0.329 0.427 0.455 0.001 0.010 0.263 0.289 0.000 0.000 0.019 0.058 0.085 0.163 0.053 0.094 0.097 0.094 0.066 0.079 0.067 0.024 0.000 0.006 0.019 0.045 0.074 0.094 0.094 0.067 0.313 0.209 0.002 0.002 0.000 0.000 0.002 0.027 0.083

0.000 0.001 0.003 0.007 0.010 0.013 0.011 0.011 0.010 0.008 0.010 0.011 0.006 0.089 0.011 0.012 0.000 0.000 0.013 0.041 0.059 0.037 0.077 0.066 0.068 0.066 0.096 0.055 0.097 0.016 0.000 0.004 0.013 0.032 0.052 0.066 0.066 0.097 0.008 0.012 1.835 1.928 0.017 0.000 0.000 0.003 0.010

-0.024 -0.031 -0.030 -0.043 -0.044 -0.037 -0.042 -0.038 -0.033 -0.024 -0.007 -0.004 -0.423 -0.480 -0.059 -0.059 -0.166 -0.159 -0.219 -0.249 -0.251 -0.327 -0.220 -0.241 -0.224 -0.202 -0.201 -0.150 -0.178 -0.038 0.000 -0.005 -0.013 -0.024 -0.025 -0.003 0.047 0.070 -0.046 -0.038 -9.760 -9.715 -4.153 -0.047 -0.060 -0.074 -0.089

0.006 0.008 0.015 0.007 0.006 0.013 0.005 0.004 0.003 0.002 -0.004 -0.005 0.109 0.216 0.007 0.007 0.044 0.087 0.052 0.048 0.041 0.012 0.087 0.035 0.030 0.025 0.069 0.016 0.055 0.003 0.000 -0.001 -0.002 -0.007 -0.016 -0.028 -0.041 -0.081 0.007 0.014 1.023 0.932 1.084 0.012 0.016 0.017 0.017

2.69 4.15 3.58 7.26 9.44 6.30 10.69 12.05 13.43 15.41 11.30 9.92 4.03 4.67 7.08 7.84 3.16 2.89 6.43 9.13 11.49 21.79 7.55 12.98 14.40 15.90 9.39 18.86 10.73 27.30 173.03 31.56 26.53 21.77 17.83 14.43 11.58 8.28 7.40 5.25 6.61 7.11 2.39 2.19 3.18 4.45 5.90

50% 59% 60% 43% 42% 33% 34% 39% 72% 50% 22% 25% 24% 44% 36% 26% 25% 24% 41% 27% 25% 30% 50% 50% 47% 44% 50% 50% 23%

25450 13884 20832 26741 71275 66283 30101 4620 45100 5400 343464 216689 717329 7995 22000 691398 255136 83070 3480 131748 2400 40009 6400 21495 107417 36265 134395 146218 48588

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

3

Reporte de Opciones

Subyacente

PESA TECO2 TEF TGNO4

TGSU2

TRAN

TS

YPFD

Precio

Serie

Tipo

Strike

Vto

Dias al Vto

Prima

% Var

Prima Teórica

Dif.vs Prima

Estado

16.10 16.10 16.10 16.10 16.10 16.10 16.10 16.10 16.10 16.10 9.16 9.16 55.25 55.25 133.50 7.26 7.26 7.26 19.25 19.25 19.25 19.25 6.75 6.75 6.75 6.75 6.75 205.50 205.50 205.50 205.50 290.00 290.00 290.00 290.00 290.00 290.00 290.00 290.00 290.00 290.00 290.00 290.00 290.00

PAMC14.3OC PAMC15.1AG PAMC15.5AG PAMC15.5OC PAMC16.2AG PAMC16.9AG PAMV12.7AG PAMV14.3AG PAMV15.1JL PAMV15.1AG PSAC9.55AG PSAC9.75AG TECC52.6AG TECC52.6OC TEFC90.0AG TGNC8.00AG TGNC8.00OC TGNC8.50AG TGSC17.5AG TGSC17.5OC TGSC19.9AG TGSC19.9OC TRAC5.80AG TRAC6.10AG TRAC6.40AG TRAC7.00AG TRAC7.00OC TS.C195.AG TS.C213.AG TS.C23279G TS.V185.AG YPFC200.AG YPFC220.AG YPFC240.AG YPFC260.AG YPFC280.AG YPFC300.AG YPFC300.JL YPFC320.OC YPFC320.AG YPFC340.AG YPFV260.AG YPFV280.AG YPFV300.AG

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

14.300 15.100 15.500 15.500 16.200 16.900 12.700 14.300 15.100 15.100 9.550 9.750 52.600 52.600 90.000 8.000 8.000 8.500 17.500 17.500 19.900 19.900 5.800 6.100 6.400 7.000 7.000 195.000 213.000 232.700 185.000 200.000 220.000 240.000 260.000 280.000 300.000 300.000 320.000 320.000 340.000 260.000 280.000 300.000

OC AG AG OC AG AG AG AG JL AG AG AG AG OC AG AG OC AG AG OC AG OC AG AG AG AG OC AG AG G AG AG AG AG AG AG AG JL OC AG AG AG AG AG

107.00 51.00 51.00 107.00 51.00 51.00 51.00 51.00 16.00 51.00 51.00 51.00 51.00 107.00 51.00 51.00 107.00 51.00 51.00 107.00 51.00 107.00 51.00 51.00 51.00 51.00 107.00 51.00 51.00 51.00 51.00 51.00 51.00 51.00 51.00 51.00 51.00 16.00 107.00 51.00 51.00 51.00 51.00 51.00

0.00 1.75 1.35 2.25 1.06 0.65 0.00 0.45 0.00 0.85 0.25 0.00 0.00 0.00 0.00 0.00 0.00 0.20 0.00 0.00 0.65 0.00 0.00 1.00 0.00 0.50 0.00 0.00 8.00 2.00 0.00 93.00 0.00 0.00 37.00 24.00 10.75 0.00 0.00 5.50 0.00 0.00 3.01 0.00

3% -4% -2% 22% 10% -36% -6% 25% -43% 30% 11% 35% 14% 5% -5% 16% -11% 19% 8% -25% -

3.13 1.82 1.54 2.27 1.11 0.76 0.01 0.10 0.09 0.23 0.27 0.19 5.75 8.26 47.25 0.17 0.44 0.07 2.58 3.39 1.00 1.83 1.20 0.94 0.71 0.35 0.65 22.81 12.48 5.57 2.41 97.85 78.65 59.65 41.53 25.77 13.94 4.90 16.83 6.50 2.62 1.33 4.79 12.17

0.043 0.141 0.009 0.045 0.174 -0.777 -0.727 0.067 -0.643 0.534 -0.057 -0.293 0.560 1.784 0.052 0.122 0.074 0.297 0.182 0.590 -

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

Valor Intrínseco 1.80 1.00 0.60 0.60

Cobertura %

Tasa Lanzam. %

10.87% 8.39% 13.98% 6.58% 4.04%

5.2% 5.1% 11.9% 7.7% 9.4%

2.73%

7.2%

2.75%

20.4%

3.38%

7.0%

14.81%

6.1%

7.41%

12.0%

3.89% 0.97%

7.8% 14.3%

32.07%

1.5%

12.76% 8.28% 3.71%

2.8% 5.3% 7.4%

1.90%

12.5%

2.65 2.65 43.50

1.75 1.75

0.95 0.65 0.35

10.50

90.00 70.00 50.00 30.00 10.00

10.00

Delta

Gamma

Vega

Theta

Rho

Efecto Palanca

Volat. Implícita

Volumen

0.881 0.809 0.749 0.772 0.628 0.499 -0.013 -0.097 -0.139 -0.191 0.506 0.397 0.771 0.785 0.981 0.331 0.500 0.168 0.880 0.866 0.547 0.645 0.942 0.880 0.788 0.537 0.636 0.758 0.541 0.309 -0.145 1.000 0.998 0.981 0.916 0.765 0.544 0.386 0.495 0.323 0.160 -0.084 -0.235 -0.456

0.067 0.131 0.154 0.101 0.182 0.193 0.016 0.083 0.187 0.131 0.580 0.561 0.042 0.028 0.002 0.433 0.330 0.300 0.086 0.064 0.169 0.110 0.135 0.233 0.339 0.464 0.304 0.010 0.013 0.012 0.008 0.000 0.000 0.001 0.005 0.009 0.012 0.020 0.008 0.011 0.007 0.005 0.009 0.012

0.017 0.017 0.019 0.026 0.023 0.024 0.002 0.010 0.008 0.017 0.014 0.013 0.063 0.088 0.023 0.010 0.016 0.007 0.015 0.023 0.029 0.039 0.003 0.005 0.007 0.010 0.014 0.242 0.308 0.273 0.177 0.000 0.007 0.050 0.169 0.337 0.434 0.239 0.629 0.393 0.266 0.169 0.337 0.434

-0.079 -0.098 -0.101 -0.084 -0.101 -0.095 -0.004 -0.015 -0.041 -0.020 -0.042 -0.036 -0.347 -0.289 -0.542 -0.033 -0.033 -0.020 -0.109 -0.095 -0.114 -0.098 -0.034 -0.038 -0.042 -0.041 -0.035 -1.353 -1.340 -1.031 -0.291 -1.036 -1.151 -1.313 -1.549 -1.735 -1.650 -2.054 -1.294 -1.262 -0.771 -0.203 -0.285 -0.097

0.033 0.016 0.015 0.030 0.013 0.010 0.000 -0.002 -0.001 -0.005 0.006 0.005 0.052 0.104 0.119 0.003 0.009 0.002 0.020 0.039 0.014 0.031 0.007 0.007 0.007 0.005 0.011 0.190 0.141 0.083 -0.046 0.274 0.300 0.320 0.319 0.279 0.205 0.050 0.375 0.124 0.062 -0.037 -0.104 -0.206

4.53 7.14 7.82 5.48 9.13 10.54 21.31 15.63 25.86 13.25 17.37 19.57 7.41 5.25 2.77 13.98 8.33 17.11 6.56 4.91 10.55 6.78 5.30 6.30 7.48 10.25 6.60 6.83 8.90 11.41 12.35 2.96 3.68 4.77 6.39 8.60 11.32 22.87 8.53 14.39 17.68 18.44 14.27 10.87

29% 23% 33% 32% 29% 58% 66% 19% 46% 20% 43% 48% 25% 25% 50% 50% 24% 23% 27% 24% -

49121 133919 71190 180856 92057 6720 19975 3000 540 2600 127503 84329 75000 2000 9300 3700 21000 70960 6915 1505 -

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

4

Glosario Subyacente: acción o bono al cual está vinculada la opción respectiva. Precio: Es el precio de cierre de la acción/bono subyacente. Tipo: Call (opción de compra) / Put (opción de venta). Strike: Precio de ejercicio de la opción. Días al Vto: Días corridos desde la fecha de análisis hasta el vencimiento de la opción. Vto: es el mes en el cual vence la opción. Prima: Último precio de la opción negociado en el mercado. % Var: Variación de la prima con relación al precio de cierre inmediato anterior. Prima Teórica: Valor teórico de la opción de acuerdo al modelo de valuación de Black and Scholes. Se utiliza la volatilidad historica de las ultimas 40 ruedas. Dif. Vs Prima: relación porcentual entre la prima teórica y el precio de mercado. Estado: Indica si la opción está OTM (Out of the money) / ITM (In the money) / ATM (At the money). En castellano se define como No ejercible/ Ejercible / Indiferente a ejercer. Valor intrínseco: Es la diferencia entre el precio de mercado y el precio de ejercicio. Sólo se consigna en las opciones ejercibles (ITM). Cobertura: Es la relación de la prima con respecto al precio de mercado del subyacente. Tasa Lanzam.: Es la tasa estimada de ganancia en el caso de haber realizado un lanzamiento y ser ejercido. Se computa como el ratio entre el precio de ejercicio del lanzamiento y la diferencia del precio de mercado del acción y la prima de la opción. Sólo aplica para las opciones de compra. Delta: Letra griega que indica la variación teórica medida en pesos de la prima ante una variación en el subyacente de un peso. Gamma: Letra griega que indica la variación teórica del Delta ante una variación de una unidad en el subyacente. Vega: Letra griega que indica la variación teórica de la prima ante un cambio de una unidad en la volatilidad. Theta: Letra griega que indica la variación teórica de la prima ante el paso del tiempo en días. Rho: Letra griega que indica la variación teórica de la prima ante un cambio de un punto en la tasa de interés. Efecto Palanca: Mide el grado de apalancamiento de la opción. Es el retorno relativo a obtener por invertir en la opción ante la variación del activo subyacente de un peso. Volatilidad implícita: Es la volatilidad que se deduce del modelo de valuación de Black and Scholes, tomando como parámetro el precio de mercado de la opción y como incógnita la volatilidad. Volumen: Monto total operado. San Martin 323 Piso 11 C.A.B.A. - Argentina - Te. 4000-1400 - 0810-1222-IOL (465)

Cláusula Legal Este reporte tiene el propósito de brindar información para generar debate. Mientras no esté especificado el mismo no constituye ninguna oferta o recomendación de compra o venta de los instrumentos financieros mencionados. Por otro lado, este reporte no tiene en cuenta los objetivos de inversión y/o la situación financiera de ninguna persona en particular. Los Asesores Financieros relacionados a invertirOnline.com pueden ofrecer sus opiniones o perspectivas concernientes a lo apropiado de la naturaleza de determinadas estrategias de inversión; sin embargo, es finalmente el usuario o cliente el responsable último de las decisiones de inversión que adopta debiendo estar tales decisiones basadas únicamente en sus circunstancias económicas, objetivos financieros, tolerancia al riesgo y necesidades de liquidez personales. Las inversiones en activos financieros y otros productos conllevan riesgos, incluyendo la perdida de capital significativa. Los riesgos incluyen pero no están limitados a: riesgo de tasa de interés, riesgos de liquidez, de tipo de cambio y el riesgo específico de la empresa y/o sector. Este documento contiene información histórica y prospectiva. Los rendimientos pasados no son garantía o indicativo de resultados futuros. Todos los precios, valores o estimaciones generadas en este reporte (excepto aquellos identificados como históricos) son con fines indicativos. Todos los datos utilizados en este reporte están basados en fuentes que se consideran confiables y de buena fe, pero no implican garantía implícita o explícita de su precisión y completitud. Mayor información al respecto se encuentra disponible de ser requerida. Conflictos de Interés Hemos implementado y mantenemos implementando un período de restricción de 2 semanas sobre las carteras administradas previo a la emisión de un reporte de manera de evitar la compra/venta de acciones específicas que se encuentran involucrados en el presente research. Los analistas involucrados en la creación de este research pueden tener intereses directos o indirectos dentro de las posiciones mencionadas en este reporte. En caso de ser así en el siguiente cuadro se listarán aquellos activos en que los analistas tienen posiciones y la naturaleza de las mismas. Fecha de Posición

Alejandro Bianchi, CFA Gerente de Inversiones @aleebianchi fb.com/alejandro.emilio.bianchi

Flavia Matsuda Analista Cuantitativo @FlaviaMatsuda [email protected]

Analista

Posisición

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]