Reporte de Opciones

Flavia Matsuda Analista Cuantitativo @FlaviMatsuda [email protected]

jueves, 28 de abril de 2016 Subyacente

Precio

Serie

Tipo

Strike

Vto

Dias al Vto

Prima

% Var

Prima Teórica

Dif.vs Prima

Estado

ALUA

10.10 10.10 10.10 10.10 10.10 10.10 10.10 10.10 10.10 10.10 54.50 54.50 54.50 54.50 54.50 54.50 54.50 54.50 54.50 54.50 54.50 54.50 54.50 54.50 54.50 54.50 54.50 54.50 54.50 54.50 54.50 54.50 54.50 54.50 54.50 54.50 54.50 54.50 54.50 54.50 54.50 54.50

ALUC5.80JU ALUC5.80AG ALUC5.80OC ALUC7.60JU ALUC9.40JU ALUC9.40AG ALUC10.75J ALUC11.2JU ALUC11.2AG ALUC12.5JU PBRC18.4JU PBRC18.4AG PBRC18.4OC PBRC22.4JU PBRC22.4AG PBRC26.4JU PBRC26.4AG PBRC30.4JU PBRC30.4AG PBRC30.4OC PBRC34.4JU PBRC34.4OC PBRC38.4JU PBRC42.4JU PBRC42.4AG PBRC46.4JU PBRC46.4AG PBRC50.4JU PBRC50.4AG PBRC54.4MY PBRC54.4JU PBRC54.4AG PBRC58.4JU PBRC58.4AG PBRC62.4JU PBRC62.4AG PBRC66.4JU PBRC70.4JU PBRC70.4AG PBRC74.4JU PBRC74.4AG PBRV18.4JU

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 Put

5.800 5.800 5.800 7.600 9.400 9.400 10.700 11.200 11.200 12.500 18.400 18.400 18.400 22.400 22.400 26.400 26.400 30.400 30.400 30.400 34.400 34.400 38.400 42.400 42.400 46.400 46.400 50.400 50.400 54.400 54.400 54.400 58.400 58.400 62.400 62.400 66.400 70.400 70.400 74.400 74.400 18.400

JU AG OC JU JU AG J JU AG JU JU AG OC JU AG JU AG JU AG OC JU OC JU JU AG JU AG JU AG MY JU AG JU AG JU AG JU JU AG JU AG JU

49.00 112.00 168.00 49.00 49.00 112.00 49.00 49.00 112.00 49.00 49.00 112.00 168.00 49.00 112.00 49.00 112.00 49.00 112.00 168.00 49.00 168.00 49.00 49.00 112.00 49.00 112.00 49.00 112.00 21.00 49.00 112.00 49.00 112.00 49.00 112.00 49.00 49.00 112.00 49.00 112.00 49.00

4.50 5.30 0.00 0.00 1.40 0.00 0.50 0.00 0.00 0.00 37.50 39.80 40.00 32.50 0.00 29.90 0.00 24.80 32.00 0.00 21.00 23.00 18.00 13.30 0.00 10.00 14.00 6.70 11.00 1.97 4.70 0.00 3.15 0.00 2.00 3.80 1.08 0.69 0.00 0.45 1.20 0.12

0% 0% -7% -14% 7% 5% 11% 12% 19% 3% 25% 5% 5% 13% 3% 9% 54% 5% 0% 9% 9% 13% 18% 33% 3% -1% 0% 0% 0%

4.52 4.79 5.01 2.80 1.27 1.81 0.55 0.37 0.88 0.12 36.80 37.66 38.43 32.95 34.06 29.12 30.56 25.34 27.20 28.83 21.68 25.99 18.21 15.02 18.44 12.18 16.03 9.71 13.89 4.89 7.63 11.99 5.92 10.32 4.54 8.87 3.45 2.59 6.52 1.94 5.59 0.00

0.004 -0.097 -0.093 0.094 -0.019 -0.054 -0.039 0.014 -0.026 0.022 -0.150 0.032 0.130 0.012 0.130 0.218 0.145 0.450 0.262 1.483 0.624 0.879 1.269 1.334 2.191 2.759 3.309 3.655 -0.998

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

APBR

Valor Intrínseco

Cobertura %

Tasa Lanzam. %

4.30 4.30 4.30 2.50 0.70 0.70

44.55% 52.48%

3.6% 20.8%

13.86%

8.0%

4.95%

11.5%

68.81% 73.03% 73.39% 59.63%

8.2% 25.2% 26.9% 1.8%

54.86%

7.3%

45.50% 58.72%

2.4% 35.1%

38.53% 42.20% 33.03% 24.40%

2.7% 9.2% 5.2% 2.9%

18.35% 25.69% 12.29% 20.18% 3.61% 8.62%

4.3% 14.6% 5.4% 15.9% 3.6% 9.2%

5.78%

13.7%

3.67% 6.97% 1.98% 1.27%

18.9% 23.1% 24.3% 30.8%

0.83% 2.20%

37.7% 39.6%

36.10 36.10 36.10 32.10 32.10 28.10 28.10 24.10 24.10 24.10 20.10 20.10 16.10 12.10 12.10 8.10 8.10 4.10 4.10 0.10 0.10 0.10

Delta

Gamma

Vega

Theta

Rho

Efecto Palanca

Volat. Implícita

Volumen

1.000 0.998 0.994 0.983 0.782 0.785 0.483 0.370 0.520 0.152 1.000 0.997 0.993 0.999 0.991 0.996 0.977 0.986 0.954 0.939 0.963 0.908 0.923 0.864 0.833 0.789 0.779 0.703 0.722 0.577 0.612 0.664 0.521 0.606 0.435 0.550 0.357 0.289 0.445 0.230 0.399 0.000

0.000 0.003 0.006 0.026 0.185 0.122 0.250 0.237 0.167 0.147 0.000 0.000 0.001 0.000 0.001 0.001 0.002 0.002 0.004 0.004 0.005 0.005 0.009 0.013 0.010 0.017 0.012 0.021 0.013 0.035 0.023 0.015 0.024 0.015 0.024 0.016 0.022 0.020 0.016 0.018 0.015 0.000

0.000 0.000 0.001 0.002 0.011 0.016 0.015 0.014 0.022 0.009 0.000 0.003 0.008 0.001 0.008 0.002 0.017 0.007 0.029 0.045 0.016 0.061 0.029 0.044 0.076 0.058 0.090 0.070 0.102 0.052 0.077 0.111 0.080 0.117 0.079 0.120 0.075 0.069 0.120 0.061 0.117 0.000

-0.030 -0.029 -0.028 -0.043 -0.069 -0.055 -0.068 -0.060 -0.053 -0.034 -0.096 -0.096 -0.097 -0.119 -0.127 -0.150 -0.165 -0.196 -0.208 -0.197 -0.261 -0.231 -0.342 -0.428 -0.340 -0.503 -0.373 -0.558 -0.398 -0.832 -0.586 -0.414 -0.586 -0.421 -0.563 -0.421 -0.522 -0.470 -0.403 -0.412 -0.387 0.000

0.008 0.016 0.023 0.010 0.009 0.019 0.006 0.005 0.014 0.002 0.024 0.052 0.073 0.029 0.062 0.034 0.070 0.039 0.077 0.104 0.042 0.109 0.044 0.044 0.083 0.042 0.082 0.039 0.079 0.016 0.035 0.075 0.031 0.070 0.026 0.065 0.022 0.018 0.055 0.015 0.050 0.000

2.23 2.11 2.00 3.55 6.22 4.37 8.91 10.04 5.97 13.09 1.48 1.44 1.41 1.65 1.59 1.86 1.74 2.12 1.91 1.78 2.42 1.90 2.76 3.13 2.46 3.53 2.65 3.95 2.83 6.43 4.37 3.02 4.80 3.20 5.22 3.38 5.65 6.06 3.72 6.47 3.89 13.00

50% 50% 54% 39% 50% 50% 50% 50% 50% 50% 50% 50% 50% 75% 50% 34% 59% 36% 54% 27% 45% 48% 50% 41% 48% 51% 53% 41% 50%

9000 217290 14000 3000 238650 3980 51900 284850 163750 323910 20400 405705 11510 283340 1391600 1194594 28000 5359116 11000 307 3746935 2903011 793490 18170 252963 65662 10886 2640 5558

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

Reporte de Opciones

Subyacente

BMA COME

EDN

ERAR

FRAN

GGAL

Precio

Serie

Tipo

Strike

Vto

Dias al Vto

Prima

% Var

Prima Teórica

Dif.vs Prima

Estado

54.50 54.50 54.50 54.50 54.50 54.50 54.50 94.00 3.24 3.24 3.24 3.24 3.24 3.24 3.24 3.24 3.24 3.24 3.24 3.24 3.24 3.24 3.24 3.24 3.24 3.24 10.70 10.70 10.70 10.70 10.70 6.89 6.89 6.89 6.89 6.89 6.89 6.89 6.89 6.89 103.50 103.50 103.50 41.25 41.25 41.25 41.25 41.25

PBRV30.4JU PBRV34.4JU PBRV38.4JU PBRV42.4JU PBRV46.4JU PBRV50.4JU PBRV54.4JU BMAC108.JU COMC2.00JU COMC2.00AG COMC2.20JU COMC2.60JU COMC2.80JU COMC3.00JU COMC3.00AG COMC3.15JU COMC3.15AG COMC3.30JU COMC3.30AG COMC3.30OC COMC3.45JU COMC3.45AG COMC3.60JU COMC3.75JU COMC3.90JU COMC4.05JU EDNC9.15JU EDNC11.2JU EDNC11.2AG EDNC12.7JU EDNV9.15JU ERAC4.699G ERAC5.699J ERAC5.95JU ERAC6.699J ERAC7.449J ERAC7.699J ERAC7.95JU ERAV7.199J ERAV7.199G FRAC74.0JU FRAC80.0JU FRAC84.0JU GFGC32.0JU GFGC35.0JU GFGC35.0AG GFGC38.0JU GFGC38.0AG

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

30.400 34.400 38.400 42.400 46.400 50.400 54.400 108.000 2.000 2.000 2.200 2.600 2.800 3.000 3.000 3.150 3.150 3.300 3.300 3.300 3.450 3.450 3.600 3.750 3.900 4.050 9.150 11.200 11.200 12.700 9.150 4.690 5.690 5.950 6.690 7.440 7.690 7.950 7.190 7.190 74.000 80.000 84.000 32.000 35.000 35.000 38.000 38.000

JU JU JU JU JU JU JU JU JU AG JU JU JU JU AG JU AG JU AG OC JU AG JU JU JU JU JU JU AG JU JU G J JU J J J JU J G JU JU JU JU JU AG JU AG

49.00 49.00 49.00 49.00 49.00 49.00 49.00 49.00 49.00 112.00 49.00 49.00 49.00 49.00 112.00 49.00 112.00 49.00 112.00 168.00 49.00 112.00 49.00 49.00 49.00 49.00 49.00 49.00 112.00 49.00 49.00 112.00 49.00 49.00 49.00 49.00 49.00 49.00 49.00 112.00 49.00 49.00 49.00 49.00 49.00 112.00 49.00 112.00

0.20 0.25 0.60 1.00 1.65 2.51 4.50 0.00 1.30 0.00 0.00 0.00 0.00 0.37 0.00 0.24 0.00 0.15 0.00 0.00 0.11 0.00 0.08 0.05 0.00 0.00 0.00 1.00 0.00 0.00 0.00 0.00 1.37 1.30 0.70 0.31 0.20 0.00 0.00 0.00 33.00 0.00 0.00 10.50 0.00 0.00 0.00 0.00

-33% -58% -14% 0% -1% -3% -5% -6% -10% -17% -20% -16% -15% -17% 0% -22% -14% -7% -21% -9% 0% -16% -

0.09 0.28 0.66 1.32 2.33 3.71 5.48 3.00 1.32 1.41 1.12 0.75 0.57 0.42 0.59 0.32 0.50 0.23 0.41 0.55 0.17 0.34 0.12 0.08 0.05 0.03 2.05 0.80 1.45 0.33 0.16 2.60 1.43 1.21 0.65 0.28 0.20 0.14 0.41 0.44 32.35 26.73 23.10 10.49 7.75 9.61 5.28 7.39

-0.529 0.120 0.103 0.323 0.410 0.478 0.217 0.012 0.126 0.320 0.515 0.513 0.534 0.545 -0.204 0.047 -0.072 -0.074 -0.095 0.011 -0.020 -0.001 -

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

Valor Intrínseco

1.24 1.24 1.04 0.64 0.44 0.24 0.24 0.09 0.09

Cobertura %

Tasa Lanzam. %

40.12%

3.1%

11.42%

4.5%

7.41%

5.0%

4.75%

6.9%

3.40%

10.2%

2.31% 1.54%

13.7% 17.6%

9.35%

15.5%

19.88% 18.87% 10.16% 4.50% 2.90%

3.1% 6.4% 8.1% 13.1% 14.9%

31.88%

5.0%

25.45%

4.1%

1.55

2.20 1.20 0.94 0.20

0.30 0.30 29.50 23.50 19.50 9.25 6.25 6.25 3.25 3.25

Delta

Gamma

Vega

Theta

Rho

Efecto Palanca

Volat. Implícita

Volumen

-0.014 -0.037 -0.077 -0.136 -0.211 -0.297 -0.388 0.312 1.000 0.995 0.998 0.959 0.896 0.793 0.793 0.693 0.729 0.582 0.659 0.703 0.469 0.587 0.363 0.270 0.194 0.134 0.864 0.524 0.613 0.280 -0.136 0.989 0.953 0.914 0.708 0.422 0.335 0.255 -0.483 -0.377 0.991 0.970 0.944 0.984 0.934 0.901 0.822 0.816

0.002 0.005 0.009 0.013 0.017 0.021 0.023 0.022 0.002 0.021 0.015 0.175 0.357 0.565 0.376 0.695 0.437 0.773 0.483 0.373 0.787 0.513 0.743 0.655 0.544 0.428 0.105 0.191 0.122 0.161 0.105 0.019 0.099 0.159 0.349 0.397 0.369 0.326 0.404 0.256 0.001 0.004 0.007 0.007 0.022 0.020 0.045 0.030

0.007 0.016 0.029 0.044 0.058 0.070 0.077 0.123 0.000 0.000 0.000 0.001 0.002 0.003 0.005 0.004 0.006 0.005 0.007 0.008 0.005 0.007 0.004 0.004 0.003 0.003 0.009 0.016 0.023 0.013 0.009 0.001 0.002 0.004 0.009 0.010 0.009 0.008 0.010 0.015 0.009 0.026 0.043 0.006 0.020 0.040 0.040 0.061

-0.038 -0.083 -0.143 -0.208 -0.263 -0.297 -0.304 -0.547 -0.010 -0.010 -0.012 -0.016 -0.019 -0.022 -0.017 -0.023 -0.018 -0.023 -0.018 -0.016 -0.021 -0.018 -0.019 -0.016 -0.013 -0.010 -0.071 -0.084 -0.065 -0.063 -0.023 -0.024 -0.034 -0.038 -0.046 -0.041 -0.036 -0.031 -0.007 -0.001 -0.408 -0.477 -0.536 -0.179 -0.218 -0.196 -0.261 -0.214

-0.001 -0.003 -0.007 -0.012 -0.019 -0.027 -0.036 0.036 0.003 0.006 0.003 0.003 0.003 0.003 0.006 0.003 0.006 0.002 0.005 0.008 0.002 0.005 0.001 0.001 0.001 0.001 0.010 0.007 0.016 0.004 -0.002 0.013 0.007 0.007 0.006 0.004 0.003 0.002 -0.005 -0.009 0.096 0.101 0.102 0.041 0.042 0.085 0.039 0.081

8.34 7.28 6.38 5.60 4.93 4.36 3.86 9.77 2.46 2.29 2.88 4.16 5.07 6.17 4.36 7.09 4.76 8.08 5.18 4.16 9.13 5.61 10.22 11.33 12.45 13.59 4.50 7.05 4.52 9.13 9.27 2.63 4.58 5.22 7.52 10.38 11.40 12.49 8.15 5.90 3.17 3.76 4.23 3.87 4.97 3.87 6.42 4.56

94% 81% 81% 75% 71% 65% 70% 50% 26% 22% 25% 30% 33% 35% 66% 50% 57% 44% 42% 38% 69% 39% -

1020 1003 1950 37014 86519 95911 141660 40131 144575 160238 380922 122260 65392 8725 200 137 6500 48470 8050 12669 6600 21000 -

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

2

Reporte de Opciones

Subyacente

MIRG

PAMP

Precio

Serie

Tipo

Strike

Vto

Dias al Vto

Prima

% Var

Prima Teórica

Dif.vs Prima

Estado

41.25 41.25 41.25 41.25 41.25 41.25 41.25 41.25 41.25 41.25 41.25 41.25 41.25 41.25 41.25 41.25 41.25 41.25 41.25 41.25 41.25 41.25 41.25 41.25 41.25 41.25 41.25 41.25 41.25 41.25 41.25 1310.00 1310.00 1310.00 1310.00 1310.00 1310.00 11.85 11.85 11.85 11.85 11.85 11.85 11.85 11.85 11.85 11.85 11.85

GFGC39.0JU GFGC39.0AG GFGC40.0JU GFGC40.0AG GFGC41.0JU GFGC41.0AG GFGC42.0JU GFGC42.0AG GFGC43.0JU GFGC44.0MY GFGC44.0JU GFGC45.0MY GFGC45.0JU GFGC45.0AG GFGC46.0JU GFGC46.0AG GFGC47.0JU GFGC48.0JU GFGC49.0JU GFGC50.0JU GFGC52.0JU GFGC55.0JU GFGC55.0AG GFGV11.0JU GFGV38.0JU GFGV38.0AG GFGV40.0JU GFGV41.0JU GFGV42.0JU GFGV44.0JU GFGV46.0JU MIRC800.JU MIRC980.OC MIRC980.JU MIRC1020.J MIRC1300.J MIRC1340.G PAMC9.10JU PAMC9.10AG PAMC9.90JU PAMC11.5JU PAMC12.7JU PAMC13.1JU PAMC13.1AG PAMC14.3JU PAMC15.1JU PAMC15.5JU PAMV12.7JU

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

39.000 39.000 40.000 40.000 41.000 41.000 42.000 42.000 43.000 44.000 44.000 45.000 45.000 45.000 46.000 46.000 47.000 48.000 49.000 50.000 52.000 55.000 55.000 11.000 38.000 38.000 40.000 41.000 42.000 44.000 46.000 800.000 980.000 980.000 1020.000 1300.000 1340.000 9.100 9.100 9.900 11.500 12.700 13.100 13.100 14.300 15.100 15.500 12.700

JU AG JU AG JU AG JU AG JU MY JU MY JU AG JU AG JU JU JU JU JU JU AG JU JU AG JU JU JU JU JU JU OC JU .J .J .G JU AG JU JU JU JU AG JU JU JU JU

49.00 112.00 49.00 112.00 49.00 112.00 49.00 112.00 49.00 21.00 49.00 21.00 49.00 112.00 49.00 112.00 49.00 49.00 49.00 49.00 49.00 49.00 112.00 49.00 49.00 112.00 49.00 49.00 49.00 49.00 49.00 49.00 168.00 49.00 49.00 49.00 112.00 49.00 112.00 49.00 49.00 49.00 49.00 112.00 49.00 49.00 49.00 49.00

4.50 0.00 0.00 0.00 3.25 0.00 2.75 0.00 2.09 0.00 1.60 0.00 1.31 3.20 1.05 0.00 0.90 0.60 0.00 0.50 0.35 0.25 0.00 0.00 0.85 0.00 0.00 1.60 2.15 3.20 0.00 0.00 0.00 0.00 0.00 130.00 0.00 3.50 0.00 2.40 0.00 0.75 0.52 0.00 0.25 0.15 0.00 1.35

0% 5% 4% -5% -11% -13% 0% -12% -5% -14% 0% -30% 0% 0% 7% 0% -6% -16% -3% 0% -6% -2% 0% 3% 59%

4.56 6.71 3.89 6.08 3.28 5.48 2.74 4.92 2.26 0.77 1.85 0.53 1.49 3.49 1.19 3.09 0.95 0.74 0.57 0.44 0.25 0.10 0.89 0.00 0.60 0.97 1.13 1.49 1.91 2.94 4.21 541.76 497.13 379.43 346.15 159.70 233.66 3.12 3.60 2.40 1.21 0.62 0.48 1.10 0.21 0.11 0.08 0.99

0.013 0.010 -0.003 0.083 0.156 0.141 0.090 0.138 0.050 0.234 -0.118 -0.277 -0.588 -0.295 -0.071 -0.113 -0.082 0.228 -0.110 0.000 -0.173 -0.072 -0.162 -0.247 -0.266

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

Valor Intrínseco

Cobertura %

Tasa Lanzam. %

2.25 2.25 1.25 1.25 0.25 0.25

10.91%

6.1%

7.88%

7.9%

6.67%

9.1%

5.07%

9.8%

3.88%

11.0%

3.18% 7.76% 2.55%

12.7% 18.3% 14.4%

2.18% 1.45%

16.5% 18.1%

1.21% 0.85% 0.61%

22.7% 27.1% 34.1%

9.92%

10.2%

29.54%

9.0%

20.25%

4.8%

6.33% 4.39%

14.4% 15.6%

2.11% 1.27%

23.3% 29.1%

0.75 2.75 4.75 510.00 330.00 330.00 290.00 10.00 2.75 2.75 1.95 0.35

0.85

Delta

Gamma

Vega

Theta

Rho

Efecto Palanca

Volat. Implícita

Volumen

0.770 0.782 0.713 0.746 0.650 0.707 0.585 0.667 0.520 0.322 0.455 0.242 0.393 0.542 0.334 0.501 0.281 0.233 0.191 0.154 0.098 0.045 0.201 0.000 -0.178 -0.184 -0.287 -0.350 -0.415 -0.545 -0.666 0.988 0.873 0.924 0.899 0.621 0.640 0.972 0.938 0.920 0.690 0.459 0.385 0.528 0.205 0.125 0.095 -0.541

0.052 0.034 0.058 0.037 0.064 0.039 0.067 0.041 0.068 0.093 0.068 0.081 0.066 0.045 0.062 0.046 0.058 0.052 0.047 0.041 0.030 0.016 0.032 0.000 0.045 0.030 0.058 0.064 0.067 0.068 0.062 0.000 0.000 0.000 0.001 0.001 0.001 0.033 0.042 0.076 0.180 0.203 0.195 0.135 0.145 0.105 0.086 0.203

0.046 0.068 0.052 0.074 0.057 0.079 0.060 0.083 0.061 0.036 0.061 0.032 0.059 0.091 0.056 0.092 0.051 0.047 0.042 0.036 0.026 0.015 0.064 0.000 0.040 0.061 0.052 0.057 0.060 0.061 0.056 0.157 1.855 0.692 0.858 1.844 2.726 0.003 0.008 0.007 0.015 0.017 0.017 0.026 0.012 0.009 0.007 0.017

-0.270 -0.218 -0.277 -0.220 -0.278 -0.221 -0.274 -0.220 -0.266 -0.288 -0.253 -0.243 -0.236 -0.209 -0.216 -0.203 -0.195 -0.173 -0.150 -0.129 -0.091 -0.048 -0.116 0.000 -0.063 -0.026 -0.069 -0.065 -0.057 -0.025 0.022 -4.797 -6.092 -7.767 -8.559 -12.289 -8.993 -0.054 -0.052 -0.066 -0.086 -0.080 -0.074 -0.064 -0.051 -0.035 -0.029 -0.014

0.037 0.079 0.035 0.076 0.032 0.073 0.029 0.070 0.026 0.008 0.023 0.006 0.020 0.058 0.017 0.054 0.015 0.012 0.010 0.008 0.005 0.002 0.023 0.000 -0.011 -0.026 -0.018 -0.022 -0.026 -0.035 -0.043 1.030 2.994 1.139 1.139 0.896 1.873 0.012 0.023 0.012 0.010 0.007 0.006 0.016 0.003 0.002 0.001 -0.010

6.97 4.81 7.56 5.06 8.17 5.32 8.81 5.59 9.46 17.20 10.14 18.92 10.83 6.41 11.54 6.69 12.25 12.98 13.70 14.44 15.91 18.11 9.28 69.04 12.24 7.79 10.50 9.71 8.97 7.65 6.53 2.39 2.30 3.19 3.40 5.10 3.59 3.70 3.09 4.54 6.76 8.76 9.46 5.68 11.62 13.08 13.81 6.47

37% 38% 38% 35% 34% 35% 35% 36% 37% 35% 40% 42% 46% 44% 40% 42% 43% 52% 97% 45% 52% 47% 48% 48% 65%

91573 73675 113350 196414 89710 215276 37540 107791 14450 6910 4495 6650 4013 8465 15155 7542 49275 69000 350 1200 43675 31393 26805 1500 945

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

3

Reporte de Opciones

Subyacente

Precio

Serie

Tipo

Strike

Vto

Dias al Vto

Prima

% Var

Prima Teórica

Dif.vs Prima

Estado

TECO2

54.50 54.50 6.68 6.68 6.68 6.68 6.68 6.68 190.00 190.00 190.00 190.00 190.00 190.00 190.00 190.00 190.00 284.00 284.00 284.00 284.00 284.00 284.00 284.00 284.00 284.00 284.00 284.00 284.00

TECC52.6JU TECC52.6AG TRAC5.80JU TRAC5.80AG TRAC6.10JU TRAC7.00JU TRAC7.30JU TRAC7.90JU TS.C185.JU TS.C195.JU TS.C205.JU TS.C205.MY TS.C213.JU TS.C213.MY TS.C237.JU TS.C237.AG TS.V175.JU YPFC200.JU YPFC200.AG YPFC220.JU YPFC240.JU YPFC280.JU YPFC300.JU YPFC300.MY YPFC320.JU YPFC340.JU YPFV240.JU YPFV260.JU YPFV280.JU

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 Put Put Put

52.600 52.600 5.800 5.800 6.100 7.000 7.300 7.900 185.000 195.000 205.000 205.000 213.000 213.000 237.000 237.000 175.000 200.000 200.000 220.000 240.000 280.000 300.000 300.000 320.000 340.000 240.000 260.000 280.000

JU AG JU AG JU JU JU JU JU JU JU MY JU MY JU AG JU JU AG JU JU JU JU MY JU JU JU JU JU

49.00 112.00 49.00 112.00 49.00 49.00 49.00 49.00 49.00 49.00 49.00 21.00 49.00 21.00 49.00 112.00 49.00 49.00 112.00 49.00 49.00 49.00 49.00 21.00 49.00 49.00 49.00 49.00 49.00

0.00 0.00 0.97 0.00 0.00 0.00 0.00 0.00 0.00 10.00 4.50 0.00 2.50 0.00 0.00 0.00 0.00 0.00 0.00 75.00 60.00 0.00 14.00 0.00 6.00 0.00 0.00 0.00 0.00

-8% -31% -25% -28% 10% -14% -15% -25% -

5.16 7.99 1.14 1.45 0.90 0.35 0.24 0.10 16.32 10.57 6.38 2.23 4.05 0.95 0.81 5.23 1.94 91.62 101.28 72.73 54.73 25.34 15.43 7.17 8.74 4.62 1.67 4.79 10.77

0.175 0.057 0.418 0.621 -0.030 -0.088 0.102 0.456 -

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

TRAN

TS

YPFD

Valor Intrínseco 1.90 1.90 0.88 0.88 0.58

Cobertura %

Tasa Lanzam. %

14.52%

1.6%

5.26% 2.37%

8.3% 10.5%

1.32%

13.6%

26.41% 21.13%

5.3% 7.1%

4.93%

11.1%

2.11%

15.1%

5.00

84.00 84.00 64.00 44.00 4.00

Delta

Gamma

Vega

Theta

Rho

Efecto Palanca

Volat. Implícita

Volumen

0.732 0.761 0.911 0.882 0.838 0.505 0.387 0.199 0.721 0.565 0.405 0.249 0.292 0.127 0.079 0.266 -0.150 0.995 0.977 0.976 0.921 0.662 0.489 0.376 0.328 0.202 -0.079 -0.185 -0.338

0.045 0.028 0.171 0.140 0.260 0.424 0.407 0.296 0.014 0.017 0.016 0.020 0.015 0.013 0.006 0.009 0.010 0.000 0.001 0.001 0.003 0.008 0.009 0.013 0.008 0.006 0.003 0.006 0.008

0.066 0.094 0.004 0.007 0.006 0.010 0.009 0.007 0.236 0.277 0.273 0.148 0.241 0.097 0.104 0.347 0.164 0.015 0.086 0.060 0.155 0.384 0.419 0.265 0.380 0.296 0.155 0.281 0.384

-0.355 -0.286 -0.037 -0.033 -0.041 -0.043 -0.038 -0.025 -1.205 -1.171 -1.020 -1.033 -0.843 -0.642 -0.321 -0.604 -0.221 -1.072 -1.061 -1.276 -1.567 -2.002 -1.893 -2.297 -1.568 -1.149 -0.323 -0.513 -0.550

0.048 0.104 0.007 0.014 0.006 0.004 0.003 0.002 0.165 0.133 0.097 0.027 0.070 0.014 0.020 0.140 -0.042 0.262 0.546 0.280 0.283 0.223 0.169 0.060 0.116 0.072 -0.033 -0.079 -0.146

7.73 5.19 5.34 4.05 6.25 9.64 10.92 13.60 8.40 10.15 12.06 21.23 13.67 25.27 18.70 9.65 14.70 3.08 2.74 3.81 4.78 7.42 9.00 14.87 10.67 12.40 13.41 10.97 8.92

50% 31% 27% 27% 62% 66% 38% 34% -

70810 8000 900 2500 16300 18000 78100 21000 -

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]