Reporte de Opciones

Flavia Matsuda Analista Cuantitativo (54 11) 4000 1400 [email protected]

miércoles, 03 de junio de 2015 Subyacente Precio ALUA

APBR

9.10 9.10 9.10 9.10 9.10 9.10 9.10 9.10 9.10 9.10 9.10 9.10 9.10 51.30 51.30 51.30 51.30 51.30 51.30 51.30 51.30 51.30 51.30 51.30 51.30 51.30 51.30 51.30 51.30 51.30 51.30 51.30 51.30 51.30 51.30 51.30 51.30 51.30 51.30 51.30 51.30

Serie

Tipo

Strike

Vto

Dias al Vto

Prima

% Var

Prima Teórica

Dif.vs Prima

Estado

ALUC6.70AG ALUC7.589J ALUC7.589G ALUC7.589O ALUC8.036J ALUC8.50OC ALUC8.929J ALUC8.929G ALUC9.821J ALUC9.821G ALUC9.85OC ALUC10714J ALUC11607J PBRC26.4AG PBRC30.4JU PBRC30.4AG PBRC30.4OC PBRC34.4JU PBRC34.4AG PBRC34.4OC PBRC38.4JU PBRC38.4AG PBRC38.4OC PBRC42.4JU PBRC42.4AG PBRC42.4OC PBRC46.4JU PBRC46.4AG PBRC46.4OC PBRC50.4JU PBRC50.4AG PBRC50.4OC PBRC54.4JU PBRC54.4AG PBRC54.4OC PBRC58.4JU PBRC58.4AG PBRC58.4OC PBRC62.4JU PBRC62.4AG PBRC62.4OC

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

6.700 7.580 7.580 7.580 8.030 8.500 8.920 8.920 9.820 9.820 9.850 10.710 11.600 26.400 30.400 30.400 30.400 34.400 34.400 34.400 38.400 38.400 38.400 42.400 42.400 42.400 46.400 46.400 46.400 50.400 50.400 50.400 54.400 54.400 54.400 58.400 58.400 58.400 62.400 62.400 62.400

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

78.00 15.00 78.00 134.00 15.00 134.00 15.00 78.00 15.00 78.00 134.00 15.00 15.00 78.00 15.00 78.00 134.00 15.00 78.00 134.00 15.00 78.00 134.00 15.00 78.00 134.00 15.00 78.00 134.00 15.00 78.00 134.00 15.00 78.00 134.00 15.00 78.00 134.00 15.00 78.00 134.00

0.00 0.00 0.00 2.85 0.00 0.00 0.00 0.00 0.08 0.00 0.00 0.04 0.00 0.00 21.00 25.00 0.00 18.50 0.00 0.00 14.00 0.00 0.00 9.60 11.55 0.00 6.31 9.20 0.00 3.50 7.70 0.00 1.35 4.80 0.00 0.51 3.39 0.00 0.25 2.50 0.00

-1% 17% -10% -5% 4% 0% -4% -11% -8% -18% -10% -24% 3% -40% -13% -41% -8% -38% -4% -

2.73 1.60 1.95 2.25 1.16 1.61 0.45 0.99 0.10 0.56 0.89 0.01 0.00 26.18 21.20 22.47 23.72 17.24 18.91 20.50 13.30 15.60 17.53 9.52 12.61 14.85 6.15 10.00 12.47 3.52 7.80 10.41 1.77 5.99 8.63 0.79 4.54 7.12 0.31 3.40 5.86

-0.209 0.273 -0.691 0.009 -0.101 -0.068 -0.050 -0.009 0.092 -0.026 0.087 0.006 0.013 0.313 0.247 0.545 0.338 0.248 0.359 -

ITM ITM ITM ITM ITM ITM ITM ITM OTM OTM 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

Valor Intrínseco 2.40 1.52 1.52 1.52 1.07 0.60 0.18 0.18

24.90 20.90 20.90 20.90 16.90 16.90 16.90 12.90 12.90 12.90 8.90 8.90 8.90 4.90 4.90 4.90 0.90 0.90 0.90

Cobertura %

Tasa Lanzam. %

31.3%

21.3%

0.8%

8.8%

0.4%

18.1%

40.9% 48.7%

0.3% 15.6%

36.1%

4.9%

27.3%

3.0%

18.7% 22.5%

1.7% 6.7%

12.3% 17.9%

3.1% 10.2%

6.8% 15.0%

5.4% 15.6%

2.6% 9.4%

8.9% 17.0%

1.0% 6.6%

15.0% 21.9%

0.5% 4.9%

22.2% 27.9%

Delta

Gamma

Vega

Theta

Rho

Efecto Palanca

Volat. Implícita

Volumen

0.977 0.990 0.909 0.888 0.951 0.771 0.655 0.677 0.226 0.477 0.554 0.037 0.003 0.994 1.000 0.979 0.957 0.999 0.947 0.920 0.988 0.896 0.871 0.937 0.825 0.812 0.808 0.739 0.745 0.606 0.644 0.674 0.387 0.547 0.602 0.211 0.455 0.532 0.099 0.370 0.466

0.032 0.034 0.097 0.086 0.133 0.137 0.485 0.212 0.395 0.236 0.179 0.106 0.012 0.001 0.000 0.003 0.004 0.001 0.007 0.007 0.005 0.012 0.010 0.018 0.016 0.013 0.039 0.021 0.016 0.055 0.024 0.018 0.054 0.025 0.019 0.041 0.025 0.019 0.025 0.024 0.019

0.002 0.000 0.007 0.011 0.002 0.017 0.007 0.015 0.006 0.017 0.022 0.002 0.000 0.004 0.000 0.012 0.028 0.000 0.026 0.046 0.003 0.043 0.066 0.013 0.061 0.084 0.029 0.078 0.100 0.041 0.089 0.112 0.041 0.095 0.120 0.031 0.095 0.124 0.019 0.090 0.124

-0.030 -0.036 -0.039 -0.036 -0.049 -0.040 -0.085 -0.049 -0.058 -0.046 -0.040 -0.015 -0.002 -0.119 -0.129 -0.154 -0.157 -0.151 -0.201 -0.193 -0.209 -0.255 -0.228 -0.356 -0.306 -0.258 -0.572 -0.345 -0.280 -0.711 -0.366 -0.295 -0.667 -0.369 -0.300 -0.488 -0.355 -0.297 -0.289 -0.329 -0.288

0.013 0.003 0.014 0.022 0.003 0.020 0.002 0.011 0.001 0.008 0.015 0.000 0.000 0.054 0.013 0.060 0.094 0.015 0.064 0.099 0.016 0.066 0.100 0.017 0.064 0.099 0.015 0.060 0.095 0.012 0.055 0.089 0.008 0.048 0.082 0.004 0.041 0.075 0.002 0.034 0.067

3.26 5.65 4.23 3.58 7.43 4.37 13.21 6.20 21.53 7.73 5.64 30.91 40.52 1.95 2.42 2.23 2.07 2.97 2.57 2.30 3.81 2.95 2.55 5.05 3.36 2.80 6.74 3.79 3.06 8.83 4.24 3.32 11.19 4.69 3.58 13.71 5.14 3.83 16.29 5.59 4.08

82% 36% 51% 50% 50% 50% 50% 71% 46% 71% 55% 65% 64% 55% 53% 56% 53% 62% 55% -

421749 2609 1181 32200 50000 75850 1400 69765 1155 332377 40210 899690 12820 670455 88720 127688 28259 6446 22775 -

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

Reporte de Opciones

Subyacente Precio

BMA COME

51.30 51.30 51.30 51.30 51.30 51.30 51.30 51.30 51.30 51.30 51.30 51.30 51.30 61.50 61.50 3.08 3.08 3.08 3.08 3.08 3.08 3.08 3.08 3.08 3.08 3.08 3.08 3.08 3.08 3.08 3.08 3.08 3.08 3.08 3.08 3.08 3.08 3.08 3.08 3.08 3.08 3.08 3.08 3.08 3.08 3.08 3.08

Serie

Tipo

Strike

Vto

Dias al Vto

Prima

% Var

Prima Teórica

Dif.vs Prima

Estado

PBRC66.4JU PBRC66.4AG PBRC70.4JU PBRC70.4AG PBRC74.4JU PBRC74.4AG PBRV42.4JU PBRV46.4JU PBRV50.4JU PBRV50.4AG PBRV54.4JU PBRV54.4AG PBRV58.4JU BMAC40.0JU BMAC64.0JU COMC1.00JU COMC1.50JU COMC2.00JU COMC2.00AG COMC2.00OC COMC2.20JU COMC2.20AG COMC2.40AG COMC2.50JU COMC2.60AG COMC2.80JU COMC2.80AG COMC2.80OC COMC2.90JU COMC3.00JU COMC3.00AG COMC3.00OC COMC3.15JU COMC3.15AG COMC3.30JU COMC3.30AG COMC3.45JU COMC3.45AG COMC3.60JU COMC3.60AG COMC3.75JU COMC3.90JU COMC3.90AG COMC4.05JU COMC4.05AG COMC4.20JU COMC4.35JU

Call Call Call Call Call 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

66.400 66.400 70.400 70.400 74.400 74.400 42.400 46.400 50.400 50.400 54.400 54.400 58.400 40.000 64.000 1.000 1.500 2.000 2.000 2.000 2.200 2.200 2.400 2.500 2.600 2.800 2.800 2.800 2.900 3.000 3.000 3.000 3.150 3.150 3.300 3.300 3.450 3.450 3.600 3.600 3.750 3.900 3.900 4.050 4.050 4.200 4.350

JU AG JU AG JU AG JU JU JU AG JU AG JU JU JU JU JU JU AG OC JU AG AG JU AG JU AG OC JU JU AG OC JU AG JU AG JU AG JU AG JU JU AG JU AG JU JU

15.00 78.00 15.00 78.00 15.00 78.00 15.00 15.00 15.00 78.00 15.00 78.00 15.00 15.00 15.00 15.00 15.00 15.00 78.00 134.00 15.00 78.00 78.00 15.00 78.00 15.00 78.00 134.00 15.00 15.00 78.00 134.00 15.00 78.00 15.00 78.00 15.00 78.00 15.00 78.00 15.00 15.00 78.00 15.00 78.00 15.00 15.00

0.13 1.60 0.11 0.00 0.10 0.00 0.00 0.90 1.80 0.00 4.00 0.00 7.50 0.00 0.00 0.00 0.00 0.00 1.01 0.00 0.95 0.00 0.00 0.62 0.00 0.34 0.00 0.00 0.00 0.20 0.59 0.00 0.12 0.40 0.08 0.00 0.06 0.30 0.05 0.00 0.04 0.04 0.00 0.02 0.00 0.02 0.01

-43% -9% -45% 0% -43% -3% 14% 3% -28% -5% -16% -11% -37% -11% -45% 0% -46% -43% -25% -42% -42% -30% -45% -50% -60%

0.11 2.52 0.04 1.85 0.01 1.35 0.20 0.80 2.13 4.52 4.34 6.52 7.32 21.89 1.30 2.09 1.59 1.10 1.18 1.25 0.90 0.99 0.82 0.61 0.66 0.33 0.51 0.64 0.25 0.18 0.39 0.52 0.11 0.31 0.06 0.25 0.03 0.19 0.01 0.15 0.00 0.00 0.09 0.00 0.06 0.00 0.00

-0.143 0.575 -0.670 -0.890 -0.115 0.183 0.086 -0.024 0.166 -0.051 -0.023 -0.029 -0.055 -0.337 -0.121 -0.217 -0.340 -0.586 -0.356 -0.763 -0.877 -0.956 -0.976 -0.990 -0.994

OTM OTM OTM 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 OTM OTM OTM OTM OTM OTM OTM OTM OTM OTM OTM OTM OTM OTM OTM

Valor Intrínseco

Cobertura %

Tasa Lanzam. %

0.3% 3.1% 0.2%

29.8% 33.6% 37.5%

0.2%

45.3%

32.8%

-3.4%

30.8%

3.3%

20.1%

1.6%

11.0%

2.2%

6.3% 19.2%

4.0% 20.5%

3.9% 13.0% 2.7%

6.5% 17.5% 10.1%

2.0% 9.7% 1.5%

14.4% 24.1% 18.7%

1.1% 1.1%

23.2% 28.1%

0.7%

32.4%

0.5% 0.3%

37.0% 41.6%

3.10 3.10 7.10 21.50 2.08 1.58 1.08 1.08 1.08 0.88 0.88 0.68 0.58 0.48 0.28 0.28 0.28 0.18 0.08 0.08 0.08

Delta

Gamma

Vega

Theta

Rho

Efecto Palanca

Volat. Implícita

Volumen

0.041 0.296 0.015 0.234 0.005 0.182 -0.063 -0.192 -0.394 -0.356 -0.613 -0.453 -0.789 1.000 0.377 1.000 1.000 1.000 0.988 0.971 1.000 0.966 0.925 0.986 0.860 0.862 0.774 0.774 0.771 0.658 0.672 0.697 0.470 0.590 0.297 0.508 0.165 0.430 0.082 0.357 0.036 0.014 0.235 0.005 0.187 0.002 0.001

0.012 0.022 0.005 0.020 0.002 0.017 0.018 0.039 0.055 0.024 0.054 0.025 0.041 0.000 0.073 0.000 0.000 0.000 0.046 0.073 0.003 0.109 0.205 0.112 0.321 0.707 0.434 0.332 0.972 1.178 0.522 0.385 1.276 0.561 1.109 0.576 0.797 0.567 0.484 0.539 0.254 0.118 0.444 0.049 0.387 0.018 0.006

0.009 0.083 0.004 0.073 0.002 0.063 0.013 0.029 0.041 0.089 0.041 0.095 0.031 0.000 0.049 0.000 0.000 0.000 0.000 0.001 0.000 0.001 0.002 0.000 0.003 0.001 0.004 0.006 0.002 0.002 0.005 0.007 0.003 0.006 0.002 0.006 0.002 0.006 0.001 0.005 0.001 0.000 0.004 0.000 0.004 0.000 0.000

-0.144 -0.294 -0.062 -0.256 -0.024 -0.217 -0.177 -0.375 -0.497 -0.161 -0.437 -0.147 -0.240 -0.169 -0.526 -0.004 -0.006 -0.008 -0.009 -0.009 -0.009 -0.011 -0.013 -0.013 -0.015 -0.025 -0.017 -0.015 -0.030 -0.033 -0.018 -0.015 -0.033 -0.018 -0.027 -0.018 -0.019 -0.017 -0.011 -0.016 -0.006 -0.003 -0.012 -0.001 -0.010 0.000 0.000

0.001 0.027 0.000 0.022 0.000 0.017 -0.002 -0.005 -0.010 -0.049 -0.016 -0.064 -0.021 0.017 0.010 0.000 0.001 0.001 0.004 0.006 0.001 0.004 0.004 0.001 0.004 0.001 0.004 0.006 0.001 0.001 0.004 0.006 0.001 0.003 0.000 0.003 0.000 0.002 0.000 0.002 0.000 0.000 0.001 0.000 0.001 0.000 0.000

18.88 6.03 21.43 6.47 23.92 6.89 15.87 12.35 9.49 4.04 7.24 3.56 5.53 2.81 17.85 1.47 1.93 2.80 2.58 2.39 3.42 2.99 3.48 5.01 4.03 8.04 4.64 3.73 9.43 10.99 5.29 4.11 13.61 5.80 16.47 6.32 19.49 6.85 22.60 7.38 25.75 28.91 8.45 32.03 8.98 35.12 38.16

67% 54% 78% 87% 69% 58% 57% 71% 50% 50% 74% 55% 53% 86% 54% 64% 61% 68% 67% 74% 78% 89% 87% 89% 86%

1062 10955 921 2905 2120 11220 9900 3750 505 475 56755 20400 137193 10704 216639 9320 302020 43470 53259 69003 13407 8013 4268 4650 5740

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

2

Reporte de Opciones

Subyacente Precio

EDN

ERAR

FRAN GGAL

3.08 3.08 8.70 8.70 8.70 8.70 8.70 8.70 8.70 8.70 8.70 7.10 7.10 7.10 7.10 7.10 7.10 7.10 7.10 7.10 7.10 7.10 68.15 68.15 25.15 25.15 25.15 25.15 25.15 25.15 25.15 25.15 25.15 25.15 25.15 25.15 25.15 25.15 25.15 25.15 25.15 25.15 25.15 25.15 25.15 25.15 25.15

Serie

Tipo

Strike

Vto

Dias al Vto

Prima

% Var

Prima Teórica

Dif.vs Prima

Estado

COMC4.50JU COMC4.50AG EDNC7.55JU EDNC7.75JU EDNC8.15JU EDNC9.15JU EDNC10.0JU EDNC10.3JU EDNV8.15JU EDNV9.15JU EDNV9.15AG ERAC4.407J ERAC4.957J ERAC5.957J ERAC6.957J ERAC6.957G ERAC7.457J ERAC7.707G ERAC7.957J ERAC8.457J ERAV6.957J ERAV7.457J FRAC50.0JU FRAC70.0JU GFGC22923J GFGC23923J GFGC23923G GFGC24923J GFGC24923G GFGC25923J GFGC25923G GFGC26923J GFGC26923G GFGC27923J GFGC27923G GFGC28923J GFGC29923J GFGC29923G GFGC29923O GFGC30923J GFGC31923J GFGC32923J GFGC33923J GFGC36923J GFGV25.0OC GFGV27.0OC GFGV10923J

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

4.500 4.500 7.550 7.750 8.150 9.150 10.000 10.300 8.150 9.150 9.150 4.400 4.950 5.950 6.950 6.950 7.450 7.700 7.950 8.450 6.950 7.450 50.000 70.000 22.920 23.920 23.920 24.920 24.920 25.920 25.920 26.920 26.920 27.920 27.920 28.920 29.920 29.920 29.920 30.920 31.920 32.920 33.920 36.920 25.000 27.000 109.200

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

15.00 78.00 15.00 15.00 15.00 15.00 15.00 15.00 15.00 15.00 78.00 15.00 15.00 15.00 15.00 78.00 15.00 78.00 15.00 15.00 15.00 15.00 15.00 15.00 15.00 15.00 78.00 15.00 78.00 15.00 78.00 15.00 78.00 15.00 78.00 15.00 15.00 78.00 134.00 15.00 15.00 15.00 15.00 15.00 134.00 134.00 15.00

0.02 0.00 0.00 0.00 0.00 0.25 0.00 0.00 0.00 0.00 1.75 0.00 0.00 1.20 0.33 0.80 0.10 0.00 0.06 0.03 0.00 0.00 0.00 0.00 2.00 2.05 3.00 1.15 2.40 0.74 1.95 0.48 1.60 0.30 0.00 0.18 0.11 0.00 0.00 0.09 0.07 0.05 0.00 0.06 0.00 2.75 0.00

-12% 0% 75% -12% -21% 7% -52% -27% 3% -33% -14% 20% -28% -20% -31% -32% -29% -20% -40% -40% -42% -29% -1% -17% -21% 38% -

0.00 0.03 1.24 1.05 0.72 0.17 0.03 0.01 0.09 0.53 0.71 2.74 2.20 1.21 0.33 0.73 0.10 0.36 0.02 0.00 0.11 0.38 18.64 1.87 2.56 1.74 3.19 1.09 2.59 0.61 2.08 0.31 1.64 0.14 1.27 0.06 0.02 0.74 1.52 0.01 0.00 0.00 0.00 0.00 1.41 2.27 82.99

-0.999 -0.310 -0.595 0.007 0.006 -0.093 0.017 -0.638 -0.917 0.279 -0.149 0.064 -0.055 0.081 -0.173 0.064 -0.351 0.023 -0.534 -0.680 -0.806 -0.916 -0.968 -0.988 -1.000 -0.174 -

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

Valor Intrínseco

Cobertura %

Tasa Lanzam. %

0.5%

46.8%

2.9%

8.3%

16.9% 4.6% 11.3% 1.4%

0.8% 2.7% 10.3% 6.4%

0.8% 0.4%

12.8% 19.5%

8.0% 8.2% 11.9% 4.6% 9.5% 2.9% 7.8% 1.9% 6.4% 1.2%

-1.0% 3.5% 8.0% 3.8% 9.5% 6.2% 11.7% 9.1% 14.3% 12.4%

0.7% 0.4%

15.8% 19.5%

0.3% 0.3% 0.2%

23.4% 27.3% 31.2%

0.2%

47.1%

1.15 0.95 0.55

0.45 0.45 2.70 2.15 1.15 0.15 0.15

0.35 18.15 2.23 1.23 1.23 0.23 0.23

1.85 84.05

Delta

Gamma

Vega

Theta

Rho

Efecto Palanca

Volat. Implícita

Volumen

0.000 0.087 0.957 0.923 0.809 0.344 0.084 0.044 -0.191 -0.656 -0.464 1.000 1.000 0.995 0.677 0.694 0.314 0.452 0.086 0.014 -0.323 -0.686 1.000 0.441 0.898 0.776 0.733 0.606 0.656 0.420 0.575 0.256 0.495 0.137 0.417 0.065 0.027 0.280 0.399 0.010 0.003 0.001 0.000 0.000 -0.313 -0.433 -1.000

0.002 0.229 0.116 0.182 0.345 0.466 0.195 0.118 0.345 0.466 0.226 0.000 0.000 0.028 0.688 0.302 0.680 0.342 0.300 0.068 0.688 0.680 0.000 0.066 0.085 0.142 0.070 0.183 0.079 0.186 0.084 0.153 0.086 0.105 0.084 0.060 0.030 0.072 0.063 0.013 0.005 0.002 0.001 0.000 0.058 0.065 0.000

0.000 0.002 0.002 0.003 0.005 0.007 0.003 0.002 0.005 0.007 0.016 0.000 0.000 0.000 0.005 0.012 0.005 0.013 0.002 0.001 0.005 0.005 0.000 0.056 0.009 0.016 0.038 0.020 0.043 0.021 0.046 0.017 0.047 0.012 0.046 0.007 0.003 0.039 0.059 0.001 0.001 0.000 0.000 0.000 0.054 0.060 0.000

0.000 -0.006 -0.046 -0.055 -0.074 -0.076 -0.030 -0.018 -0.040 -0.037 -0.011 -0.019 -0.021 -0.027 -0.060 -0.036 -0.050 -0.033 -0.020 -0.004 -0.031 -0.018 -0.212 -0.637 -0.167 -0.213 -0.133 -0.237 -0.136 -0.222 -0.134 -0.174 -0.129 -0.115 -0.120 -0.065 -0.032 -0.096 -0.098 -0.014 -0.005 -0.002 -0.001 0.000 -0.016 -0.006 0.462

0.000 0.001 0.003 0.003 0.003 0.001 0.000 0.000 -0.001 -0.003 -0.010 0.002 0.002 0.003 0.002 0.009 0.001 0.006 0.000 0.000 -0.001 -0.002 0.022 0.012 0.009 0.008 0.033 0.006 0.030 0.004 0.027 0.003 0.023 0.001 0.020 0.001 0.000 0.014 0.032 0.000 0.000 0.000 0.000 0.000 -0.034 -0.049 -0.047

41.14 10.54 6.73 7.62 9.82 17.32 25.00 27.82 19.13 10.70 5.70 2.59 3.23 5.84 14.49 6.80 21.92 8.90 30.52 39.60 20.05 12.85 3.66 16.06 8.83 11.19 5.78 14.02 6.36 17.25 6.97 20.78 7.60 24.50 8.24 28.34 32.25 9.55 6.62 36.18 40.09 43.98 47.81 58.95 5.59 4.79 0.30

50% 55% 50% 50% 35% 41% 35% 47% 55% 50% 58% 35% 43% 35% 46% 37% 49% 39% 52% 53% 55% 60% 64% 67% 91% 48% -

1783 250 4025 6240 23450 560 15276 434 198 800 81113 15000 690555 116730 1056587 195 648985 80080 224483 64764 49861 19698 3052 8858 5098 9500 -

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

3

Reporte de Opciones

Subyacente Precio

PAMP

TS

25.15 25.15 25.15 25.15 25.15 25.15 25.15 25.15 25.15 25.15 6.90 6.90 6.90 6.90 6.90 6.90 6.90 6.90 6.90 6.90 6.90 6.90 6.90 6.90 6.90 6.90 6.90 6.90 6.90 6.90 6.90 6.90 6.90 173.90 173.90 173.90 173.90 173.90 173.90 173.90 173.90 173.90 173.90 173.90 173.90 173.90 173.90

Serie

Tipo

Strike

Vto

Dias al Vto

Prima

% Var

Prima Teórica

Dif.vs Prima

Estado

GFGV22923J GFGV23923J GFGV24923J GFGV24923G GFGV25923J GFGV25923G GFGV26923J GFGV26923G GFGV27923J GFGV28923J PAMC4.54JU PAMC4.94AG PAMC6.34JU PAMC6.34AG PAMC6.54JU PAMC6.74JU PAMC6.74AG PAMC6.94AG PAMC7.14JU PAMC7.14AG PAMC7.54AG PAMC7.74JU PAMC7.74AG PAMC8.14JU PAMC8.14AG PAMC8.74JU PAMC9.10JU PAMC9.50JU PAMV7.14JU PAMV7.14AG PAMV8.14JU PAMV8.14AG PAMV8.74JU TS.C145.JL TS.C185.JL TS.C195.AG TS.C221.AG TS.C16532J TS.C17532J TS.C17532G TS.C18532J TS.C18532G TS.C19532J TS.C20532J TS.C20532G TS.C22132J TS.C23732J

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

22.920 23.920 24.920 24.920 25.920 25.920 26.920 26.920 27.920 28.920 4.540 4.940 6.340 6.340 6.540 6.740 6.740 6.940 7.140 7.140 7.540 7.740 7.740 8.140 8.140 8.740 9.100 9.500 7.140 7.140 8.140 8.140 8.740 145.000 185.000 195.000 221.000 165.300 175.300 175.300 185.300 185.300 195.300 205.300 205.300 221.300 237.300

J J J G J G J G J J JU AG JU AG JU JU AG AG JU AG AG JU AG JU AG JU JU JU JU AG JU AG JU JL JL AG AG J J G J G J J G J J

15.00 15.00 15.00 78.00 15.00 78.00 15.00 78.00 15.00 15.00 15.00 78.00 15.00 78.00 15.00 15.00 78.00 78.00 15.00 78.00 78.00 15.00 78.00 15.00 78.00 15.00 15.00 15.00 15.00 78.00 15.00 78.00 15.00 43.00 43.00 78.00 78.00 15.00 15.00 78.00 15.00 78.00 15.00 15.00 78.00 15.00 15.00

0.00 0.00 0.77 0.60 1.40 0.00 2.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.45 0.00 0.00 0.25 0.00 0.75 0.14 0.00 0.08 0.37 0.00 0.03 0.00 0.00 0.97 1.40 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 20.00 3.25 0.00 1.75 0.90 4.00 0.00 0.00

54% 0% 51% -6% -27% -43% 6% -7% -10% -18% 67% 8% 0% 11% -6% 0% -10% -9% -

0.11 0.28 0.61 1.19 1.13 1.62 1.82 2.14 2.64 3.55 2.40 2.21 0.67 1.08 0.52 0.39 0.83 0.72 0.19 0.63 0.46 0.05 0.39 0.02 0.28 0.00 0.00 0.00 0.36 0.53 1.18 1.14 1.76 33.33 6.84 7.98 2.65 12.07 5.85 16.13 2.27 11.46 0.70 0.17 5.27 0.01 0.00

-0.202 0.983 -0.193 -0.091 -0.143 -0.247 -0.385 -0.665 -0.811 -0.243 -0.981 -0.454 -0.160 -0.193 -0.302 -0.602 -0.810 0.318 -

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

Valor Intrínseco

0.77 0.77 1.77 1.77 2.77 3.77 2.36 1.96 0.56 0.56 0.36 0.16 0.16

Cobertura %

Tasa Lanzam. %

6.5%

4.5%

3.6%

7.4%

10.9% 2.0%

22.6% 14.5%

1.2% 5.4%

19.4% 24.7%

0.4%

32.5%

11.5% 1.9%

13.9% 8.6%

1.0% 0.5% 2.3%

13.4% 18.7% 20.8%

0.24 0.24 1.24 1.24 1.84 28.90

8.60

Delta

Gamma

Vega

Theta

Rho

Efecto Palanca

Volat. Implícita

Volumen

-0.102 -0.224 -0.394 -0.344 -0.580 -0.425 -0.744 -0.505 -0.863 -0.935 1.000 0.972 0.851 0.769 0.762 0.654 0.672 0.620 0.417 0.568 0.466 0.145 0.417 0.056 0.327 0.010 0.003 0.001 -0.583 -0.432 -0.944 -0.673 -0.990 0.945 0.425 0.393 0.169 0.781 0.525 0.622 0.270 0.503 0.105 0.032 0.290 0.003 0.000

0.085 0.142 0.183 0.079 0.186 0.084 0.153 0.086 0.105 0.060 0.000 0.044 0.354 0.209 0.471 0.562 0.248 0.261 0.595 0.270 0.273 0.347 0.268 0.172 0.248 0.040 0.013 0.003 0.595 0.270 0.172 0.248 0.040 0.005 0.017 0.012 0.008 0.021 0.028 0.012 0.023 0.013 0.013 0.005 0.011 0.001 0.000

0.009 0.016 0.020 0.043 0.021 0.046 0.017 0.047 0.012 0.007 0.000 0.002 0.003 0.010 0.004 0.005 0.012 0.012 0.006 0.013 0.013 0.003 0.013 0.002 0.012 0.000 0.000 0.000 0.006 0.013 0.002 0.012 0.000 0.067 0.237 0.311 0.204 0.107 0.145 0.307 0.120 0.323 0.066 0.026 0.277 0.003 0.000

-0.070 -0.112 -0.132 -0.034 -0.112 -0.028 -0.060 -0.019 0.003 0.058 -0.019 -0.023 -0.056 -0.038 -0.065 -0.071 -0.040 -0.040 -0.068 -0.039 -0.037 -0.037 -0.036 -0.018 -0.032 -0.004 -0.001 0.000 -0.037 -0.010 0.017 0.001 0.033 -0.770 -1.026 -0.799 -0.470 -1.452 -1.611 -0.929 -1.225 -0.887 -0.645 -0.244 -0.675 -0.029 -0.002

-0.001 -0.003 -0.005 -0.021 -0.007 -0.027 -0.009 -0.032 -0.011 -0.012 0.002 0.010 0.002 0.009 0.002 0.002 0.008 0.008 0.001 0.007 0.006 0.000 0.005 0.000 0.004 0.000 0.000 0.000 -0.002 -0.008 -0.003 -0.013 -0.004 0.158 0.081 0.131 0.058 0.054 0.037 0.199 0.020 0.165 0.008 0.002 0.098 0.000 0.000

24.34 19.94 16.13 7.26 12.92 6.57 10.29 5.95 8.22 6.63 2.87 3.04 8.71 4.92 10.12 11.71 5.58 5.92 15.29 6.27 6.97 21.34 7.33 25.59 8.06 32.04 35.88 40.08 11.21 5.62 5.54 4.09 3.89 4.93 10.82 8.56 11.12 11.26 15.60 6.71 20.72 7.63 26.30 32.10 9.57 41.48 50.67

48% 26% 53% 50% 57% 56% 68% 68% 70% 53% 79% 80% 50% 52% 47% 52% 55% 35% -

6486 600 57930 26320 40274 36924 7130 5749 2160 25076 450 2910 700 6000 18075 3325 1998 19600 -

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

4

Reporte de Opciones

Subyacente Precio

YPFD

173.90 173.90 173.90 173.90 173.90 173.90 173.90 328.00 328.00 328.00 328.00 328.00 328.00 328.00 328.00 328.00 328.00 328.00 328.00 328.00 328.00 328.00 328.00 328.00 328.00 328.00

Serie

Tipo

Strike

Vto

Dias al Vto

Prima

% Var

Prima Teórica

Dif.vs Prima

Estado

TS.C23732G TS.C24532G TS.C26932J TS.V17532J TS.V17532G TS.V18532J TS.V18532G YPFC300.JU YPFC300.OC YPFC320.OC YPFC320.AG YPFC340.AG YPFC340.JU YPFC360.JU YPFC360.AG YPFC380.JU YPFC380.AG YPFC400.OC YPFC400.JU YPFC400.AG YPFC420.JU YPFV320.AG YPFV320.JU YPFV340.JU YPFV340.AG YPFV390.JU

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

237.300 245.300 269.300 175.300 175.300 185.300 185.300 300.000 300.000 320.000 320.000 340.000 340.000 360.000 360.000 380.000 380.000 400.000 400.000 400.000 420.000 320.000 320.000 340.000 340.000 390.000

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

78.00 78.00 15.00 15.00 78.00 15.00 78.00 15.00 134.00 134.00 78.00 78.00 15.00 15.00 78.00 15.00 78.00 134.00 15.00 78.00 15.00 78.00 15.00 15.00 78.00 15.00

0.00 1.40 0.00 0.00 0.00 0.00 0.00 34.00 0.00 0.00 0.00 0.00 7.00 2.50 0.00 1.50 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00

-7% -15% -30% -50% 0% -

1.22 0.82 0.00 5.55 9.27 11.86 14.13 31.61 58.07 44.70 32.80 21.74 5.34 1.25 13.60 0.19 8.05 11.83 0.02 4.52 0.00 9.72 4.30 14.03 17.72 58.27

-0.417 -0.070 -0.237 -0.502 -0.871 -

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

Valor Intrínseco

1.40 1.40 11.40 11.40 28.00 28.00 8.00 8.00

12.00 12.00 62.00

Cobertura %

Tasa Lanzam. %

0.8%

42.2%

10.4%

2.0%

2.1% 0.8%

5.9% 10.6%

0.5%

16.4%

Delta

Gamma

Vega

Theta

Rho

Efecto Palanca

Volat. Implícita

Volumen

0.089 0.063 0.000 -0.475 -0.378 -0.730 -0.497 0.932 0.833 0.739 0.711 0.562 0.363 0.117 0.413 0.024 0.282 0.313 0.003 0.180 0.000 -0.289 -0.295 -0.637 -0.438 -0.991

0.005 0.004 0.000 0.028 0.012 0.023 0.013 0.006 0.004 0.005 0.007 0.008 0.017 0.009 0.008 0.003 0.007 0.005 0.000 0.005 0.000 0.007 0.015 0.017 0.008 0.001

0.130 0.100 0.000 0.145 0.307 0.120 0.323 0.091 0.499 0.648 0.521 0.601 0.258 0.135 0.594 0.038 0.515 0.707 0.006 0.400 0.001 0.521 0.237 0.258 0.601 0.017

-0.288 -0.218 0.000 -0.868 -0.214 -0.441 -0.132 -1.816 -1.341 -1.392 -1.609 -1.563 -2.320 -1.120 -1.377 -0.305 -1.103 -0.985 -0.050 -0.809 -0.005 -0.305 -1.253 -0.881 -0.177 1.520

0.031 0.022 0.000 -0.039 -0.162 -0.061 -0.218 0.120 0.796 0.731 0.434 0.352 0.050 0.016 0.264 0.003 0.183 0.336 0.000 0.118 0.000 -0.226 -0.044 -0.098 -0.349 -0.168

12.72 13.49 68.03 14.90 7.08 10.70 6.11 9.67 4.71 5.42 7.12 8.49 22.31 30.87 9.95 40.04 11.49 8.68 49.41 13.05 58.72 9.73 22.46 14.88 8.10 5.58

44% 50% 39% 41% 49% -

560 10900 31735 6770 150 -

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

5

Glosario Subyacente: acción o bono al cual está vinculada la opción respectiva. Precio: Es el precio de cierre de la acción/bono subyacente. Tipo: Call (opción de compra) / Put (opción de venta). Stike: Precio de ejercicio de la opción. Días al Vto: Días corridos desde la fecha de análisis hasta el vemcimiento 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 (OTM). 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

Analista

Flavia Matsuda Analista Cuantitativo (54 11) 4000 1400 [email protected]

Posisición

Activo

José Luis Pavesa 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)

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