Reporte de Opciones

Flavia Matsuda Analista Cuantitativo @FlaviMatsuda [email protected]

viernes, 26 de febrero de 2016 Subyacente Precio ALUA

APBR

BHIP

BMA BRIO CECO2

10.70 10.70 10.70 10.70 10.70 10.70 10.70 10.70 10.70 27.25 27.25 27.25 27.25 27.25 27.25 27.25 27.25 27.25 27.25 27.25 27.25 27.25 27.25 27.25 27.25 27.25 27.25 27.25 27.25 27.25 27.25 27.25 7.29 7.29 7.29 107.80 107.80 55.00 55.00 5.05 5.05

Serie

Tipo

Strike

Vto

Dias al Vto

Prima

% Var

Prima Teórica

Dif.vs Prima

Estado

ALUC5.786A ALUC5.80JU ALUC7.60AB ALUC9.40AB ALUC9.40JU ALUC10.3AB ALUC10.75A ALUC10.75J ALUC12.5AB PBRC18.4AB PBRC18.4JU PBRC22.4AB PBRC22.4JU PBRC26.4AB PBRC26.4JU PBRC30.4AB PBRC30.4JU PBRC34.4AB PBRC34.4JU PBRC38.4AB PBRC38.4JU PBRC42.4AB PBRC42.4JU PBRC46.4JU PBRC58.4AB PBRC74.4AB PBRV18.4AB PBRV22.4AB PBRV22.4JU PBRV26.4AB PBRV30.4AB PBRV34.4AB BHIC6.05AB BHIC6.65AB BHIC6.65JU BMAC84.0AB BMAC108.AB BRIC54.0AB BRIC56.0AB CECC4.00AB CECC4.00JU

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 Call Call Call Call Call Call Call Call Call

5.780 5.800 7.600 9.400 9.400 10.300 10.700 10.700 12.500 18.400 18.400 22.400 22.400 26.400 26.400 30.400 30.400 34.400 34.400 38.400 38.400 42.400 42.400 46.400 58.400 74.400 18.400 22.400 22.400 26.400 30.400 34.400 6.050 6.650 6.650 84.000 108.000 54.000 56.000 4.000 4.000

A JU AB AB JU AB A J AB AB JU AB JU AB JU AB JU AB JU AB JU AB JU JU AB AB AB AB JU AB AB AB AB AB JU AB AB AB AB AB JU

48.00 111.00 48.00 48.00 111.00 48.00 48.00 111.00 48.00 48.00 111.00 48.00 111.00 48.00 111.00 48.00 111.00 48.00 111.00 48.00 111.00 48.00 111.00 111.00 48.00 48.00 48.00 48.00 111.00 48.00 48.00 48.00 48.00 48.00 111.00 48.00 48.00 48.00 48.00 48.00 111.00

5.15 5.65 3.35 1.75 0.00 0.95 0.64 1.70 0.00 9.90 0.00 6.70 8.60 3.50 5.50 1.70 3.70 0.81 2.90 0.49 0.00 0.28 1.10 0.00 0.15 0.05 0.30 0.70 0.00 1.80 3.05 0.00 0.00 1.01 0.00 0.00 0.00 5.00 0.00 0.00 0.00

10% 10% 14% 46% 27% 28% 0% -7% -1% 21% -14% -10% -23% 23% -19% 0% -2% 12% -21% -6% 43% 0% 11% 12% -24% 0% 0% -

5.13 5.39 3.40 1.85 2.45 1.24 1.02 1.68 0.36 9.70 10.96 6.46 8.22 3.96 6.03 2.26 4.35 1.22 3.10 0.63 2.20 0.32 1.55 1.09 0.02 0.00 0.17 0.78 1.52 2.13 4.29 7.10 1.52 1.04 1.45 27.20 9.22 4.88 3.78 1.22 1.45

-0.003 -0.047 0.014 0.057 0.308 0.593 -0.011 -0.020 -0.036 -0.044 0.131 0.096 0.330 0.174 0.508 0.069 0.293 0.139 0.410 -0.881 -0.981 -0.432 0.112 0.184 0.405 0.038 -0.024 -

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

Valor Intrínseco

Cobertura %

Tasa Lanzam. %

4.92 4.90 3.10 1.30 1.30 0.40

48.13% 52.80% 31.31% 16.36%

4.1% 14.9% 3.4% 5.0%

8.88% 5.98% 15.89%

5.6% 6.4% 18.9%

8.85 8.85 4.85 4.85 0.85 0.85

36.33%

6.1%

24.59% 31.56% 12.84% 20.18% 6.24% 13.58% 2.97% 10.64% 1.80%

9.0% 20.1% 11.2% 21.4% 19.0% 29.1% 30.1% 41.3% 43.5%

1.03% 4.04%

57.2% 62.1%

0.55% 0.18%

115.5% 173.5%

13.79%

5.8%

9.09%

8.0%

3.15 7.15 1.24 0.64 0.64 23.80 1.00 1.05 1.05

Delta

Gamma

Vega

Theta

Rho

Efecto Palanca

Volat. Implícita

Volumen

1.000 0.995 0.981 0.833 0.812 0.688 0.615 0.671 0.303 0.952 0.909 0.834 0.809 0.651 0.688 0.455 0.563 0.291 0.448 0.173 0.349 0.098 0.267 0.203 0.008 0.001 -0.048 -0.166 -0.191 -0.349 -0.545 -0.709 0.915 0.797 0.791 0.962 0.616 0.675 0.582 0.942 0.902

0.000 0.005 0.023 0.122 0.086 0.172 0.185 0.116 0.169 0.013 0.014 0.032 0.023 0.048 0.030 0.052 0.034 0.045 0.034 0.033 0.032 0.023 0.028 0.024 0.003 0.000 0.013 0.032 0.023 0.048 0.052 0.045 0.122 0.222 0.150 0.004 0.021 0.044 0.048 0.125 0.124

0.000 0.001 0.002 0.010 0.016 0.014 0.015 0.021 0.014 0.010 0.025 0.025 0.041 0.037 0.053 0.040 0.059 0.034 0.060 0.026 0.056 0.017 0.050 0.043 0.002 0.000 0.010 0.025 0.041 0.037 0.040 0.034 0.004 0.008 0.012 0.032 0.151 0.073 0.079 0.002 0.005

-0.030 -0.030 -0.045 -0.075 -0.060 -0.085 -0.086 -0.065 -0.067 -0.142 -0.134 -0.225 -0.173 -0.278 -0.197 -0.272 -0.202 -0.224 -0.193 -0.163 -0.174 -0.108 -0.150 -0.126 -0.013 -0.001 -0.047 -0.108 -0.063 -0.141 -0.115 -0.046 -0.042 -0.051 -0.041 -0.520 -0.807 -0.383 -0.379 -0.027 -0.024

0.007 0.016 0.010 0.009 0.019 0.008 0.007 0.017 0.004 0.022 0.042 0.022 0.042 0.018 0.039 0.014 0.034 0.009 0.028 0.005 0.022 0.003 0.018 0.014 0.000 0.000 -0.002 -0.007 -0.021 -0.016 -0.026 -0.035 0.007 0.006 0.013 0.103 0.077 0.043 0.038 0.005 0.010

2.08 1.98 3.09 4.82 3.55 5.92 6.45 4.27 8.98 2.67 2.26 3.52 2.68 4.48 3.11 5.49 3.53 6.49 3.94 7.46 4.33 8.40 4.70 5.05 11.68 14.36 7.65 5.82 3.42 4.47 3.47 2.72 4.40 5.57 3.98 3.81 7.21 7.60 8.47 3.89 3.14

85% 50% 50% 41% 30% 27% 53% 93% 86% 86% 65% 67% 63% 66% 64% 74% 71% 75% 68% 50% 50% 88% 74% 68% 45% 42% 42% -

27870 972270 20470 60350 73445 21913 3400 19900 398612 860 1200696 6351 1833851 4672 409983 2320 62683 55251 1100 10500 3172 1260 15273 65818 70795 16003 10000 -

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

Reporte de Opciones

Subyacente Precio

CELU CGPA2 COME

EDN

ERAR

5.05 5.05 5.05 9.75 7.90 7.90 3.41 3.41 3.41 3.41 3.41 3.41 3.41 3.41 3.41 3.41 3.41 3.41 3.41 3.41 3.41 3.41 3.41 3.41 3.41 3.41 13.00 13.00 13.00 13.00 13.00 13.00 13.00 13.00 8.40 8.40 8.40 8.40 8.40 8.40 8.40 8.40 8.40 8.40 8.40 8.40 8.40

Serie

Tipo

Strike

Vto

Dias al Vto

Prima

% Var

Prima Teórica

Dif.vs Prima

Estado

CECC4.60AB CECC5.00AB CECC5.00JU CELC7.00AB CGPC7.00AB CGPC7.00JU COMC2.00AB COMC2.00JU COMC2.20JU COMC2.60AB COMC2.60JU COMC3.00AB COMC3.00JU COMC3.15AB COMC3.30AB COMC3.30JU COMC3.45AB COMC3.45JU COMC3.60AB COMC3.60JU COMC3.75AB COMC3.75JU COMC3.90AB COMC4.05AB COMC4.20AB COMC4.90AB EDNC9.15AB EDNC11.2AB EDNC11.2JU EDNC12.7AB EDNC12.7JU EDNV9.15AB EDNV11.2AB EDNV11.2JU ERAC5.12AB ERAC5.12JU ERAC6.12AB ERAC7.12AB ERAC7.37AB ERAC7.87AB ERAC7.87JU ERAC8.12AB ERAC8.37AB ERAC8.70AB ERAC9.10AB ERAC9.50AB ERAC9.90AB

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

4.600 5.000 5.000 7.000 7.000 7.000 2.000 2.000 2.200 2.600 2.600 3.000 3.000 3.150 3.300 3.300 3.450 3.450 3.600 3.600 3.750 3.750 3.900 4.050 4.200 4.900 9.150 11.200 11.200 12.700 12.700 9.150 11.200 11.200 5.120 5.120 6.120 7.120 7.370 7.870 7.870 8.120 8.370 8.700 9.100 9.500 9.900

AB AB JU AB AB JU AB JU JU AB JU AB JU AB AB JU AB JU AB JU AB JU AB AB AB AB AB AB JU AB JU AB AB JU AB JU AB AB AB AB JU AB AB AB AB AB AB

48.00 48.00 111.00 48.00 48.00 111.00 48.00 111.00 111.00 48.00 111.00 48.00 111.00 48.00 48.00 111.00 48.00 111.00 48.00 111.00 48.00 111.00 48.00 48.00 48.00 48.00 48.00 48.00 111.00 48.00 111.00 48.00 48.00 111.00 48.00 111.00 48.00 48.00 48.00 48.00 111.00 48.00 48.00 48.00 48.00 48.00 48.00

0.78 0.40 0.00 0.00 0.00 0.00 1.54 1.67 1.50 0.00 1.11 0.63 0.70 0.51 0.38 0.00 0.26 0.00 0.19 0.00 0.14 0.00 0.10 0.07 0.05 0.03 0.00 0.00 0.00 1.28 0.00 0.00 0.00 0.00 3.40 3.90 2.60 1.70 0.00 1.15 1.00 0.92 0.00 0.54 0.25 0.17 0.00

4% -17% -3% -5% 3% -3% -9% -31% -7% -4% -2% -4% -5% -5% -15% -14% 0% -8% 6% 5% 13% 16% 21% 0% 8% 8% 4% 10% -

0.74 0.49 0.79 3.01 1.16 1.48 1.48 1.58 1.39 0.91 1.04 0.55 0.72 0.43 0.33 0.52 0.24 0.43 0.17 0.35 0.12 0.29 0.08 0.05 0.03 0.00 4.19 2.34 2.99 1.27 2.02 0.01 0.13 0.27 3.47 3.71 2.52 1.63 1.43 1.07 1.55 0.91 0.77 0.60 0.44 0.31 0.22

-0.052 0.221 -0.036 -0.056 -0.071 -0.064 -0.126 0.026 -0.150 -0.130 -0.058 -0.074 -0.110 -0.196 -0.275 -0.341 -0.908 -0.006 0.021 -0.048 -0.032 -0.043 -0.073 0.549 -0.013 0.115 0.761 0.906 -

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

Valor Intrínseco

Cobertura %

Tasa Lanzam. %

0.45 0.05 0.05 2.75 0.90 0.90 1.41 1.41 1.21 0.81 0.81 0.41 0.41 0.26 0.11 0.11

15.45% 7.92%

7.7% 7.5%

45.16% 48.97% 43.99%

7.0% 14.9% 15.2%

32.55% 18.48% 20.53% 14.96% 11.14%

13.0% 7.9% 10.7% 8.6% 8.9%

7.60%

9.5%

5.51%

11.7%

3.96%

14.5%

2.93% 2.11% 1.47% 0.88%

17.8% 21.3% 25.0% 45.0%

9.85%

8.4%

40.48% 46.43% 30.95% 20.24%

2.4% 13.8% 5.5% 6.3%

13.69% 11.90% 10.95%

8.6% 6.4% 8.6%

6.43% 2.98% 1.96%

10.7% 11.7% 15.4%

3.85 1.80 1.80 0.30 0.30

3.28 3.28 2.28 1.28 1.03 0.53 0.53 0.28 0.03

Delta

Gamma

Vega

Theta

Rho

Efecto Palanca

Volat. Implícita

Volumen

0.791 0.638 0.687 0.993 1.000 1.000 1.000 0.998 0.993 0.985 0.957 0.886 0.859 0.808 0.710 0.741 0.599 0.673 0.484 0.601 0.376 0.528 0.279 0.200 0.138 0.016 0.993 0.887 0.857 0.674 0.713 -0.007 -0.113 -0.143 0.999 0.989 0.982 0.892 0.851 0.749 0.758 0.689 0.626 0.541 0.440 0.347 0.265

0.312 0.407 0.254 0.013 0.000 0.000 0.000 0.008 0.025 0.074 0.120 0.386 0.295 0.546 0.684 0.428 0.772 0.477 0.797 0.510 0.758 0.526 0.672 0.559 0.440 0.081 0.010 0.089 0.070 0.167 0.105 0.010 0.089 0.070 0.002 0.012 0.030 0.125 0.156 0.215 0.139 0.238 0.255 0.267 0.266 0.248 0.221

0.005 0.007 0.010 0.001 0.000 0.000 0.000 0.000 0.000 0.000 0.002 0.002 0.004 0.003 0.004 0.006 0.005 0.007 0.005 0.007 0.005 0.008 0.004 0.003 0.003 0.001 0.001 0.009 0.016 0.017 0.025 0.001 0.009 0.016 0.000 0.001 0.001 0.006 0.007 0.010 0.015 0.011 0.012 0.012 0.012 0.011 0.010

-0.036 -0.039 -0.030 -0.038 -0.036 -0.035 -0.010 -0.010 -0.011 -0.015 -0.014 -0.020 -0.017 -0.022 -0.024 -0.018 -0.024 -0.019 -0.022 -0.018 -0.020 -0.018 -0.017 -0.013 -0.010 -0.002 -0.050 -0.079 -0.067 -0.096 -0.074 -0.003 -0.021 -0.012 -0.027 -0.027 -0.036 -0.051 -0.055 -0.062 -0.048 -0.064 -0.064 -0.063 -0.059 -0.053 -0.046

0.004 0.004 0.008 0.009 0.009 0.020 0.003 0.006 0.006 0.003 0.007 0.003 0.007 0.003 0.003 0.006 0.002 0.006 0.002 0.005 0.002 0.005 0.001 0.001 0.001 0.000 0.012 0.012 0.025 0.010 0.022 0.000 -0.002 -0.007 0.007 0.014 0.008 0.008 0.008 0.007 0.015 0.007 0.006 0.005 0.004 0.003 0.003

5.40 6.60 4.38 3.21 6.82 5.34 2.30 2.16 2.43 3.70 3.14 5.48 4.08 6.36 7.33 4.90 8.38 5.35 9.49 5.80 10.65 6.26 11.85 13.06 14.29 19.96 3.08 4.93 3.72 6.89 4.60 17.45 11.58 6.95 2.42 2.24 3.28 4.60 5.01 5.90 4.11 6.38 6.87 7.55 8.40 9.26 10.14

57% 37% 50% 50% 94% 65% 66% 36% 60% 51% 43% 43% 43% 45% 45% 46% 61% 46% 50% 92% 76% 60% 57% 50% 49% 43% 32% 35% -

5928 18316 186786 11088 18000 223250 63699 700 67528 135599 336950 575082 110990 47739 41166 15478 9842 2006 106800 32415 868700 3400 21065 100 46504 247099 106077 25077 -

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

2

Reporte de Opciones

Subyacente Precio

FRAN GGAL

INDU

8.40 8.40 8.40 119.00 119.00 46.20 46.20 46.20 46.20 46.20 46.20 46.20 46.20 46.20 46.20 46.20 46.20 46.20 46.20 46.20 46.20 46.20 46.20 46.20 46.20 46.20 46.20 46.20 46.20 46.20 46.20 46.20 46.20 46.20 46.20 46.20 46.20 46.20 46.20 46.20 46.20 46.20 46.20 46.20 3.50 3.50 3.50

Serie

Tipo

Strike

Vto

Dias al Vto

Prima

% Var

Prima Teórica

Dif.vs Prima

Estado

ERAV6.87AB ERAV7.62AB ERAV8.12AB FRAC64.0AB FRAC74.0AB GFGC35.0AB GFGC36.0AB GFGC37.0AB GFGC38.0AB GFGC39.0AB GFGC40.0AB GFGC41.0AB GFGC42.0MA GFGC42.0AB GFGC43.0AB GFGC43.0JU GFGC44.0AB GFGC45.0AB GFGC45.0JU GFGC46.0AB GFGC47.0AB GFGC48.0AB GFGC49.0AB GFGC49.0JU GFGC50.0AB GFGC50.0JU GFGC51.0AB GFGC52.0AB GFGC53.0AB GFGC54.0AB GFGC54.0JU GFGC55.0AB GFGC55.0JU GFGV11.0AB GFGV35.0AB GFGV38.0AB GFGV38.0JU GFGV39.0AB GFGV40.0AB GFGV40.0JU GFGV42.0AB GFGV44.0AB GFGV46.0AB GFGV48.0AB INDC3.20AB INDC3.20JU INDC3.60AB

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

6.870 7.620 8.120 64.000 74.000 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 47.000 48.000 49.000 49.000 50.000 50.000 51.000 52.000 53.000 54.000 54.000 55.000 55.000 11.000 35.000 38.000 38.000 39.000 40.000 40.000 42.000 44.000 46.000 48.000 3.200 3.200 3.600

AB AB AB AB AB AB AB AB AB AB AB AB MA AB AB JU AB AB JU AB AB AB AB JU AB JU AB AB AB AB JU AB JU AB AB AB JU AB AB JU AB AB AB AB AB JU AB

48.00 48.00 48.00 48.00 48.00 48.00 48.00 48.00 48.00 48.00 48.00 48.00 20.00 48.00 48.00 111.00 48.00 48.00 111.00 48.00 48.00 48.00 48.00 111.00 48.00 111.00 48.00 48.00 48.00 48.00 111.00 48.00 111.00 48.00 48.00 48.00 111.00 48.00 48.00 111.00 48.00 48.00 48.00 48.00 48.00 111.00 48.00

0.00 0.20 0.30 0.00 0.00 13.00 11.50 10.80 10.00 9.00 8.30 7.50 0.00 6.40 5.60 0.00 4.90 4.00 0.00 3.25 3.00 2.71 2.55 0.00 2.00 4.90 1.80 1.70 1.35 1.20 2.45 0.95 2.15 0.00 0.00 0.20 0.00 0.00 0.50 0.00 0.80 1.49 2.50 4.00 0.00 0.00 0.00

0% 0% 4% 26% -3% 0% -3% -2% -2% -5% -6% -9% -15% -20% -19% -18% -12% -20% 9% 0% -11% -11% -14% 0% 0% 0% -17% -4% -16% -1% 5% 0% -

0.05 0.18 0.33 57.37 47.75 12.52 11.58 10.65 9.73 8.84 7.97 7.13 5.10 6.34 5.58 7.99 4.88 4.23 6.71 3.63 3.10 2.61 2.19 4.57 1.82 4.12 1.50 1.22 0.99 0.80 2.65 0.63 2.36 0.00 0.03 0.13 0.39 0.19 0.29 0.65 0.58 1.05 1.73 2.64 0.51 0.71 0.27

-0.114 0.091 -0.037 0.007 -0.014 -0.027 -0.018 -0.040 -0.049 -0.010 -0.003 -0.004 0.057 0.118 0.032 -0.035 -0.141 -0.091 -0.160 -0.169 -0.281 -0.267 -0.337 0.082 -0.332 0.097 -0.375 -0.424 -0.274 -0.295 -0.308 -0.341 -

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

Valor Intrínseco

55.00 45.00 11.20 10.20 9.20 8.20 7.20 6.20 5.20 4.20 4.20 3.20 3.20 2.20 1.20 1.20 0.20

1.80 0.30 0.30

Cobertura %

Tasa Lanzam. %

28.14% 24.89% 23.38% 21.65% 19.48% 17.97% 16.23%

5.4% 3.7% 4.5% 5.0% 4.8% 5.5% 5.9%

13.85% 12.12%

5.5% 5.9%

10.61% 8.66%

6.5% 6.6%

7.03% 6.49% 5.87% 5.52%

7.1% 8.8% 10.4% 12.3%

4.33% 10.61% 3.90% 3.68% 2.92% 2.60% 5.30% 2.06% 4.65%

13.1% 21.1% 14.9% 16.9% 18.2% 20.0% 23.4% 21.5% 24.9%

Delta

Gamma

Vega

Theta

Rho

Efecto Palanca

Volat. Implícita

Volumen

-0.075 -0.197 -0.311 1.000 0.998 0.989 0.982 0.971 0.956 0.936 0.911 0.880 0.893 0.842 0.799 0.800 0.751 0.699 0.736 0.643 0.585 0.527 0.469 0.593 0.413 0.556 0.360 0.311 0.265 0.224 0.414 0.187 0.382 0.000 -0.011 -0.044 -0.079 -0.064 -0.089 -0.120 -0.158 -0.249 -0.357 -0.473 0.782 0.778 0.557

0.095 0.187 0.238 0.000 0.000 0.004 0.007 0.010 0.014 0.019 0.024 0.030 0.043 0.037 0.043 0.028 0.048 0.053 0.033 0.057 0.059 0.060 0.060 0.039 0.059 0.040 0.057 0.054 0.050 0.045 0.039 0.041 0.038 0.000 0.004 0.014 0.015 0.019 0.024 0.020 0.037 0.048 0.057 0.060 0.454 0.303 0.608

0.004 0.009 0.011 0.000 0.002 0.005 0.008 0.011 0.016 0.021 0.027 0.034 0.020 0.041 0.047 0.072 0.054 0.059 0.084 0.063 0.066 0.067 0.067 0.099 0.066 0.101 0.063 0.060 0.055 0.051 0.100 0.046 0.098 0.000 0.005 0.016 0.038 0.021 0.027 0.051 0.041 0.054 0.063 0.067 0.004 0.006 0.005

-0.011 -0.020 -0.022 -0.333 -0.391 -0.193 -0.203 -0.216 -0.229 -0.244 -0.260 -0.275 -0.327 -0.289 -0.301 -0.243 -0.310 -0.315 -0.249 -0.316 -0.312 -0.304 -0.292 -0.244 -0.276 -0.239 -0.258 -0.237 -0.215 -0.192 -0.210 -0.170 -0.201 0.000 -0.011 -0.032 -0.024 -0.042 -0.052 -0.029 -0.071 -0.082 -0.077 -0.055 -0.026 -0.020 -0.027

-0.001 -0.002 -0.004 0.083 0.095 0.045 0.045 0.046 0.046 0.046 0.046 0.045 0.021 0.044 0.042 0.089 0.040 0.038 0.084 0.035 0.032 0.029 0.026 0.070 0.023 0.066 0.020 0.018 0.015 0.013 0.051 0.011 0.047 0.000 -0.001 -0.003 -0.012 -0.004 -0.006 -0.019 -0.011 -0.017 -0.024 -0.033 0.003 0.006 0.002

11.74 9.33 7.98 2.07 2.49 3.65 3.92 4.21 4.54 4.89 5.28 5.70 8.08 6.14 6.61 4.62 7.11 7.63 5.06 8.18 8.74 9.31 9.91 6.00 10.51 6.24 11.12 11.75 12.38 13.01 7.22 13.65 7.47 73.30 19.53 16.24 9.39 15.24 14.29 8.57 12.53 10.94 9.53 8.29 5.39 3.84 7.11

51% 46% 69% 50% 49% 51% 46% 49% 48% 40% 39% 39% 35% 33% 37% 40% 44% 42% 47% 44% 47% 45% 46% 37% 45% 37% 43% 46% 44% 47% 51% 59% -

12260 6000 66800 17250 41820 31220 187065 350880 555366 480968 812885 219220 1623015 759339 2240960 374130 454619 770521 6220 92517 201975 6750 29440 2450 25450 5600 1200 18940 800 62500 26000 8000 -

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

3

Reporte de Opciones

Subyacente Precio

MIRG

PAMP

PESA SAMI

SEMI TECO2

TGSU2

TRAN

TS

3.50 3.50 935.00 935.00 935.00 935.00 935.00 935.00 935.00 935.00 935.00 935.00 14.25 14.25 14.25 14.25 14.25 14.25 14.25 14.25 14.25 14.25 14.25 14.25 9.90 9.90 59.00 59.00 59.00 59.00 4.23 57.80 57.80 57.80 21.20 21.20 21.20 8.10 8.10 8.10 166.45 166.45 166.45 166.45 166.45 166.45 166.45

Serie

Tipo

Strike

Vto

Dias al Vto

Prima

% Var

Prima Teórica

Dif.vs Prima

Estado

INDC3.60JU INDC4.00AB MIRC500.AB MIRC700.AB MIRC740.JU MIRC800.AB MIRC820.AB MIRC900.AB MIRC940.AB MIRV700.AB MIRV800.AB MIRV800.JU PAMC9.10AB PAMC9.10JU PAMC12.7AB PAMC13.1AB PAMC14.3AB PAMC14.3JU PAMC14.7AB PAMC15.1AB PAMC15.5AB PAMV12.7AB PAMV12.7JU PAMV13.1JU PSAC10.8AB PSAC11.2AB SAMC40.0AB SAMC50.0AB SAMC50.0JU SAMC55.0AB SEMC3.70AB TECC52.6AB TECC52.6JU TECC56.6AB TGSC17.5AB TGSC19.9AB TGSC19.9JU TRAC7.00AB TRAC7.90AB TRAC7.90JU TS.C145.AB TS.C155.AB TS.C165.AB TS.C175.JU TS.C175.AB TS.C185.AB TS.C195.AB

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

3.600 4.000 500.000 700.000 740.000 800.000 820.000 900.000 940.000 700.000 800.000 800.000 9.100 9.100 12.700 13.100 14.300 14.300 14.700 15.100 15.500 12.700 12.700 13.100 10.800 11.200 40.000 50.000 50.000 55.000 3.700 52.600 52.600 56.600 17.500 19.900 19.900 7.000 7.900 7.900 145.000 155.000 165.000 175.000 175.000 185.000 195.000

JU AB AB AB JU AB AB AB AB AB AB JU AB JU AB AB AB JU AB AB AB AB JU JU AB AB AB AB JU AB AB AB JU AB AB AB JU AB AB JU AB AB AB JU AB AB AB

111.00 48.00 48.00 48.00 111.00 48.00 48.00 48.00 48.00 48.00 48.00 111.00 48.00 111.00 48.00 48.00 48.00 111.00 48.00 48.00 48.00 48.00 111.00 111.00 48.00 48.00 48.00 48.00 111.00 48.00 48.00 48.00 111.00 48.00 48.00 48.00 111.00 48.00 48.00 111.00 48.00 48.00 48.00 111.00 48.00 48.00 48.00

0.00 0.15 0.00 0.00 0.00 0.00 200.00 130.00 90.00 6.00 0.00 0.00 5.70 0.00 2.40 2.20 1.20 2.00 1.25 0.80 0.58 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 8.00 0.00 7.00 0.00 0.00 4.50 2.10 0.00 0.00 0.84 0.00 0.00 0.00 14.00 0.00 7.50 4.00 2.00

0% 8% 30% 29% 20% -2% 2% 10% -4% 43% 0% -6% -3% 14% -13% 17% 24% 50% 40% 50% 33% 0%

0.49 0.13 453.74 270.20 290.21 192.01 178.11 129.01 108.42 9.28 27.40 50.29 5.49 5.96 2.38 2.10 1.40 2.31 1.21 1.04 0.89 0.36 0.62 0.74 0.46 0.33 20.52 11.56 14.64 7.87 0.77 8.89 12.38 6.43 4.57 2.81 4.10 1.48 0.87 1.37 29.51 22.34 16.33 21.58 11.54 7.89 5.23

-0.126 -0.109 -0.008 0.205 0.547 -0.036 -0.009 -0.044 0.169 0.157 -0.032 0.298 0.528 -0.016 0.271 0.016 0.338 0.041 0.167 0.538 0.971 1.614

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

Valor Intrínseco

435.00 235.00 195.00 135.00 115.00 35.00

5.15 5.15 1.55 1.15

19.00 9.00 9.00 4.00 0.53 5.20 5.20 1.20 3.70 1.30 1.30 1.10 0.20 0.20 21.45 11.45 1.45

Cobertura %

Tasa Lanzam. %

4.29%

19.4%

21.39% 13.90% 9.63%

11.6% 11.8% 11.2%

40.00%

6.4%

16.84% 15.44% 8.42% 14.04% 8.77% 5.61% 4.07%

7.2% 8.7% 9.6% 16.7% 13.1% 12.3% 13.4%

13.56%

7.8%

12.11%

3.5%

21.23% 9.91%

4.8% 4.2%

10.37%

8.8%

8.41%

8.2%

4.51% 2.40% 1.20%

10.1% 13.9% 18.6%

Delta

Gamma

Vega

Theta

Rho

Efecto Palanca

Volat. Implícita

Volumen

0.636 0.336 0.997 0.922 0.848 0.814 0.786 0.665 0.600 -0.078 -0.186 -0.205 0.993 0.970 0.801 0.757 0.606 0.663 0.554 0.502 0.451 -0.199 -0.211 -0.241 0.416 0.334 0.991 0.880 0.848 0.748 0.818 0.772 0.769 0.651 0.896 0.729 0.742 0.855 0.664 0.702 0.848 0.750 0.634 0.606 0.511 0.395 0.292

0.383 0.562 0.000 0.001 0.001 0.001 0.001 0.002 0.002 0.001 0.001 0.001 0.006 0.016 0.095 0.107 0.131 0.082 0.135 0.136 0.135 0.095 0.065 0.070 0.236 0.220 0.002 0.018 0.014 0.029 0.291 0.025 0.017 0.031 0.043 0.079 0.051 0.147 0.236 0.148 0.008 0.010 0.012 0.008 0.013 0.012 0.011

0.007 0.005 0.032 0.500 1.219 0.919 0.998 1.248 1.323 0.500 0.919 1.472 0.001 0.005 0.015 0.016 0.020 0.029 0.021 0.021 0.021 0.015 0.023 0.025 0.014 0.013 0.005 0.043 0.077 0.069 0.004 0.064 0.097 0.078 0.014 0.026 0.038 0.007 0.011 0.016 0.143 0.194 0.230 0.355 0.243 0.235 0.209

-0.021 -0.023 -2.734 -5.660 -5.343 -7.604 -7.930 -8.821 -8.978 -2.028 -3.453 -1.877 -0.051 -0.052 -0.107 -0.112 -0.119 -0.089 -0.119 -0.116 -0.113 -0.041 -0.020 -0.021 -0.066 -0.059 -0.224 -0.376 -0.314 -0.448 -0.032 -0.449 -0.344 -0.482 -0.132 -0.167 -0.127 -0.054 -0.065 -0.049 -1.127 -1.263 -1.322 -0.996 -1.288 -1.172 -1.002

0.005 0.001 0.642 0.794 1.542 0.763 0.748 0.662 0.608 -0.111 -0.271 -0.743 0.012 0.024 0.012 0.012 0.010 0.022 0.009 0.008 0.007 -0.004 -0.011 -0.013 0.005 0.004 0.051 0.054 0.109 0.049 0.004 0.048 0.098 0.042 0.019 0.017 0.036 0.007 0.006 0.013 0.150 0.138 0.120 0.243 0.099 0.078 0.058

4.58 8.97 2.05 3.19 2.73 3.96 4.13 4.82 5.18 7.87 6.36 3.81 2.58 2.32 4.80 5.12 6.16 4.08 6.52 6.88 7.25 7.89 4.85 4.63 9.06 9.89 2.85 4.49 3.42 5.61 4.51 5.02 3.59 5.85 4.15 5.50 3.84 4.67 6.15 4.15 4.78 5.59 6.46 4.67 7.38 8.33 9.30

55% 90% 70% 55% 62% 50% 58% 62% 46% 45% 58% 45% 41% 53% 50% 48% 21% 49% 41% 35% 34% 34%

585 20000 27200 29000 6000 4110 6000 32303 26874 1850 875 29941 50360 38085 22600 45000 4200 18148 105000 28470 49110 7600

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

4

Reporte de Opciones

Subyacente Precio

YPFD

166.45 166.45 166.45 166.45 291.00 291.00 291.00 291.00 291.00 291.00 291.00 291.00 291.00 291.00 291.00 291.00 291.00 291.00

Serie

Tipo

Strike

Vto

Dias al Vto

Prima

% Var

Prima Teórica

Dif.vs Prima

Estado

TS.C205.AB TS.C205.JU TS.V145.AB TS.V175.AB YPFC200.JU YPFC200.AB YPFC220.AB YPFC240.AB YPFC260.AB YPFC280.MA YPFC280.AB YPFC300.AB YPFC320.AB YPFC340.AB YPFC380.AB YPFV220.AB YPFV280.AB YPFV300.AB

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

205.000 205.000 145.000 175.000 200.000 200.000 220.000 240.000 260.000 280.000 280.000 300.000 320.000 340.000 380.000 220.000 280.000 300.000

AB JU AB AB JU AB AB AB AB MA AB AB AB AB AB AB AB AB

48.00 111.00 48.00 48.00 111.00 48.00 48.00 48.00 48.00 20.00 48.00 48.00 48.00 48.00 48.00 48.00 48.00 48.00

1.00 3.00 0.00 0.00 0.00 100.00 85.00 0.00 48.00 0.00 30.00 18.00 9.00 7.00 0.00 0.00 0.00 0.00

-20% 0% 6% 20% -2% 0% -10% -10% 4% -

3.37 11.03 2.69 13.61 109.45 98.74 80.33 63.09 47.68 23.81 34.63 24.18 16.27 10.58 4.09 1.19 13.26 22.08

2.369 2.678 -0.013 -0.055 -0.007 0.154 0.344 0.808 0.511 -

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

Valor Intrínseco

8.55 91.00 91.00 71.00 51.00 31.00 11.00 11.00

9.00

Cobertura %

Tasa Lanzam. %

0.60% 1.80%

23.9% 25.4%

34.36% 29.21%

4.7% 6.8%

16.49%

7.0%

10.31% 6.19% 3.09% 2.41%

7.3% 9.9% 13.5% 19.7%

Delta

Gamma

Vega

Theta

Rho

Efecto Palanca

Volat. Implícita

Volumen

0.208 0.387 -0.152 -0.489 0.953 0.985 0.954 0.895 0.803 0.685 0.685 0.554 0.426 0.312 0.148 -0.046 -0.315 -0.446

0.009 0.008 0.008 0.013 0.001 0.001 0.002 0.003 0.005 0.009 0.006 0.007 0.007 0.006 0.004 0.002 0.006 0.007

0.175 0.353 0.143 0.243 0.158 0.041 0.103 0.194 0.296 0.248 0.379 0.421 0.418 0.377 0.246 0.103 0.379 0.421

-0.809 -0.854 -0.375 -0.380 -1.175 -1.172 -1.464 -1.822 -2.157 -3.203 -2.366 -2.383 -2.212 -1.906 -1.172 -0.322 -0.913 -0.826

0.042 0.164 -0.038 -0.127 0.515 0.252 0.265 0.265 0.250 0.101 0.221 0.184 0.145 0.108 0.052 -0.020 -0.141 -0.204

10.28 5.84 9.38 5.98 2.53 2.90 3.46 4.13 4.90 8.38 5.75 6.67 7.62 8.59 10.55 11.23 6.92 5.88

35% 27% 72% 84% 56% 42% 40% 37% 45% -

1400 900 10000 25500 24590 22100 213100 32730 4900 -

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). 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

Activo

Manuel Carpintero 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)

María Fernanda Lázaro Asesor Financiero (54 11) 4000 1400 [email protected]