Reporte de Opciones

Flavia Matsuda Analista Cuantitativo @FlaviMatsuda [email protected]

jueves, 01 de septiembre de 2016 Subyacente

Precio

Serie

Tipo

Strike

Vto

Dias al Vto

Prima

% Var

Prima Teórica

Dif.vs Prima

Estado

ALUA

9.44 9.44 9.44 9.44 9.44 9.44 9.44 68.40 68.40 68.40 68.40 68.40 68.40 68.40 68.40 68.40 68.40 68.40 68.40 68.40 68.40 68.40 68.40 68.40 68.40 68.40 68.40 68.40 68.40 68.40 68.40 68.40 68.40 68.40 68.40 68.40 68.40 68.40 68.40 68.40 68.40 7.45

ALUC5.80OC ALUC5.80FE ALUC9.40OC ALUC9.40DI ALUC10.75O ALUC10.75D ALUC11.2OC PBRC18.4OC PBRC18.4DI PBRC22.4OC PBRC30.4OC PBRC30.4FE PBRC34.4OC PBRC42.4FE PBRC46.4OC PBRC50.4OC PBRC54.4OC PBRC58.4OC PBRC62.4OC PBRC62.4DI PBRC66.4OC PBRC66.4DI PBRC70.4OC PBRC70.4DI PBRC74.4OC PBRC74.4DI PBRC78.4OC PBRC78.4DI PBRC82.4SE PBRC82.4OC PBRC82.4DI PBRV18.4OC PBRV46.4OC PBRV50.4SE PBRV50.4OC PBRV54.4OC PBRV58.4OC PBRV62.4OC PBRV66.4OC PBRV70.4OC PBRV74.4OC BHIC7.25OC

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 Put Put Put Put Put Put Put Call

5.800 5.800 9.400 9.400 10.700 10.700 11.200 18.400 18.400 22.400 30.400 30.400 34.400 42.400 46.400 50.400 54.400 58.400 62.400 62.400 66.400 66.400 70.400 70.400 74.400 74.400 78.400 78.400 82.400 82.400 82.400 18.400 46.400 50.400 50.400 54.400 58.400 62.400 66.400 70.400 74.400 7.250

OC FE OC DI O D OC OC DI OC OC FE OC FE OC OC OC OC OC DI OC DI OC DI OC DI OC DI SE OC DI OC OC SE OC OC OC OC OC OC OC OC

42.00 167.00 42.00 105.00 42.00 105.00 42.00 42.00 105.00 42.00 42.00 167.00 42.00 167.00 42.00 42.00 42.00 42.00 42.00 105.00 42.00 105.00 42.00 105.00 42.00 105.00 42.00 105.00 14.00 42.00 105.00 42.00 42.00 14.00 42.00 42.00 42.00 42.00 42.00 42.00 42.00 42.00

0.00 0.00 0.70 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 20.10 0.00 0.00 9.20 12.80 6.40 0.00 4.80 7.00 3.00 5.00 1.80 0.00 0.00 1.05 2.70 0.05 0.00 0.00 0.00 0.00 0.70 1.28 2.45 4.10 0.00 0.00

17% -4% 5% 16% 0% 9% 10% 7% 5% 3% -3% -13% -2% -5% -10% -6% -7% -

3.82 4.31 0.52 0.96 0.07 0.34 0.02 50.56 51.36 46.69 38.93 41.50 35.06 31.16 23.45 19.66 15.99 12.58 9.53 13.47 6.94 11.10 4.86 9.04 3.28 7.29 2.14 5.81 0.15 1.34 4.60 0.00 0.03 0.00 0.11 0.32 0.78 1.61 2.90 4.70 7.00 0.52

-0.256 -0.022 0.036 0.053 0.085 0.013 0.292 0.094 0.457 0.187 0.280 0.703 -1.000 0.119 0.259 0.185 0.147 -

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

APBR

BHIP

Valor Intrínseco 3.64 3.64 0.04 0.04

50.00 50.00 46.00 38.00 38.00 34.00 26.00 22.00 18.00 14.00 10.00 6.00 6.00 2.00 2.00

2.00 6.00 0.20

Cobertura Tasa Lanzam. % %

7.42%

7.6%

29.39%

4.3%

13.45% 18.71% 9.36%

5.4% 12.2% 7.1%

7.02% 10.23% 4.39% 7.31% 2.63%

10.7% 14.7% 13.8% 17.4% 17.7%

1.54% 3.95%

22.3% 25.4%

Delta

Gamma

Vega

Theta

Rho

Efecto Palanca

Volat. Implícita

Volumen

1.000 1.000 0.670 0.741 0.157 0.392 0.065 1.000 1.000 1.000 1.000 0.998 1.000 0.971 0.993 0.977 0.942 0.878 0.785 0.773 0.668 0.700 0.540 0.623 0.416 0.545 0.305 0.469 0.051 0.214 0.398 0.000 -0.007 -0.001 -0.023 -0.058 -0.122 -0.215 -0.332 -0.460 -0.584 0.760

0.000 0.000 0.428 0.244 0.284 0.290 0.149 0.000 0.000 0.000 0.000 0.000 0.000 0.003 0.002 0.004 0.010 0.017 0.024 0.016 0.030 0.018 0.033 0.020 0.032 0.021 0.029 0.021 0.015 0.024 0.020 0.000 0.002 0.000 0.004 0.010 0.017 0.024 0.030 0.033 0.032 0.474

0.000 0.000 0.012 0.016 0.008 0.020 0.004 0.000 0.000 0.000 0.000 0.003 0.000 0.030 0.004 0.013 0.027 0.048 0.069 0.111 0.085 0.128 0.093 0.140 0.092 0.146 0.082 0.147 0.014 0.068 0.142 0.000 0.004 0.000 0.013 0.027 0.048 0.069 0.085 0.093 0.092 0.008

-0.029 -0.026 -0.054 -0.045 -0.024 -0.034 -0.012 -0.091 -0.086 -0.110 -0.150 -0.139 -0.169 -0.212 -0.244 -0.292 -0.360 -0.439 -0.510 -0.388 -0.552 -0.403 -0.551 -0.407 -0.509 -0.399 -0.437 -0.381 -0.190 -0.352 -0.355 0.000 -0.016 -0.005 -0.044 -0.092 -0.152 -0.203 -0.225 -0.205 -0.143 -0.043

0.007 0.024 0.007 0.018 0.002 0.010 0.001 0.021 0.049 0.026 0.035 0.123 0.039 0.162 0.052 0.056 0.057 0.056 0.052 0.114 0.046 0.107 0.038 0.097 0.030 0.087 0.022 0.076 0.001 0.016 0.066 0.000 -0.001 0.000 -0.002 -0.005 -0.011 -0.019 -0.030 -0.043 -0.055 0.006

2.47 2.19 12.14 7.30 22.19 10.89 26.50 1.35 1.33 1.47 1.76 1.64 1.95 2.13 2.90 3.40 4.03 4.77 5.63 3.92 6.58 4.31 7.60 4.71 8.66 5.11 9.75 5.52 23.90 10.86 5.92 44.45 16.58 33.93 14.36 12.39 10.66 9.14 7.82 6.68 5.71 10.91

41% 72% 46% 45% 45% 51% 37% 48% 36% 47% 47% 38% 50% 49% 46% 46% 45% -

7700 2010 329600 90200 192352 1632172 35000 1436333 57175 456805 287107 13500 3407 3498 149536 197835 413910 -

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

Reporte de Opciones

Subyacente

CADO CAPU CAPX CARC CECO2

CELU COME

CRES

CTIO EDN

Precio

Serie

Tipo

Strike

Vto

Dias al Vto

Prima

% Var

Prima Teórica

Dif.vs Prima

Estado

7.45 11.10 23.00 22.10 22.10 3.43 7.40 7.40 7.40 7.40 20.40 20.40 3.05 3.05 3.05 3.05 3.05 3.05 3.05 3.05 3.05 3.05 3.05 3.05 3.05 3.05 3.05 3.05 3.05 26.65 26.65 26.65 26.65 26.65 26.65 26.65 26.65 26.65 26.65 26.65 26.65 26.65 26.65 26.65 26.65 43.70 13.15 13.15

BHIC7.25DI CADC9.00OC CPUC26.0OC CAPC20.0OC CAPC20.0DI CACC2.30OC CECC5.80DI CECC6.00OC CECC7.10OC CECC7.10DI CELC19.0OC CELC20.5DI COMC2.00OC COMC2.00DI COMC2.60OC COMC2.80OC COMC3.00OC COMC3.00DI COMC3.15OC COMC3.15DI COMC3.30OC COMC3.30DI COMC3.45OC COMC3.60OC COMC3.75OC COMC3.90DI COMC4.05OC COMV3.00OC COMV3.15OC CREC11.0OC CREC11.0DI CREC11.0FE CREC19.0OC CREC20.0OC CREC22.0DI CREC23.0OC CREC25.0DI CREC26.0OC CREC27.0OC CREC28.0OC CREC28.0DI CREC29.0OC CREC30.0OC CREC30.0DI CREV26.0OC CTOC48.0OC EDNC9.15OC EDNC9.15DI

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

7.250 9.000 26.000 20.000 20.000 2.300 5.800 6.000 7.100 7.100 19.000 20.500 2.000 2.000 2.600 2.800 3.000 3.000 3.150 3.150 3.300 3.300 3.450 3.600 3.750 3.900 4.050 3.000 3.150 11.000 11.000 11.000 19.000 20.000 22.000 23.000 25.000 26.000 27.000 28.000 28.000 29.000 30.000 30.000 26.000 48.000 9.150 9.150

DI OC OC OC DI OC DI OC OC DI OC DI OC DI OC OC OC DI OC DI OC DI OC OC OC DI OC OC OC OC DI FE OC OC DI OC DI OC OC OC DI OC OC DI OC OC OC DI

105.00 42.00 42.00 42.00 105.00 42.00 105.00 42.00 42.00 105.00 42.00 105.00 42.00 105.00 42.00 42.00 42.00 105.00 42.00 105.00 42.00 105.00 42.00 42.00 42.00 105.00 42.00 42.00 42.00 42.00 105.00 167.00 42.00 42.00 105.00 42.00 105.00 42.00 42.00 42.00 105.00 42.00 42.00 105.00 42.00 42.00 42.00 105.00

0.00 0.00 0.00 0.00 0.00 0.00 0.00 1.74 0.80 1.35 0.00 0.00 1.14 1.20 0.00 0.33 0.21 0.00 0.14 0.00 0.08 0.18 0.04 0.00 0.00 0.00 0.00 0.00 0.20 0.00 0.00 17.50 8.00 0.00 0.00 4.70 4.40 2.40 1.70 1.10 2.50 0.70 0.50 0.00 0.00 0.00 0.00 0.00

-13% 33% 80% 5% 2% 3% 2% 11% 9% -3% 11% 0% 3% -6% 4% -2% 4% 5% 0% 6% 1% -17% -

0.86 2.47 0.74 3.10 4.30 1.36 2.06 1.59 0.67 1.05 2.12 2.01 1.11 1.20 0.53 0.36 0.21 0.35 0.12 0.27 0.07 0.19 0.03 0.02 0.01 0.04 0.00 0.06 0.13 15.99 16.46 16.91 8.23 7.27 6.47 4.47 4.21 2.17 1.60 1.14 2.48 0.79 0.52 1.66 0.72 1.15 4.28 4.69

-0.085 -0.160 -0.220 -0.021 -0.002 0.076 -0.013 -0.090 -0.100 0.109 -0.163 -0.365 -0.034 0.029 -0.049 -0.044 -0.096 -0.059 0.036 -0.007 0.121 0.046 -

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

Valor Intrínseco

Cobertura Tasa Lanzam. % %

0.20 2.10 2.10 2.10 1.13 1.60 1.40 0.30 0.30 1.40 1.05 1.05 0.45 0.25 0.05 0.05

0.10 15.65 15.65 15.65 7.65 6.65 4.65 3.65 1.65 0.65

4.00 4.00

23.51% 10.81% 18.24%

6.0% 7.6% 17.4%

37.21% 39.34%

4.4% 8.1%

10.82% 6.85%

2.9% 5.6%

4.46%

8.1%

2.46% 5.74% 1.31%

10.9% 14.8% 14.6%

65.67% 30.02%

20.2% 1.9%

17.64% 16.51% 9.01% 6.38% 4.13% 9.38% 2.63% 1.88%

4.8% 12.4% 7.2% 8.2% 9.6% 15.9% 11.8% 14.7%

Delta

Gamma

Vega

Theta

Rho

Efecto Palanca

Volat. Implícita

Volumen

0.795 0.912 0.322 0.815 0.796 0.863 0.959 0.977 0.741 0.759 0.870 0.711 1.000 0.999 0.971 0.882 0.697 0.745 0.516 0.639 0.341 0.528 0.200 0.105 0.049 0.168 0.008 -0.303 -0.484 1.000 1.000 1.000 0.998 0.995 0.925 0.928 0.789 0.692 0.582 0.469 0.594 0.362 0.268 0.458 -0.308 0.335 0.999 0.989

0.276 0.075 0.093 0.075 0.051 0.124 0.061 0.059 0.352 0.215 0.109 0.112 0.000 0.005 0.208 0.630 1.112 0.651 1.268 0.758 1.166 0.806 0.891 0.578 0.325 0.508 0.072 1.112 1.268 0.000 0.000 0.000 0.001 0.004 0.026 0.040 0.054 0.103 0.115 0.117 0.073 0.110 0.097 0.074 0.103 0.065 0.002 0.011

0.011 0.006 0.028 0.020 0.034 0.003 0.004 0.001 0.008 0.012 0.015 0.038 0.000 0.000 0.001 0.002 0.004 0.005 0.004 0.006 0.004 0.007 0.003 0.002 0.001 0.004 0.000 0.004 0.004 0.000 0.000 0.000 0.000 0.001 0.020 0.013 0.042 0.032 0.036 0.036 0.056 0.034 0.030 0.057 0.032 0.055 0.000 0.002

-0.035 -0.067 -0.146 -0.153 -0.120 -0.040 -0.030 -0.033 -0.049 -0.038 -0.113 -0.098 -0.010 -0.009 -0.014 -0.017 -0.019 -0.015 -0.018 -0.015 -0.014 -0.014 -0.010 -0.006 -0.003 -0.006 -0.001 -0.004 -0.002 -0.054 -0.052 -0.049 -0.095 -0.102 -0.117 -0.141 -0.136 -0.180 -0.179 -0.168 -0.136 -0.149 -0.125 -0.124 -0.052 -0.234 -0.045 -0.045

0.015 0.009 0.008 0.018 0.039 0.002 0.015 0.007 0.006 0.013 0.018 0.036 0.002 0.005 0.003 0.003 0.002 0.006 0.002 0.005 0.001 0.004 0.001 0.000 0.000 0.001 0.000 -0.001 -0.002 0.013 0.030 0.045 0.022 0.023 0.053 0.024 0.049 0.019 0.016 0.013 0.039 0.010 0.008 0.031 -0.011 0.016 0.010 0.024

6.85 4.10 9.99 5.81 4.09 2.18 3.45 4.54 8.16 5.33 8.38 7.21 2.74 2.54 5.55 7.57 10.29 6.41 12.72 7.32 15.39 8.29 18.23 21.17 24.15 12.47 30.13 14.40 11.61 1.67 1.62 1.58 3.23 3.65 3.81 5.53 4.99 8.50 9.69 10.96 6.38 12.29 13.66 7.36 11.39 12.68 3.07 2.77

75% 51% 59% 90% 41% 50% 31% 33% 32% 27% 32% 48% 50% 50% 51% 42% 44% 40% 36% 38% 35% 36% -

143575 137707 20250 41937 12000 18625 112243 42447 42610 5250 1214 600 17500 23050 43165 6300 13410 50158 56650 58700 27079 8387 -

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

2

Reporte de Opciones

Subyacente

ERAR

FRAN GARO GGAL

Precio

Serie

Tipo

Strike

Vto

Dias al Vto

Prima

% Var

Prima Teórica

Dif.vs Prima

Estado

13.15 13.15 13.15 13.15 13.15 13.15 8.17 8.17 8.17 8.17 8.17 8.17 8.17 8.17 8.17 8.17 8.17 8.17 8.17 8.17 8.17 101.40 10.60 10.60 45.40 45.40 45.40 45.40 45.40 45.40 45.40 45.40 45.40 45.40 45.40 45.40 45.40 45.40 45.40 45.40 45.40 45.40 45.40 45.40 45.40 45.40 45.40 45.40

EDNC11.2OC EDNC12.7OC EDNC12.7DI EDNC13.3OC EDNC13.3DI EDNV11.2OC ERAC4.30OC ERAC4.30DI ERAC4.30FE ERAC6.20OC ERAC6.20FE ERAC7.20OC ERAC7.70OC ERAC7.70DI ERAC8.30OC ERAC8.30DI ERAC8.30FE ERAC8.70OC ERAC9.10OC ERAV7.70OC ERAV8.30OC FRAC84.0OC GARC10.5OC GARC11.0OC GFGC40.0OC GFGC40.0DI GFGC43.0OC GFGC44.0OC GFGC45.0SE GFGC45.0OC GFGC46.0SE GFGC46.0OC GFGC46.0FE GFGC47.0OC GFGC47.0DI GFGC48.0OC GFGC49.0OC GFGC50.0OC GFGC50.0DI GFGC51.0OC GFGC52.0OC GFGC55.0OC GFGC55.0DI GFGV11.0OC GFGV11.0DI GFGV11.0FE GFGV37.0OC GFGV37.0DI

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

11.200 12.700 12.700 13.300 13.300 11.200 4.300 4.300 4.300 6.200 6.200 7.200 7.700 7.700 8.300 8.300 8.300 8.700 9.100 7.700 8.300 84.000 10.500 11.000 40.000 40.000 43.000 44.000 45.000 45.000 46.000 46.000 46.000 47.000 47.000 48.000 49.000 50.000 50.000 51.000 52.000 55.000 55.000 11.000 11.000 11.000 37.000 37.000

OC OC DI OC DI OC OC DI FE OC FE OC OC DI OC DI FE OC OC OC OC OC OC OC OC DI OC OC SE OC SE OC FE OC DI OC OC OC DI OC OC OC DI OC DI FE OC DI

42.00 42.00 105.00 42.00 105.00 42.00 42.00 105.00 167.00 42.00 167.00 42.00 42.00 105.00 42.00 105.00 167.00 42.00 42.00 42.00 42.00 42.00 42.00 42.00 42.00 105.00 42.00 42.00 14.00 42.00 14.00 42.00 167.00 42.00 105.00 42.00 42.00 42.00 105.00 42.00 42.00 42.00 105.00 42.00 105.00 167.00 42.00 105.00

2.20 0.90 0.00 0.58 0.00 0.20 0.00 0.00 0.00 2.15 0.00 1.20 0.70 0.00 0.42 0.75 0.00 0.23 0.12 0.00 0.40 20.50 0.00 0.00 0.00 0.00 3.40 2.70 0.00 2.10 0.00 1.75 0.00 1.25 2.75 0.95 0.70 0.50 0.00 0.00 0.00 0.17 0.00 0.00 0.00 0.00 0.00 0.00

10% 29% 16% 0% 0% -2% 0% -13% -11% -6% -8% -20% -20% -2% -24% 8% 5% 11% 7% -8% 10% 0% 0% 0% -

2.34 1.16 1.84 0.80 1.49 0.05 4.00 4.19 4.36 2.16 2.69 1.21 0.79 1.18 0.40 0.79 1.13 0.23 0.12 0.09 0.28 20.00 0.87 0.62 6.66 8.49 3.99 3.21 1.38 2.52 0.83 1.91 5.72 1.41 3.34 1.01 0.69 0.46 1.93 0.30 0.19 0.04 0.63 0.00 0.00 0.00 0.00 0.03

0.063 0.284 0.386 -0.772 0.005 0.011 0.131 -0.037 0.055 -0.013 -0.024 -0.310 -0.024 0.174 0.190 0.198 0.093 0.127 0.215 0.058 -0.009 -0.073 -0.777 -

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

Valor Intrínseco 1.95 0.45 0.45

Cobertura Tasa Lanzam. % % 16.73% 6.84%

2.3% 3.7%

4.41%

5.8%

26.32%

3.0%

14.69% 8.57%

3.3% 3.1%

5.09% 9.18%

7.0% 11.9%

2.82% 1.47%

9.6% 13.0%

0.13 17.40 0.10

20.22%

3.8%

5.40 5.40 2.40 1.40 0.40 0.40

7.49% 5.95%

2.4% 3.0%

4.63%

3.9%

3.85%

5.4%

2.75% 6.06% 2.09% 1.54% 1.10%

6.5% 10.2% 8.0% 9.6% 11.4%

0.37%

21.6%

3.87 3.87 3.87 1.97 1.97 0.97 0.47 0.47

Delta

Gamma

Vega

Theta

Rho

Efecto Palanca

Volat. Implícita

Volumen

0.940 0.718 0.744 0.587 0.665 -0.060 1.000 1.000 1.000 0.999 0.980 0.942 0.823 0.821 0.579 0.676 0.733 0.400 0.246 -0.177 -0.421 0.992 0.634 0.516 0.975 0.950 0.861 0.789 0.667 0.702 0.491 0.603 0.774 0.500 0.653 0.398 0.305 0.225 0.465 0.159 0.108 0.027 0.203 0.000 0.000 0.000 -0.002 -0.012

0.070 0.200 0.121 0.231 0.137 0.070 0.000 0.000 0.000 0.005 0.029 0.137 0.307 0.197 0.462 0.271 0.197 0.457 0.372 0.307 0.462 0.002 0.231 0.244 0.015 0.018 0.060 0.078 0.165 0.093 0.182 0.104 0.041 0.107 0.063 0.104 0.094 0.081 0.068 0.065 0.050 0.017 0.048 0.000 0.000 0.000 0.002 0.005

0.005 0.015 0.023 0.018 0.026 0.005 0.000 0.000 0.000 0.000 0.003 0.003 0.007 0.012 0.011 0.016 0.018 0.011 0.009 0.007 0.011 0.008 0.014 0.015 0.009 0.025 0.035 0.045 0.033 0.054 0.037 0.060 0.093 0.062 0.090 0.060 0.055 0.047 0.097 0.038 0.029 0.010 0.069 0.000 0.000 0.000 0.001 0.008

-0.067 -0.088 -0.068 -0.089 -0.069 -0.012 -0.021 -0.020 -0.019 -0.031 -0.029 -0.041 -0.048 -0.040 -0.049 -0.040 -0.036 -0.042 -0.031 -0.010 -0.008 -0.426 -0.080 -0.078 -0.208 -0.196 -0.245 -0.253 -0.333 -0.254 -0.313 -0.246 -0.195 -0.229 -0.205 -0.203 -0.173 -0.140 -0.174 -0.109 -0.080 -0.025 -0.098 0.000 0.000 0.000 -0.001 -0.003

0.012 0.010 0.023 0.008 0.021 -0.001 0.005 0.012 0.018 0.007 0.024 0.008 0.007 0.016 0.005 0.014 0.022 0.004 0.002 -0.002 -0.004 0.095 0.007 0.006 0.044 0.101 0.041 0.038 0.012 0.035 0.009 0.030 0.135 0.025 0.076 0.020 0.015 0.011 0.056 0.008 0.006 0.001 0.025 0.000 0.000 0.000 0.000 -0.002

5.28 8.17 5.30 9.60 5.86 17.20 2.04 1.95 1.87 3.78 2.97 6.35 8.49 5.69 11.81 6.98 5.32 14.38 17.13 17.03 12.45 5.03 7.72 8.80 6.65 5.08 9.79 11.15 21.91 12.67 26.96 14.32 6.15 16.10 8.87 17.98 19.95 22.00 10.94 24.10 26.24 32.82 14.72 216.80 91.17 59.48 41.32 21.55

50% 18% 25% 57% 50% 25% 50% 32% 28% 30% 30% 41% 46% 50% 50% 16% 21% 21% 17% 23% 24% 25% 32% -

16680 21678 6580 2000 10750 41750 6780 112309 750 33181 16150 4000 32250 28200 137155 200969 250877 62666 35200 32125 33564 33759 2818 -

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

3

Reporte de Opciones

Subyacente

INDU

LEDE MIRG

PAMP

PESA

PETR SAMI

TGSU2 TRAN

TS

YPFD

Precio

Serie

Tipo

Strike

Vto

Dias al Vto

Prima

% Var

Prima Teórica

Dif.vs Prima

Estado

45.40 45.40 45.40 45.40 45.40 45.40 45.40 45.40 3.62 3.62 3.62 3.62 16.30 1369.70 1369.70 1369.70 1369.70 1369.70 15.35 15.35 15.35 15.35 15.35 15.35 15.35 15.35 15.35 15.35 9.33 9.33 9.33 49.50 117.50 117.50 117.50 18.30 18.30 6.89 6.89 6.89 6.89 203.50 203.50 203.50 203.50 203.50 255.90 255.90

GFGV42.0OC GFGV42.0DI GFGV44.0OC GFGV45.0OC GFGV45.0DI GFGV46.0OC GFGV46.0DI GFGV48.0OC INDC3.20DI INDC3.60OC INDC3.60DI INDC4.00OC LEDC13.0OC MIRC79333O MIRC800.FE MIRC1300.O MIRC1380.O MIRC1420.O PAMC11.5OC PAMC14.3OC PAMC14.3DI PAMC15.1OC PAMC15.1DI PAMC15.5OC PAMC16.2OC PAMC16.9OC PAMV15.1OC PAMV15.5OC PSAC9.55OC PSAC9.75OC PSAC9.95OC PETC52.0OC SAMC64.0OC SAMC64.0DI SAMC100.OC TGSC16.3DI TGSC19.9OC TRAC6.10OC TRAC7.00OC TRAC7.00DI TRAC7.30OC TS.C213.OC TS.C229.SE TS.C237.OC TS.C269.DI TS.V213.OC YPFC220.OC YPFC240.OC

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

42.000 42.000 44.000 45.000 45.000 46.000 46.000 48.000 3.200 3.600 3.600 4.000 13.000 793.300 800.000 1300.000 1380.000 1420.000 11.500 14.300 14.300 15.100 15.100 15.500 16.200 16.900 15.100 15.500 9.550 9.750 9.950 52.000 64.000 64.000 100.000 16.300 19.900 6.100 7.000 7.000 7.300 213.000 229.000 237.000 269.000 213.000 220.000 240.000

OC DI OC OC DI OC DI OC DI OC DI OC OC O FE .O .O .O OC OC DI OC DI OC OC OC OC OC OC OC OC OC OC DI OC DI OC OC OC DI OC OC SE OC DI OC OC OC

42.00 105.00 42.00 42.00 105.00 42.00 105.00 42.00 105.00 42.00 105.00 42.00 42.00 42.00 167.00 42.00 42.00 42.00 42.00 42.00 105.00 42.00 105.00 42.00 42.00 42.00 42.00 42.00 42.00 42.00 42.00 42.00 42.00 105.00 42.00 105.00 42.00 42.00 42.00 105.00 42.00 42.00 14.00 42.00 105.00 42.00 42.00 42.00

0.60 0.00 0.00 1.40 0.00 1.80 0.00 3.50 0.00 0.00 0.50 0.00 0.00 0.00 0.00 0.00 65.00 45.00 0.00 1.80 2.40 1.10 2.00 0.78 0.50 0.30 0.38 0.70 0.00 0.20 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.25 7.50 0.00 2.80 0.00 0.00 0.00 0.00

-14% 0% -18% 0% 0% 63% -10% 29% -27% 16% 0% 30% 43% 50% 0% 0% -85% 19% -9% 0% -

0.15 0.30 0.46 0.73 0.84 1.10 1.13 2.13 0.99 0.49 0.80 0.33 3.71 600.76 661.61 131.11 80.51 60.80 4.20 1.60 2.31 1.02 1.75 0.78 0.46 0.24 0.30 0.45 0.27 0.18 0.11 2.73 55.46 58.24 21.17 3.33 0.33 0.99 0.32 0.64 0.18 7.65 0.30 1.66 2.37 10.61 42.98 25.52

-0.750 -0.476 -0.389 -0.391 0.595 0.239 0.351 -0.109 -0.036 -0.074 -0.123 -0.001 -0.089 -0.188 -0.198 -0.352 -0.113 -0.265 0.021 -0.406 -

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

Valor Intrínseco

0.60 0.60 2.60 0.42 0.02 0.02

Cobertura Tasa Lanzam. % %

13.81%

15.4%

4.75% 3.29%

5.8% 7.2%

11.73% 15.64% 7.17% 13.03% 5.08% 3.26% 1.95%

5.5% 10.4% 6.0% 13.1% 6.4% 9.1% 12.3%

2.14%

6.8%

3.63% 3.69%

9.9% 8.7%

1.38%

18.1%

3.30 576.40 569.70 69.70

3.85 1.05 1.05 0.25 0.25

0.15

53.50 53.50 17.50 2.00 0.79

9.50 35.90 15.90

Delta

Gamma

Vega

Theta

Rho

Efecto Palanca

Volat. Implícita

Volumen

-0.085 -0.103 -0.211 -0.298 -0.232 -0.397 -0.288 -0.602 0.746 0.607 0.659 0.468 0.990 1.000 0.998 0.780 0.603 0.507 0.999 0.859 0.847 0.701 0.750 0.605 0.429 0.273 -0.299 -0.395 0.563 0.430 0.308 0.486 1.000 0.999 0.924 0.911 0.309 0.950 0.582 0.685 0.409 0.470 0.054 0.150 0.141 -0.530 0.969 0.841

0.042 0.031 0.078 0.093 0.052 0.104 0.058 0.104 0.189 0.356 0.216 0.368 0.014 0.000 0.000 0.002 0.002 0.002 0.001 0.147 0.099 0.227 0.132 0.252 0.257 0.218 0.227 0.252 0.680 0.678 0.606 0.051 0.000 0.000 0.009 0.058 0.200 0.156 0.592 0.343 0.589 0.018 0.008 0.010 0.006 0.018 0.003 0.009

0.024 0.044 0.045 0.054 0.075 0.060 0.083 0.060 0.006 0.005 0.007 0.005 0.001 0.000 0.046 1.393 1.813 1.875 0.000 0.012 0.020 0.018 0.026 0.020 0.021 0.018 0.018 0.020 0.013 0.013 0.011 0.068 0.000 0.002 0.058 0.016 0.022 0.002 0.009 0.013 0.009 0.278 0.045 0.163 0.246 0.278 0.062 0.213

-0.027 -0.009 -0.037 -0.033 -0.001 -0.020 0.006 0.033 -0.027 -0.042 -0.029 -0.042 -0.067 -3.904 -3.616 -8.624 -8.816 -8.421 -0.057 -0.087 -0.073 -0.093 -0.075 -0.091 -0.080 -0.061 -0.018 -0.015 -0.044 -0.038 -0.031 -0.364 -0.315 -0.303 -0.637 -0.082 -0.078 -0.034 -0.040 -0.033 -0.034 -1.177 -0.397 -0.573 -0.396 -0.129 -1.187 -1.470

-0.005 -0.014 -0.012 -0.017 -0.033 -0.023 -0.041 -0.035 0.005 0.002 0.005 0.002 0.015 0.906 3.250 1.104 0.878 0.746 0.013 0.014 0.031 0.011 0.028 0.010 0.007 0.005 -0.006 -0.008 0.006 0.005 0.003 0.025 0.073 0.172 0.103 0.039 0.006 0.007 0.004 0.012 0.003 0.104 0.004 0.034 0.077 -0.140 0.241 0.224

25.75 15.47 20.71 18.46 12.50 16.39 11.61 12.82 2.72 4.48 2.99 5.17 4.36 2.28 2.07 8.15 10.26 11.42 3.65 8.22 5.62 10.57 6.56 11.91 14.46 17.21 15.04 13.38 19.53 22.63 25.96 8.81 2.12 2.02 5.13 5.01 17.01 6.60 12.68 7.41 15.34 12.50 36.97 18.30 12.13 10.16 5.77 8.44

37% 36% 35% 46% 45% 25% 26% 43% 33% 33% 38% 29% 31% 32% 33% 41% 20% 35% 32% 39% -

5564 62900 38000 7760 2000 43500 18000 12720 1200 5521 5000 40119 24637 17381 5626 9770 1060 3100 6030 840 -

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

4

Reporte de Opciones

Subyacente

Precio

Serie

Tipo

Strike

Vto

Dias al Vto

Prima

% Var

Prima Teórica

Dif.vs Prima

Estado

255.90 255.90 255.90 255.90 255.90 255.90 255.90 255.90

YPFC260.OC YPFC280.DI YPFC280.OC YPFC300.DI YPFC300.OC YPFV260.OC YPFV260.DI YPFV280.OC

Call Call Call Call Call Put Put Put

260.000 280.000 280.000 300.000 300.000 260.000 260.000 280.000

OC DI OC DI OC OC DI OC

42.00 105.00 42.00 105.00 42.00 42.00 105.00 42.00

0.00 4.25 0.00 0.00 2.25 0.00 10.00 0.00

0% 0% -17% -

12.23 14.56 4.57 8.04 1.32 8.35 9.19 20.07

2.425 -0.413 -0.081 -

OTM OTM OTM OTM OTM ITM ITM ITM

Valor Intrínseco

4.10 4.10 24.10

Cobertura Tasa Lanzam. % % 1.66%

11.3%

0.88%

18.3%

Delta

Gamma

Vega

Theta

Rho

Efecto Palanca

Volat. Implícita

Volumen

0.580 0.498 0.296 0.329 0.111 -0.420 -0.321 -0.704

0.015 0.010 0.013 0.009 0.007 0.015 0.009 0.013

0.343 0.550 0.304 0.499 0.166 0.343 0.494 0.304

-1.509 -1.105 -1.085 -0.869 -0.533 -0.230 -0.014 0.293

0.161 0.328 0.084 0.221 0.032 -0.136 -0.265 -0.236

12.14 8.76 16.59 10.48 21.46 12.87 8.93 8.97

10% 34% 31% -

1275 900 11400 -

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

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]