Reporte de Opciones

Flavia Matsuda Analista Cuantitativo @FlaviMatsuda [email protected]

miércoles, 16 de marzo de 2016 Subyacente

Precio

Serie

Tipo

Strike

Vto

Dias al Vto

Prima

% Var

Prima Teórica

Dif.vs Prima

Estado

ALUA

9.90 9.90 9.90 9.90 9.90 9.90 9.90 9.90 9.90 9.90 9.90 9.90 36.85 36.85 36.85 36.85 36.85 36.85 36.85 36.85 36.85 36.85 36.85 36.85 36.85 36.85 36.85 36.85 36.85 36.85 36.85 36.85 36.85 36.85 36.85 36.85 36.85 36.85 36.85 36.85 36.85

ALUC5.786A ALUC5.80JU ALUC5.80AG ALUC7.60AB ALUC9.40AB ALUC9.40JU ALUC10.3AB ALUC10.3JU ALUC10.75A ALUC10.75J ALUC11.2JU ALUC12.5AB PBRC18.4AB PBRC18.4JU PBRC18.4AG PBRC22.4AB PBRC22.4JU PBRC22.4AG PBRC26.4AB PBRC26.4JU PBRC26.4AG PBRC30.4AB PBRC30.4JU PBRC30.4AG PBRC34.4AB PBRC34.4JU PBRC34.4AG PBRC38.4AB PBRC38.4JU PBRC38.4AG PBRC42.4AB PBRC42.4JU PBRC42.4AG PBRC46.4AB PBRC46.4JU PBRC46.4AG PBRC50.0AB PBRC50.4JU PBRC54.4AB PBRC54.4JU PBRC58.4AB

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

5.780 5.800 5.800 7.600 9.400 9.400 10.300 10.300 10.700 10.700 11.200 12.500 18.400 18.400 18.400 22.400 22.400 22.400 26.400 26.400 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 50.000 50.400 54.400 54.400 58.400

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

29.00 92.00 155.00 29.00 29.00 92.00 29.00 92.00 29.00 92.00 92.00 29.00 29.00 92.00 155.00 29.00 92.00 155.00 29.00 92.00 155.00 29.00 92.00 155.00 29.00 92.00 155.00 29.00 92.00 155.00 29.00 92.00 155.00 29.00 92.00 155.00 29.00 92.00 29.00 92.00 29.00

4.10 4.78 0.00 2.45 1.30 1.40 0.58 0.00 0.00 1.15 0.00 0.00 0.00 0.00 22.00 14.00 16.00 0.00 10.85 0.00 0.00 8.10 0.00 0.00 4.70 6.25 0.00 2.80 5.00 0.00 1.40 2.70 4.50 0.76 2.55 0.00 0.41 1.05 0.35 1.20 0.20

5% -1% 12% -13% 0% 0% 35% -12% 8% 14% 25% 27% 27% -4% 35% -25% 17% -10% 0% 6% -2% -18% -65% -42% -14% 0%

4.25 4.50 4.77 2.48 0.95 1.57 0.46 1.08 0.31 0.91 0.72 0.04 18.87 19.87 20.93 15.00 16.48 17.93 11.28 13.41 15.24 7.94 10.74 12.89 5.23 8.50 10.86 3.23 6.65 9.13 1.89 5.17 7.67 1.05 4.00 6.44 0.60 3.08 0.29 2.36 0.15

0.037 -0.058 0.012 -0.272 0.121 -0.212 -0.212 -0.049 0.071 0.030 0.039 -0.019 0.113 0.359 0.154 0.330 0.349 0.915 0.705 0.385 0.567 0.467 1.930 -0.161 0.970 -0.254

ITM ITM ITM ITM ITM ITM OTM OTM OTM 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

APBR

Valor Intrínseco

Cobertura %

Tasa Lanzam. %

4.12 4.10 4.10 2.30 0.50 0.50

41.41% 48.28%

-0.3% 13.3%

24.75% 13.13% 14.14% 5.86%

2.0% 9.3% 10.6% 10.5%

11.62%

22.3%

59.70% 37.99% 43.42%

23.9% -2.0% 7.4%

29.44%

1.5%

21.98%

5.7%

12.75% 16.96%

7.0% 12.4%

7.60% 13.57%

12.8% 20.6%

3.80% 7.33% 12.21% 2.06% 6.92%

19.6% 24.2% 31.1% 28.6% 35.3%

1.11% 2.85% 0.95% 3.26% 0.54%

37.2% 40.8% 49.0% 52.6% 59.3%

18.45 18.45 18.45 14.45 14.45 14.45 10.45 10.45 10.45 6.45 6.45 6.45 2.45 2.45 2.45

Delta

Gamma

Vega

Theta

Rho

Efecto Palanca

Volat. Implícita

Volumen

1.000 0.996 0.989 0.986 0.734 0.739 0.478 0.600 0.367 0.537 0.460 0.068 0.999 0.978 0.961 0.989 0.940 0.919 0.946 0.879 0.865 0.845 0.798 0.801 0.692 0.707 0.732 0.518 0.612 0.662 0.357 0.520 0.594 0.229 0.435 0.529 0.146 0.360 0.080 0.295 0.045

0.000 0.005 0.010 0.026 0.247 0.139 0.299 0.165 0.283 0.169 0.169 0.098 0.000 0.003 0.004 0.003 0.008 0.007 0.012 0.013 0.011 0.027 0.018 0.014 0.040 0.022 0.016 0.045 0.025 0.018 0.042 0.026 0.019 0.034 0.025 0.020 0.026 0.024 0.017 0.022 0.011

0.000 0.001 0.002 0.001 0.009 0.016 0.011 0.019 0.011 0.020 0.020 0.004 0.000 0.010 0.020 0.003 0.022 0.036 0.012 0.037 0.052 0.025 0.052 0.067 0.037 0.064 0.079 0.042 0.071 0.088 0.039 0.074 0.093 0.032 0.073 0.096 0.024 0.070 0.016 0.064 0.010

-0.030 -0.030 -0.029 -0.045 -0.085 -0.060 -0.085 -0.060 -0.076 -0.059 -0.056 -0.024 -0.100 -0.118 -0.116 -0.146 -0.168 -0.154 -0.241 -0.221 -0.188 -0.371 -0.266 -0.216 -0.473 -0.297 -0.236 -0.497 -0.311 -0.248 -0.446 -0.309 -0.252 -0.353 -0.296 -0.251 -0.263 -0.274 -0.168 -0.248 -0.105

0.005 0.014 0.021 0.006 0.005 0.015 0.004 0.012 0.003 0.011 0.010 0.001 0.015 0.041 0.062 0.018 0.046 0.068 0.019 0.048 0.071 0.019 0.048 0.071 0.017 0.045 0.069 0.013 0.040 0.065 0.009 0.036 0.061 0.006 0.031 0.056 0.004 0.026 0.002 0.022 0.001

2.33 2.19 2.05 3.94 7.68 4.66 10.35 5.49 11.65 5.87 6.35 17.81 1.95 1.81 1.69 2.43 2.10 1.89 3.09 2.41 2.09 3.92 2.74 2.29 4.88 3.06 2.48 5.91 3.39 2.67 6.96 3.70 2.85 8.02 4.01 3.03 8.95 4.31 10.06 4.60 11.04

50% 50% 50% 82% 36% 58% 59% 50% 50% 38% 50% 90% 69% 48% 74% 61% 71% 51% 50% 74% 64% 75% 52% 87% 64% 89%

1321575 514014 8575 650 17400 21511 10350 17600 277115 17596 232129 390286 1915165 6750 1846432 2850 956218 18875 6300 310913 2550 131365 4406 490 2010 1960

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

Reporte de Opciones

Subyacente

BHIP BMA

CECO2

COME

EDN

Precio

Serie

Tipo

Strike

Vto

Dias al Vto

Prima

% Var

Prima Teórica

Dif.vs Prima

Estado

36.85 36.85 36.85 36.85 36.85 36.85 36.85 36.85 36.85 36.85 36.85 6.37 6.37 97.85 97.85 97.85 4.70 4.70 4.70 4.70 3.14 3.14 3.14 3.14 3.14 3.14 3.14 3.14 3.14 3.14 3.14 3.14 3.14 3.14 3.14 3.14 3.14 3.14 3.14 3.14 3.14 3.14 11.50 11.50 11.50 11.50 11.50

PBRC58.4JU PBRC62.4AG PBRC74.4AB PBRV18.4AB PBRV22.4AB PBRV26.4AB PBRV30.4AB PBRV34.4AB PBRV34.4JU PBRV38.4AB PBRV42.4AB BHIC6.05JU BHIC6.65AB BMAC84.0AB BMAC92.0AB BMAC108.AB CECC4.00AB CECC4.60AB CECC5.00AB CECC5.00JU COMC2.00AB COMC2.00JU COMC2.00AG COMC2.60AB COMC2.60JU COMC3.00AB COMC3.00JU COMC3.00AG COMC3.15AB COMC3.15JU COMC3.30AB COMC3.30JU COMC3.45AB COMC3.45JU COMC3.60AB COMC3.60JU COMC3.75AB COMC3.90AB COMC4.05AB COMC4.05JU COMC4.20AB COMC4.90AB EDNC11.2AB EDNC11.2JU EDNC12.7AB EDNC14.5AB EDNV9.15AB

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

58.400 62.400 74.400 18.400 22.400 26.400 30.400 34.400 34.400 38.400 42.400 6.050 6.650 84.000 92.000 108.000 4.000 4.600 5.000 5.000 2.000 2.000 2.000 2.600 2.600 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 4.050 4.050 4.200 4.900 11.200 11.200 12.700 14.500 9.150

JU AG AB AB AB AB AB AB JU AB AB JU AB AB AB AB AB AB AB JU AB JU AG AB JU AB JU AG AB JU AB JU AB JU AB JU AB AB AB JU AB AB AB JU AB AB AB

92.00 155.00 29.00 29.00 29.00 29.00 29.00 29.00 92.00 29.00 29.00 92.00 29.00 29.00 29.00 29.00 29.00 29.00 29.00 92.00 29.00 92.00 155.00 29.00 92.00 29.00 92.00 155.00 29.00 92.00 29.00 92.00 29.00 92.00 29.00 92.00 29.00 29.00 29.00 92.00 29.00 29.00 29.00 92.00 29.00 29.00 29.00

0.00 0.00 0.07 0.08 0.10 0.30 0.70 1.65 0.00 3.50 5.60 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 1.14 1.20 0.00 0.00 0.00 0.31 0.00 0.00 0.20 0.00 0.15 0.00 0.11 0.30 0.08 0.00 0.06 0.05 0.04 0.00 0.02 0.02 0.00 0.00 0.55 0.00 0.00

-22% -20% -33% -25% -42% -37% -29% -20% -1% -4% 15% 23% 0% 12% 11% 4% 3% 14% 22% 0% 0% 38% -

1.81 3.22 0.01 0.00 0.04 0.22 0.80 2.00 3.67 3.90 6.47 1.04 0.31 16.21 9.76 2.20 0.81 0.36 0.17 0.46 1.19 1.28 1.37 0.60 0.74 0.26 0.44 0.58 0.17 0.35 0.10 0.27 0.05 0.20 0.03 0.15 0.01 0.01 0.00 0.06 0.00 0.00 0.98 1.76 0.35 0.07 0.03

-0.877 -0.969 -0.635 -0.251 0.144 0.209 0.116 0.155 0.040 0.065 -0.163 -0.183 -0.327 -0.502 -0.319 -0.671 -0.802 -0.893 -0.947 -0.962 -1.000 -0.372 -

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

Valor Intrínseco

Cobertura %

Tasa Lanzam. %

0.19%

102.3%

36.31% 38.22%

0.0% 3.1%

9.87%

6.0%

6.46%

7.3%

4.62%

10.2%

3.38% 9.55% 2.55%

13.7% 21.5% 17.6%

1.94% 1.53% 1.24%

21.8% 26.1% 30.6%

0.64% 0.64%

34.6% 57.1%

4.78%

16.0%

1.55 5.55 0.32 13.85 5.85 0.70 0.10

1.14 1.14 1.14 0.54 0.54 0.14 0.14 0.14

0.30 0.30

Delta

Gamma

Vega

Theta

Rho

Efecto Palanca

Volat. Implícita

Volumen

0.240 0.320 0.003 -0.001 -0.011 -0.054 -0.155 -0.308 -0.293 -0.482 -0.643 0.731 0.473 0.926 0.767 0.298 0.925 0.655 0.413 0.563 1.000 0.998 0.993 0.979 0.930 0.757 0.763 0.788 0.595 0.676 0.423 0.583 0.271 0.490 0.157 0.401 0.082 0.040 0.017 0.190 0.007 0.000 0.658 0.693 0.331 0.092 -0.039

0.020 0.018 0.001 0.000 0.003 0.012 0.027 0.040 0.022 0.045 0.042 0.206 0.437 0.011 0.025 0.028 0.224 0.583 0.616 0.354 0.000 0.011 0.025 0.150 0.227 0.932 0.522 0.378 1.154 0.607 1.165 0.660 0.985 0.674 0.714 0.653 0.452 0.254 0.128 0.459 0.059 0.001 0.214 0.116 0.212 0.097 0.049

0.058 0.086 0.001 0.000 0.003 0.012 0.025 0.037 0.064 0.042 0.039 0.011 0.007 0.040 0.086 0.097 0.002 0.005 0.005 0.009 0.000 0.000 0.000 0.000 0.002 0.003 0.005 0.006 0.003 0.006 0.004 0.006 0.003 0.006 0.002 0.006 0.001 0.001 0.000 0.004 0.000 0.000 0.012 0.020 0.012 0.005 0.003

-0.220 -0.208 -0.011 -0.003 -0.028 -0.102 -0.211 -0.292 -0.124 -0.295 -0.223 -0.039 -0.057 -0.605 -0.797 -0.649 -0.029 -0.042 -0.038 -0.028 -0.011 -0.010 -0.010 -0.015 -0.015 -0.024 -0.017 -0.015 -0.024 -0.018 -0.022 -0.017 -0.017 -0.016 -0.012 -0.015 -0.007 -0.004 -0.002 -0.009 -0.001 0.000 -0.109 -0.073 -0.091 -0.038 -0.014

0.018 0.037 0.000 0.000 0.000 -0.002 -0.005 -0.011 -0.037 -0.018 -0.025 0.009 0.002 0.061 0.054 0.022 0.003 0.002 0.001 0.006 0.002 0.005 0.007 0.002 0.006 0.002 0.005 0.008 0.001 0.005 0.001 0.004 0.001 0.003 0.000 0.003 0.000 0.000 0.000 0.001 0.000 0.000 0.005 0.016 0.003 0.001 0.000

4.87 3.66 14.56 14.14 11.22 8.93 7.12 5.68 2.95 4.55 3.66 4.47 9.84 5.59 7.69 13.23 5.34 8.49 11.10 5.71 2.65 2.45 2.28 5.11 3.95 9.15 5.47 4.24 11.25 6.13 13.59 6.82 16.10 7.53 18.72 8.26 21.39 24.09 26.79 10.50 29.47 41.43 7.72 4.53 11.03 15.30 15.81

50% 50% 98% 90% 80% 74% 74% 61% 50% 50% 54% 48% 51% 54% 52% 58% 61% 64% 68% 63% 89% 69% -

1020 800 780 13110 48047 113236 98130 24840 41160 600 227562 580124 745405 467543 12990 304000 106413 34952 17543 452 1320 5055 -

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

2

Reporte de Opciones

Subyacente

ERAR

FRAN

GGAL

Precio

Serie

Tipo

Strike

Vto

Dias al Vto

Prima

% Var

Prima Teórica

Dif.vs Prima

Estado

11.50 7.42 7.42 7.42 7.42 7.42 7.42 7.42 7.42 7.42 7.42 7.42 7.42 7.42 7.42 7.42 7.42 104.00 104.00 104.00 104.00 42.65 42.65 42.65 42.65 42.65 42.65 42.65 42.65 42.65 42.65 42.65 42.65 42.65 42.65 42.65 42.65 42.65 42.65 42.65 42.65 42.65 42.65 42.65 42.65 42.65 42.65

EDNV9.70AB ERAC5.12AB ERAC5.12JU ERAC6.12AB ERAC6.87AB ERAC7.12AB ERAC7.12JU ERAC7.37AB ERAC7.62AB ERAC8.12AB ERAC8.12JU ERAC8.70AB ERAC9.10AB ERAC9.50AB ERAC9.90AB ERAV6.87AB ERAV7.62AB FRAC64.0AB FRAC74.0AB FRAC96.0AB FRAC120.AB GFGC31.0AB GFGC35.0AB GFGC36.0AB GFGC37.0AB GFGC38.0AB GFGC39.0AB GFGC40.0AB GFGC41.0AB GFGC42.0MA GFGC42.0AB GFGC43.0AB GFGC44.0AB GFGC45.0AB GFGC45.0JU GFGC46.0AB GFGC47.0AB GFGC48.0AB GFGC49.0AB GFGC50.0AB GFGC50.0JU GFGC51.0AB GFGC52.0AB GFGC53.0AB GFGC55.0AB GFGC55.0JU GFGV11.0AB

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

9.700 5.120 5.120 6.120 6.870 7.120 7.120 7.370 7.620 8.120 8.120 8.700 9.100 9.500 9.900 6.870 7.620 64.000 74.000 96.000 120.000 31.000 35.000 36.000 37.000 38.000 39.000 40.000 41.000 42.000 42.000 43.000 44.000 45.000 45.000 46.000 47.000 48.000 49.000 50.000 50.000 51.000 52.000 53.000 55.000 55.000 11.000

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

29.00 29.00 92.00 29.00 29.00 29.00 92.00 29.00 29.00 29.00 92.00 29.00 29.00 29.00 29.00 29.00 29.00 29.00 29.00 29.00 29.00 29.00 29.00 29.00 29.00 29.00 29.00 29.00 29.00 1.00 29.00 29.00 29.00 29.00 92.00 29.00 29.00 29.00 29.00 29.00 92.00 29.00 29.00 29.00 29.00 92.00 29.00

0.00 0.00 0.00 1.64 0.00 0.70 0.00 0.59 0.00 0.25 0.45 0.00 0.00 0.05 0.00 0.00 0.00 0.00 0.00 12.00 0.00 12.50 8.00 0.00 6.80 0.00 0.00 4.50 3.41 1.50 3.15 2.80 2.35 1.80 3.90 1.50 1.00 0.95 0.70 0.55 2.16 0.40 0.25 0.00 0.22 0.00 0.04

2% 17% 7% 67% 0% 125% -33% -14% -2% -3% 18% 14% 0% 36% 43% 38% 38% 3% 43% 27% 44% 27% 45% -10% 33% 0% 47% 0%

0.07 2.42 2.67 1.45 0.81 0.64 1.10 0.49 0.36 0.18 0.60 0.07 0.03 0.02 0.01 0.11 0.39 41.46 31.71 12.06 1.69 12.36 8.47 7.52 6.59 5.70 4.84 4.04 3.31 0.90 2.66 2.09 1.61 1.22 3.49 0.90 0.65 0.46 0.32 0.21 1.68 0.14 0.09 0.06 0.02 0.72 0.00

-0.113 -0.087 -0.174 -0.272 0.323 -0.647 0.005 -0.011 0.059 -0.030 -0.102 -0.029 -0.401 -0.155 -0.252 -0.314 -0.324 -0.106 -0.402 -0.352 -0.518 -0.547 -0.609 -0.224 -0.643 -0.627 -0.895 -1.000

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

Valor Intrínseco 2.30 2.30 1.30 0.55 0.30 0.30 0.05

0.20 40.00 30.00 8.00 11.65 7.65 6.65 5.65 4.65 3.65 2.65 1.65 0.65 0.65

Cobertura %

Tasa Lanzam. %

22.10%

5.9%

9.43%

6.0%

7.95%

7.9%

3.37% 6.06%

13.2% 16.5%

0.61%

28.8%

11.54%

4.3%

29.31% 18.76%

2.8% 1.0%

15.94%

3.2%

10.55% 8.00% 3.52% 7.39% 6.57% 5.51% 4.22% 9.14% 3.52% 2.34% 2.23% 1.64% 1.29% 5.06% 0.94% 0.59%

4.8% 4.5% 2.1% 6.3% 7.9% 9.2% 10.2% 16.1% 11.8% 12.8% 15.1% 16.8% 18.8% 23.5% 20.7% 22.6%

0.52%

29.6%

Delta

Gamma

Vega

Theta

Rho

Efecto Palanca

Volat. Implícita

Volumen

-0.085 0.999 0.982 0.962 0.804 0.717 0.732 0.618 0.514 0.320 0.511 0.155 0.085 0.043 0.021 -0.196 -0.486 1.000 0.996 0.789 0.217 1.000 0.985 0.971 0.949 0.916 0.871 0.813 0.743 0.739 0.663 0.577 0.490 0.405 0.575 0.326 0.255 0.195 0.145 0.105 0.350 0.075 0.052 0.035 0.015 0.183 0.000

0.091 0.003 0.026 0.089 0.295 0.362 0.200 0.407 0.426 0.382 0.242 0.255 0.166 0.098 0.053 0.295 0.426 0.000 0.001 0.020 0.020 0.000 0.009 0.015 0.024 0.035 0.047 0.060 0.073 0.283 0.082 0.088 0.090 0.087 0.050 0.081 0.072 0.062 0.051 0.041 0.047 0.032 0.024 0.017 0.009 0.034 0.000

0.005 0.000 0.002 0.002 0.006 0.007 0.012 0.008 0.008 0.008 0.015 0.005 0.003 0.002 0.001 0.006 0.008 0.000 0.003 0.086 0.088 0.000 0.005 0.008 0.013 0.019 0.026 0.033 0.039 0.010 0.045 0.048 0.049 0.047 0.084 0.044 0.039 0.034 0.028 0.022 0.080 0.017 0.013 0.009 0.005 0.057 0.000

-0.025 -0.027 -0.028 -0.040 -0.058 -0.062 -0.044 -0.064 -0.062 -0.051 -0.042 -0.032 -0.020 -0.012 -0.006 -0.022 -0.022 -0.338 -0.407 -0.870 -0.613 -0.164 -0.200 -0.217 -0.237 -0.260 -0.283 -0.305 -0.320 -0.818 -0.328 -0.325 -0.311 -0.288 -0.229 -0.257 -0.222 -0.185 -0.150 -0.118 -0.181 -0.090 -0.066 -0.048 -0.023 -0.116 0.000

-0.001 0.004 0.012 0.005 0.004 0.004 0.011 0.003 0.003 0.002 0.008 0.001 0.000 0.000 0.000 -0.001 -0.003 0.051 0.059 0.058 0.017 0.025 0.028 0.028 0.028 0.027 0.027 0.025 0.023 0.002 0.021 0.019 0.016 0.013 0.054 0.011 0.008 0.006 0.005 0.004 0.034 0.003 0.002 0.001 0.001 0.018 0.000

13.77 3.07 2.73 4.91 7.32 8.32 4.96 9.41 10.57 13.03 6.37 16.05 18.17 20.30 22.41 13.44 9.32 2.51 3.27 6.81 13.31 3.45 4.96 5.51 6.14 6.86 7.68 8.58 9.56 35.10 10.63 11.76 12.95 14.20 7.04 15.49 16.81 18.16 19.53 20.92 8.92 22.31 23.72 25.12 27.92 10.86 127.69

91% 52% 57% 53% 34% 55% 48% 71% 50% 48% 49% 39% 89% 47% 51% 51% 49% 41% 50% 45% 49% 48% 48% 42% 48% 45% 54% 50%

19780 16450 3490 27700 1350 103 12000 125000 16780 18940 6840 24230 3650 117418 280960 508910 371345 25510 208541 156392 18451 16082 14335 432 5600 7425 4427 800

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

3

Reporte de Opciones

Subyacente

INDU

MIRG

MOLI PAMP

PESA

Precio

Serie

Tipo

Strike

Vto

Dias al Vto

Prima

% Var

Prima Teórica

Dif.vs Prima

Estado

42.65 42.65 42.65 42.65 42.65 42.65 42.65 42.65 42.65 42.65 3.15 3.15 3.15 1275.00 1275.00 1275.00 1275.00 1275.00 1275.00 1275.00 1275.00 1275.00 1275.00 1275.00 1275.00 82.00 12.30 12.30 12.30 12.30 12.30 12.30 12.30 12.30 12.30 12.30 12.30 12.30 12.30 12.30 12.30 12.30 12.30 9.45 9.45 9.45 9.45

GFGV31.0AB GFGV35.0AB GFGV38.0AB GFGV38.0JU GFGV39.0AB GFGV40.0AB GFGV42.0AB GFGV44.0AB GFGV46.0AB GFGV48.0AB INDC2.80JU INDC3.20AB INDC3.60AB MIRC800.JU MIRC800.AG MIRC860.AB MIRC940.AB MIRC980.AB MIRC1100.A MIRC1140.A MIRC1220.A MIRC1260.J MIRC1260.A MIRV700.AB MIRV800.JU MOLC84.0AB PAMC9.10AB PAMC9.10JU PAMC9.90AB PAMC10.7AB PAMC11.5AB PAMC11.5JU PAMC12.7AB PAMC12.7JU PAMC13.1AB PAMC13.1JU PAMC14.3MA PAMC14.3AB PAMC14.3JU PAMC14.7AB PAMC15.1AB PAMC15.5AB PAMV12.7AB PSAC9.55AB PSAC10.8AB PSAC11.2AB PSAV9.55AB

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

31.000 35.000 38.000 38.000 39.000 40.000 42.000 44.000 46.000 48.000 2.800 3.200 3.600 800.000 800.000 860.000 940.000 980.000 1100.000 1140.000 1220.000 1260.000 1260.000 700.000 800.000 84.000 9.100 9.100 9.900 10.700 11.500 11.500 12.700 12.700 13.100 13.100 14.300 14.300 14.300 14.700 15.100 15.500 12.700 9.550 10.800 11.200 9.550

AB AB AB JU AB AB AB AB AB AB JU AB AB JU AG AB AB AB .A .A .A .J .A AB JU AB AB JU AB AB AB JU AB JU AB JU MA AB JU AB AB AB AB AB AB AB AB

29.00 29.00 29.00 92.00 29.00 29.00 29.00 29.00 29.00 29.00 92.00 29.00 29.00 92.00 155.00 29.00 29.00 29.00 29.00 29.00 29.00 92.00 29.00 29.00 92.00 29.00 29.00 92.00 29.00 29.00 29.00 92.00 29.00 92.00 29.00 92.00 1.00 29.00 92.00 29.00 29.00 29.00 29.00 29.00 29.00 29.00 29.00

0.00 0.00 0.00 0.00 0.00 1.00 1.30 2.15 3.30 0.00 0.00 0.00 0.00 630.00 0.00 0.00 380.00 0.00 0.00 0.00 155.50 0.00 155.00 0.00 0.00 0.00 3.40 4.20 0.00 0.00 0.00 0.00 0.90 0.00 0.70 1.20 0.01 0.45 0.00 0.00 0.00 0.10 0.90 0.00 0.25 0.00 0.00

0% -27% -19% -25% 54% -10% 4% -26% 13% -2% 50% 75% 20% -99% 29% 0% -18% 0% -

0.00 0.02 0.18 0.57 0.30 0.48 1.05 1.96 3.20 4.71 0.59 0.15 0.03 533.41 573.79 434.90 357.84 320.12 214.26 182.77 127.68 195.48 104.53 0.00 3.14 4.35 3.42 3.92 2.66 1.96 1.36 2.17 0.68 1.52 0.52 1.34 0.00 0.21 0.90 0.15 0.11 0.08 0.79 0.49 0.10 0.05 0.37

-0.521 -0.191 -0.089 -0.031 -0.153 -0.058 -0.179 -0.326 0.005 -0.066 -0.241 -0.251 0.114 -0.999 -0.524 -0.238 -0.119 -0.601 -

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

Valor Intrínseco

Cobertura %

Tasa Lanzam. %

1.35 3.35 5.35 0.35

475.00 475.00 415.00 335.00 295.00 175.00 135.00 55.00 15.00 15.00

49.41%

24.0%

29.80%

5.0%

12.20%

9.0%

12.16%

12.5%

3.20 3.20 2.40 1.60 0.80 0.80

27.64% 34.15%

2.2% 12.3%

7.32%

11.4%

5.69% 9.76% 0.04% 3.66%

12.9% 18.0% 16.3% 20.7%

0.81%

27.0%

2.65%

17.4%

0.40

0.10

Delta

Gamma

Vega

Theta

Rho

Efecto Palanca

Volat. Implícita

Volumen

0.000 -0.015 -0.084 -0.133 -0.129 -0.187 -0.337 -0.510 -0.674 -0.805 0.855 0.548 0.177 0.979 0.962 0.996 0.982 0.968 0.872 0.820 0.690 0.668 0.617 0.000 -0.021 0.524 0.988 0.939 0.954 0.877 0.751 0.745 0.506 0.611 0.424 0.565 0.000 0.218 0.433 0.168 0.127 0.094 -0.494 0.566 0.180 0.109 -0.434

0.000 0.009 0.035 0.027 0.047 0.060 0.082 0.090 0.081 0.062 0.366 1.119 0.734 0.000 0.000 0.000 0.000 0.000 0.001 0.001 0.002 0.001 0.002 0.000 0.000 0.036 0.018 0.037 0.053 0.111 0.172 0.099 0.217 0.118 0.213 0.121 0.001 0.160 0.121 0.136 0.113 0.091 0.217 0.366 0.244 0.173 0.366

0.000 0.005 0.019 0.046 0.026 0.033 0.045 0.049 0.044 0.034 0.004 0.004 0.002 0.327 0.690 0.043 0.158 0.263 0.765 0.959 1.289 2.335 1.395 0.001 0.327 0.094 0.001 0.007 0.003 0.007 0.011 0.020 0.014 0.024 0.014 0.024 0.000 0.010 0.024 0.009 0.007 0.006 0.014 0.011 0.007 0.005 0.011

-0.001 -0.016 -0.060 -0.030 -0.078 -0.094 -0.106 -0.079 -0.015 0.067 -0.017 -0.025 -0.014 -4.545 -4.390 -4.781 -5.862 -6.657 -9.870 -10.961 -12.540 -8.497 -12.859 -0.004 -0.532 -0.719 -0.054 -0.056 -0.070 -0.091 -0.111 -0.077 -0.116 -0.079 -0.109 -0.078 0.000 -0.077 -0.072 -0.064 -0.052 -0.042 -0.049 -0.076 -0.042 -0.029 -0.025

0.000 -0.001 -0.003 -0.016 -0.005 -0.007 -0.013 -0.019 -0.026 -0.032 0.005 0.001 0.000 1.821 2.790 0.686 0.735 0.751 0.738 0.709 0.618 1.673 0.560 0.000 -0.077 0.032 0.007 0.019 0.007 0.007 0.006 0.018 0.005 0.015 0.004 0.014 0.000 0.002 0.011 0.002 0.001 0.001 -0.006 0.004 0.001 0.001 -0.004

35.77 26.13 20.10 9.95 18.32 16.65 13.65 11.11 8.99 7.29 4.53 11.33 17.34 2.34 2.14 2.92 3.50 3.85 5.19 5.72 6.89 4.36 7.52 26.06 8.59 9.88 3.56 2.94 4.40 5.49 6.81 4.23 9.11 4.96 9.94 5.20 111.93 12.53 5.95 13.41 14.29 15.18 7.66 10.98 17.07 19.15 11.09

51% 42% 40% 39% 50% 50% 78% 92% 50% 78% 68% 65% 47% 93% 73% 56% 60% 58% -

1000 13230 69138 37490 178000 78000 30550 15500 42930 42334 65435 77769 14900 9 10060 590 7319 4000 -

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

SAMI

60.90 60.90 60.90 4.00 54.00 54.00 6.30 17.50 6.90 6.90 6.90 6.90 6.90 176.00 176.00 176.00 176.00 176.00 176.00 176.00 176.00 176.00 176.00 176.00 176.00 176.00 244.50 244.50 244.50 244.50 244.50 244.50 244.50 244.50 244.50 244.50 244.50 244.50

SAMC50.0AB SAMC55.0AB SAMC55.0JU SEMC3.70AB TECC52.6AB TECC52.6JU TGNC7.50AB TGSC17.5AB TRAC6.10AB TRAC6.10JU TRAC7.00AB TRAC7.00JU TRAC7.90AB TS.C155.AB TS.C165.JU TS.C165.AB TS.C175.AB TS.C185.AB TS.C195.JU TS.C195.AB TS.C205.JU TS.C205.AB TS.V145.AB TS.V165.AB TS.V175.JU TS.V175.AB YPFC200.JU YPFC200.AB YPFC220.AB YPFC220.JU YPFC240.AB YPFC260.AB YPFC280.AB YPFC300.AB YPFC320.AB YPFV220.AB YPFV240.AB YPFV280.AB

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

50.000 55.000 55.000 3.700 52.600 52.600 7.500 17.500 6.100 6.100 7.000 7.000 7.900 155.000 165.000 165.000 175.000 185.000 195.000 195.000 205.000 205.000 145.000 165.000 175.000 175.000 200.000 200.000 220.000 220.000 240.000 260.000 280.000 300.000 320.000 220.000 240.000 280.000

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

29.00 29.00 92.00 29.00 29.00 92.00 29.00 29.00 29.00 92.00 29.00 92.00 29.00 29.00 92.00 29.00 29.00 29.00 92.00 29.00 92.00 29.00 29.00 29.00 92.00 29.00 92.00 29.00 29.00 92.00 29.00 29.00 29.00 29.00 29.00 29.00 29.00 29.00

12.10 7.00 10.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 6.00 6.00 3.00 0.00 1.57 0.00 0.00 0.00 0.00 0.00 0.00 40.00 0.00 28.00 12.00 5.00 3.50 1.25 3.90 0.00 38.00

1% -7% 0% 20% 0% -32% 26% -20% -20% 20% 0% -13% 0% -3% 280%

12.16 7.79 11.29 0.45 4.14 7.49 0.07 1.32 1.00 1.40 0.40 0.85 0.12 26.03 29.32 18.33 12.08 7.44 14.36 4.28 10.99 2.31 0.50 3.56 10.38 7.09 62.90 50.10 33.38 48.80 20.06 10.82 5.25 2.32 0.94 3.86 10.08 34.36

0.005 0.113 0.129 0.240 1.393 0.426 0.469 -0.165 -0.284 -0.099 0.050 -0.338 -0.249 -0.010 -0.096

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

SEMI TECO2 TGNO4 TGSU2 TRAN

TS

YPFD

Valor Intrínseco

Cobertura %

Tasa Lanzam. %

10.90 5.90 5.90 0.30 1.40 1.40

19.87% 11.49% 16.42%

2.5% 2.0% 8.1%

3.41% 3.41% 1.70%

8.8% 14.7% 12.7%

0.89%

17.5%

16.36%

7.6%

11.45% 4.91% 2.04% 1.43% 0.51%

10.9% 11.8% 16.9% 24.5% 31.6%

0.80 0.80

21.00 11.00 11.00 1.00

44.50 44.50 24.50 24.50 4.50

35.50

Delta

Gamma

Vega

Theta

Rho

Efecto Palanca

Volat. Implícita

Volumen

0.963 0.851 0.811 0.792 0.676 0.710 0.164 0.589 0.873 0.824 0.553 0.640 0.226 0.880 0.755 0.762 0.610 0.448 0.496 0.302 0.413 0.188 -0.048 -0.238 -0.329 -0.390 0.875 0.939 0.822 0.787 0.637 0.430 0.254 0.132 0.062 -0.178 -0.363 -0.746

0.010 0.030 0.020 0.529 0.053 0.029 0.273 0.139 0.221 0.156 0.419 0.225 0.319 0.008 0.007 0.013 0.016 0.017 0.009 0.015 0.009 0.011 0.004 0.013 0.009 0.016 0.003 0.003 0.007 0.004 0.010 0.011 0.009 0.006 0.003 0.007 0.010 0.009

0.014 0.041 0.083 0.003 0.056 0.093 0.004 0.020 0.004 0.009 0.008 0.013 0.006 0.101 0.279 0.156 0.194 0.200 0.354 0.176 0.346 0.136 0.050 0.156 0.321 0.194 0.254 0.084 0.183 0.359 0.263 0.275 0.224 0.150 0.085 0.183 0.263 0.224

-0.324 -0.449 -0.345 -0.033 -0.459 -0.320 -0.031 -0.176 -0.050 -0.039 -0.062 -0.043 -0.041 -1.251 -1.055 -1.485 -1.581 -1.486 -1.024 -1.235 -0.948 -0.915 -0.229 -0.616 -0.204 -0.660 -1.321 -1.490 -2.035 -1.491 -2.360 -2.214 -1.696 -1.090 -0.605 -0.877 -1.096 -0.222

0.038 0.036 0.097 0.002 0.027 0.079 0.001 0.007 0.004 0.011 0.003 0.009 0.001 0.106 0.264 0.095 0.078 0.059 0.186 0.040 0.157 0.025 -0.007 -0.037 -0.174 -0.062 0.385 0.148 0.138 0.366 0.111 0.078 0.047 0.025 0.012 -0.039 -0.081 -0.178

4.82 6.65 4.38 7.01 8.80 5.12 13.96 7.82 6.00 4.06 9.41 5.18 13.51 5.95 4.53 7.32 8.89 10.61 6.08 12.43 6.61 14.31 16.89 11.73 5.57 9.67 3.40 4.58 6.02 3.94 7.76 9.72 11.81 13.94 16.08 11.29 8.81 5.31

39% 50% 26% 40% 24% 40% 42% 85% 83% 57% 52% 60% 56% 53% 68%

2420 30900 35000 10600 6000 3000 1114 37000 9600 4800 5500 700 125 9278 3800

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]