Reporte de Opciones

Flavia Matsuda Analista Cuantitativo @FlaviMatsuda [email protected]

viernes, 13 de enero de 2017 Subyacente Precio AGRO ALUA

APBR

28.35 9.97 9.97 9.97 9.97 9.97 9.97 9.97 9.97 9.97 9.97 89.70 89.70 89.70 89.70 89.70 89.70 89.70 89.70 89.70 89.70 89.70 89.70 89.70 89.70 89.70 89.70 89.70 89.70 89.70 89.70 89.70 89.70 89.70 89.70 89.70 89.70 89.70 89.70 89.70 89.70

Serie

Tipo

Strike

Vto

Dias al Vto

Prima

% Var

Prima Teórica

Dif.vs Prima

Estado

AGRC22.0FE ALUC5.566F ALUC5.80AB ALUC8.266F ALUC8.486A ALUC9.386F ALUC9.836F ALUC10516F ALUC10966F ALUC12086F ALUV10516F PBRC18.4FE PBRC18.4AB PBRC18.4JU PBRC22.4JU PBRC26.4FE PBRC26.4AB PBRC30.4FE PBRC70.4AB PBRC74.4FE PBRC78.4FE PBRC78.4AB PBRC82.4FE PBRC86.4FE PBRC86.4AB PBRC90.4FE PBRC90.4AB PBRC94.4FE PBRC94.4AB PBRC98.4FE PBRC98.4AB PBRC102.FE PBRC106.FE PBRC110.FE PBRC110.AB PBRV18.4FE PBRV58.4FE PBRV58.4AB PBRV66.4FE PBRV70.4FE PBRV74.4FE

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

22.000 5.560 5.800 8.260 8.480 9.380 9.830 10.510 10.960 12.080 10.510 18.400 18.400 18.400 22.400 26.400 26.400 30.400 70.400 74.400 78.400 78.400 82.400 86.400 86.400 90.400 90.400 94.400 94.400 98.400 98.400 102.000 106.000 110.000 110.000 18.400 58.400 58.400 66.400 70.400 74.400

FE F AB F A F F F F F F FE AB JU JU FE AB FE AB FE FE AB FE FE AB FE AB FE AB FE AB FE FE FE AB FE FE AB FE FE FE

34.00 34.00 97.00 34.00 97.00 34.00 34.00 34.00 34.00 34.00 34.00 34.00 97.00 153.00 153.00 34.00 97.00 34.00 97.00 34.00 34.00 97.00 34.00 34.00 97.00 34.00 97.00 34.00 97.00 34.00 97.00 34.00 34.00 34.00 97.00 34.00 34.00 97.00 34.00 34.00 34.00

0.00 0.00 4.70 0.00 2.25 1.00 0.00 0.36 0.21 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 26.00 0.00 13.22 0.00 10.00 7.00 12.00 5.10 0.00 3.38 7.00 2.10 4.20 1.40 0.85 0.60 0.00 0.01 0.00 0.00 0.00 0.00 0.00

4% 4% 25% 6% -7% 4% -9% -12% -22% 0% -16% -18% -4% -22% 0% -24% -23% -14% -28% -

6.90 4.53 4.51 1.90 2.09 0.95 0.65 0.33 0.19 0.04 0.65 71.69 72.36 72.94 69.30 63.85 64.82 59.94 24.42 17.31 13.89 18.35 10.81 8.13 13.27 5.92 11.13 4.16 9.25 2.83 7.63 1.95 1.25 0.78 4.18 0.00 0.00 0.17 0.06 0.18 0.45

-0.041 -0.071 -0.055 -0.087 -0.091 -0.061 0.051 0.081 0.162 0.106 0.161 0.232 0.322 0.349 0.816 0.393 0.471 0.299 -1.000 -

ITM ITM ITM 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

Valor Intrínseco 6.35 4.41 4.17 1.71 1.49 0.59 0.14

0.54 71.30 71.30 71.30 67.30 63.30 63.30 59.30 19.30 15.30 11.30 11.30 7.30 3.30 3.30

Cobertura %

Tasa Lanzam. %

47.14%

10.1%

22.57% 10.03%

9.8% 4.6%

3.61% 2.14%

9.4% 12.3%

28.99%

10.5%

14.74%

2.5%

11.15% 7.80% 13.38% 5.69%

3.4% 4.5% 11.2% 6.9%

3.77% 7.80% 2.34% 4.68% 1.56% 0.95% 0.67%

9.4% 14.1% 12.3% 15.1% 15.5% 19.3% 23.5%

Delta

Gamma

Vega

Theta

Rho

Efecto Palanca

Volat. Implícita

Volumen

0.958 1.000 0.999 0.968 0.891 0.777 0.641 0.416 0.284 0.080 -0.584 1.000 1.000 1.000 1.000 1.000 1.000 1.000 0.909 0.929 0.869 0.817 0.784 0.680 0.696 0.565 0.630 0.450 0.563 0.343 0.497 0.260 0.183 0.125 0.325 0.000 -0.001 -0.019 -0.013 -0.033 -0.071

0.019 0.000 0.001 0.062 0.096 0.256 0.321 0.335 0.291 0.128 0.335 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.007 0.010 0.016 0.012 0.022 0.027 0.016 0.029 0.017 0.030 0.018 0.027 0.018 0.024 0.020 0.015 0.016 0.000 0.000 0.002 0.002 0.005 0.010

0.008 0.000 0.000 0.002 0.010 0.009 0.012 0.012 0.010 0.005 0.012 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.076 0.038 0.059 0.123 0.081 0.099 0.163 0.109 0.175 0.110 0.183 0.102 0.185 0.090 0.074 0.057 0.167 0.000 0.001 0.021 0.009 0.020 0.038

-0.128 -0.023 -0.023 -0.041 -0.042 -0.064 -0.068 -0.062 -0.051 -0.020 -0.018 -0.076 -0.074 -0.071 -0.087 -0.110 -0.106 -0.126 -0.374 -0.462 -0.557 -0.445 -0.645 -0.703 -0.488 -0.717 -0.495 -0.683 -0.490 -0.611 -0.476 -0.524 -0.420 -0.320 -0.394 0.000 -0.004 -0.029 -0.039 -0.085 -0.152

0.019 0.005 0.015 0.007 0.018 0.007 0.006 0.004 0.003 0.001 -0.006 0.017 0.047 0.071 0.086 0.025 0.067 0.029 0.153 0.063 0.061 0.147 0.057 0.051 0.132 0.043 0.122 0.035 0.111 0.027 0.099 0.020 0.015 0.010 0.067 0.000 0.000 -0.005 -0.001 -0.003 -0.007

3.94 2.20 2.21 5.08 4.25 8.20 9.84 12.63 14.61 19.80 8.99 1.25 1.24 1.23 1.29 1.40 1.38 1.50 3.34 4.82 5.61 3.99 6.51 7.50 4.71 8.57 5.08 9.70 5.46 10.87 5.84 11.94 13.16 14.38 6.97 72.85 23.29 10.10 18.34 16.19 14.25

96% 52% 43% 40% 39% 65% 34% 38% 36% 40% 41% 41% 36% 41% 30% 42% 42% 45% 50% -

474180 450 29500 20570 10261 5200 352096 339225 963314 4800 2901534 1855212 4200 123198 21000 327826 44312 27560 260 -

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

Reporte de Opciones

Subyacente Precio

BHIP

BOLT BRIO CAPX

CECO2

CELU CGPA2 COME

CRES

89.70 89.70 89.70 89.70 89.70 6.56 6.56 6.56 6.56 4.90 29.70 33.40 33.40 33.40 12.80 12.80 12.80 16.60 16.60 14.20 14.20 2.96 2.96 2.96 2.96 2.96 2.96 2.96 2.96 2.96 2.96 2.96 2.96 2.96 2.96 2.96 2.96 2.96 2.96 2.96 2.96 26.60 26.60 26.60 26.60 26.60 26.60

Serie

Tipo

Strike

Vto

Dias al Vto

Prima

% Var

Prima Teórica

Dif.vs Prima

Estado

PBRV78.4FE PBRV82.4FE PBRV86.4FE PBRV90.4FE PBRV94.4FE BHIC5.05FE BHIC5.85FE BHIC6.05FE BHIC6.65FE BOLC5.50FE BRIC30.0FE CAPC20.0FE CAPC22.0FE CAPC28.0FE CECC9.20FE CECC11.0FE CECC11.5FE CELC16.0FE CELC19.0FE CGPC14.0FE CGPC14.0AB COMC2.00FE COMC2.00AB COMC2.20FE COMC2.60FE COMC2.60AB COMC2.80FE COMC3.00FE COMC3.00AB COMC3.15FE COMC3.15AB COMC3.30FE COMC3.30AB COMC3.45FE COMC3.45AB COMC3.60FE COMC3.75FE COMC4.05FE COMV2.80FE COMV3.00FE COMV3.15FE CREC23.0FE CREC24.0FE CREC25827F CREC26827F CREC27827F CREC28.0AB

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 Put Put Put Call Call Call Call Call Call

78.400 82.400 86.400 90.400 94.400 5.050 5.850 6.050 6.650 5.500 30.000 20.000 22.000 28.000 9.200 11.000 11.500 16.000 19.000 14.000 14.000 2.000 2.000 2.200 2.600 2.600 2.800 3.000 3.000 3.150 3.150 3.300 3.300 3.450 3.450 3.600 3.750 4.050 2.800 3.000 3.150 23.000 24.000 25.820 26.820 27.820 28.000

FE FE FE FE FE FE FE FE FE FE FE FE FE FE FE FE FE FE FE FE AB FE AB FE FE AB FE FE AB FE AB FE AB FE AB FE FE FE FE FE FE FE FE F F F AB

34.00 34.00 34.00 34.00 34.00 34.00 34.00 34.00 34.00 34.00 34.00 34.00 34.00 34.00 34.00 34.00 34.00 34.00 34.00 34.00 97.00 34.00 97.00 34.00 34.00 97.00 34.00 34.00 97.00 34.00 97.00 34.00 97.00 34.00 97.00 34.00 34.00 34.00 34.00 34.00 34.00 34.00 34.00 34.00 34.00 34.00 97.00

0.50 1.00 2.20 3.60 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 6.00 0.00 2.20 0.00 1.50 0.00 0.00 0.00 1.03 1.18 0.00 0.45 0.00 0.29 0.16 0.00 0.10 0.00 0.06 0.20 0.04 0.15 0.03 0.00 0.00 0.00 0.10 0.00 0.00 0.00 0.00 1.25 0.65 2.11

11% 11% 16% 16% 50% -4% -53% 4% 1% -10% 4% 0% 6% 0% 0% 0% 0% -4% 0% 19% 30% 0%

0.94 1.78 3.02 4.72 6.88 1.62 0.88 0.72 0.34 0.09 1.50 13.82 11.87 6.26 3.81 2.21 1.83 1.46 0.30 1.36 2.34 1.00 1.08 0.81 0.43 0.56 0.27 0.15 0.30 0.09 0.22 0.05 0.17 0.02 0.12 0.01 0.00 0.00 0.05 0.12 0.21 4.21 3.37 2.06 1.50 1.05 2.32

0.889 0.776 0.372 0.311 0.043 0.004 -0.025 -0.027 -0.087 -0.047 -0.073 -0.076 -0.093 -0.227 -0.166 -0.422 -0.190 -0.571 0.248 0.199 0.616 0.100

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

Valor Intrínseco

Cobertura %

Tasa Lanzam. %

0.70 4.70 1.51 0.71 0.51

13.40 11.40 5.40 3.60 1.80 1.30 0.60 0.20 0.20 0.96 0.96 0.76 0.36 0.36 0.16

17.96%

2.2%

17.19%

3.8%

9.04%

6.0%

34.80% 39.86%

3.6% 12.4%

15.20%

3.6%

9.80% 5.41%

4.9% 7.1%

3.21%

9.9%

2.03% 6.76% 1.35% 5.07% 0.84%

13.8% 19.6% 18.2% 22.8% 22.7%

4.70% 2.44% 7.93%

5.8% 7.2% 14.3%

0.04 0.19 3.60 2.60 0.78

Delta

Gamma

Vega

Theta

Rho

Efecto Palanca

Volat. Implícita

Volumen

-0.131 -0.216 -0.320 -0.435 -0.550 0.992 0.884 0.819 0.549 0.255 0.562 1.000 0.997 0.902 0.982 0.858 0.793 0.683 0.234 0.610 0.651 1.000 0.992 0.997 0.913 0.858 0.765 0.550 0.631 0.383 0.533 0.242 0.437 0.140 0.349 0.073 0.036 0.007 -0.235 -0.450 -0.617 0.918 0.854 0.681 0.566 0.450 0.557

0.016 0.022 0.027 0.029 0.030 0.027 0.249 0.335 0.504 0.503 0.117 0.000 0.002 0.032 0.020 0.100 0.127 0.150 0.129 0.138 0.079 0.002 0.036 0.023 0.461 0.391 0.898 1.156 0.658 1.115 0.694 0.913 0.687 0.648 0.646 0.407 0.229 0.055 0.898 1.156 1.115 0.045 0.069 0.107 0.118 0.119 0.071

0.059 0.081 0.099 0.109 0.110 0.000 0.004 0.005 0.008 0.005 0.036 0.000 0.001 0.018 0.002 0.009 0.011 0.018 0.016 0.017 0.027 0.000 0.000 0.000 0.001 0.003 0.003 0.004 0.006 0.003 0.006 0.003 0.006 0.002 0.006 0.001 0.001 0.000 0.003 0.004 0.003 0.012 0.019 0.029 0.032 0.033 0.054

-0.231 -0.302 -0.344 -0.341 -0.291 -0.022 -0.036 -0.040 -0.045 -0.025 -0.197 -0.084 -0.096 -0.196 -0.047 -0.088 -0.100 -0.126 -0.088 -0.138 -0.091 -0.008 -0.008 -0.009 -0.015 -0.013 -0.019 -0.020 -0.014 -0.018 -0.014 -0.014 -0.013 -0.009 -0.011 -0.006 -0.003 -0.001 -0.007 -0.007 -0.004 -0.136 -0.159 -0.187 -0.189 -0.178 -0.132

-0.012 -0.020 -0.030 -0.042 -0.054 0.005 0.005 0.004 0.003 0.001 0.015 0.019 0.021 0.023 0.008 0.008 0.008 0.009 0.003 0.007 0.019 0.002 0.005 0.002 0.002 0.005 0.002 0.001 0.004 0.001 0.004 0.001 0.003 0.000 0.002 0.000 0.000 0.000 -0.001 -0.001 -0.002 0.019 0.019 0.015 0.013 0.010 0.034

12.49 10.91 9.50 8.26 7.17 4.02 6.59 7.48 10.66 13.61 11.10 2.42 2.81 4.81 3.30 4.97 5.56 7.76 12.81 6.38 3.96 2.95 2.73 3.66 6.30 4.58 8.42 11.01 6.31 13.18 7.03 15.47 7.76 17.85 8.51 20.26 22.68 27.47 13.93 10.67 8.69 5.80 6.74 8.78 10.04 11.39 6.38

40% 38% 40% 38% 29% 56% 48% 97% 93% 49% 45% 41% 40% 42% 43% 45% 42% 46% 31% 33% 28% 37%

40475 65049 141599 121955 18000 15400 3000 64376 8256 4500 14190 93697 44131 35635 12300 1200 6000 1239 460 25880 42749 1751

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

2

Reporte de Opciones

Subyacente Precio

CTIO

EDN

ERAR

FRAN

GGAL

26.60 26.60 26.60 26.60 26.60 40.30 40.30 40.30 24.85 24.85 24.85 24.85 9.88 9.88 9.88 9.88 9.88 9.88 9.88 9.88 9.88 9.88 9.88 9.88 9.88 9.88 9.88 9.88 95.80 95.80 95.80 49.60 49.60 49.60 49.60 49.60 49.60 49.60 49.60 49.60 49.60 49.60 49.60 49.60 49.60 49.60 49.60

Serie

Tipo

Strike

Vto

Dias al Vto

Prima

% Var

Prima Teórica

Dif.vs Prima

Estado

CREC29827F CREC10827F CREV25827F CREV27827F CREV29827F CTOC38.0FE CTOC46.0FE CTOC46.0AB EDNC24.0FE EDNC25.0FE EDNC26.0FE EDNV18.1FE ERAC4.30FE ERAC4.30AB ERAC4.30JU ERAC6.20FE ERAC7.45FE ERAC8.30FE ERAC8.30AB ERAC8.70FE ERAC9.10FE ERAC9.50FE ERAC9.90FE ERAC10.3FE ERAC11.1FE ERAV7.70FE ERAV9.50FE ERAV9.90FE FRAC74.0FE FRAC84.0FE FRAC96.0FE GFGC37.0FE GFGC38.0FE GFGC39.0FE GFGC40.0FE GFGC41.0FE GFGC42.0FE GFGC42.0AB GFGC43.0FE GFGC43.0AB GFGC44.0FE GFGC45.0FE GFGC46.0FE GFGC47.0FE GFGC48.0FE GFGC48.0AB GFGC49.0FE

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

29.820 108.200 25.820 27.820 29.820 38.000 46.000 46.000 24.000 25.000 26.000 18.100 4.300 4.300 4.300 6.200 7.450 8.300 8.300 8.700 9.100 9.500 9.900 10.300 11.100 7.700 9.500 9.900 74.000 84.000 96.000 37.000 38.000 39.000 40.000 41.000 42.000 42.000 43.000 43.000 44.000 45.000 46.000 47.000 48.000 48.000 49.000

F F F F F FE FE AB FE FE FE FE FE AB JU FE FE FE AB FE FE FE FE FE FE FE FE FE FE FE FE FE FE FE FE FE FE AB FE AB FE FE FE FE FE AB FE

34.00 34.00 34.00 34.00 34.00 34.00 34.00 97.00 34.00 34.00 34.00 34.00 34.00 97.00 153.00 34.00 34.00 34.00 97.00 34.00 34.00 34.00 34.00 34.00 34.00 34.00 34.00 34.00 34.00 34.00 34.00 34.00 34.00 34.00 34.00 34.00 34.00 97.00 34.00 97.00 34.00 34.00 34.00 34.00 34.00 97.00 34.00

0.00 0.00 0.00 0.00 0.00 4.00 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 1.20 0.86 0.51 0.34 0.15 0.00 0.00 0.50 0.00 16.50 0.00 12.30 12.00 11.10 9.90 9.10 8.00 8.50 7.05 7.10 6.10 5.20 4.25 3.30 2.70 0.00 2.13

0% 26% 12% 11% 0% 3% 25% -6% 2% 6% 7% 5% 8% 7% 21% 6% 58% 9% 11% 12% 5% 10% 12%

0.46 0.00 0.74 1.69 3.06 3.78 0.47 2.00 2.18 1.63 1.18 0.01 5.67 5.83 5.96 3.81 2.59 1.77 2.15 1.41 1.08 0.79 0.55 0.36 0.13 0.00 0.21 0.36 23.37 13.90 5.06 13.38 12.40 11.43 10.46 9.50 8.55 10.40 7.63 9.58 6.73 5.87 5.05 4.30 3.60 5.97 2.97

-0.054 -0.102 -0.085 0.071 0.060 -0.105 -0.283 -0.157 0.088 0.034 0.030 0.057 0.044 0.069 0.223 0.082 0.349 0.103 0.129 0.189 0.302 0.333 0.393

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

Valor Intrínseco

1.22 3.22 2.30

Cobertura %

Tasa Lanzam. %

9.93%

4.7%

12.15% 8.70% 5.16% 3.44% 1.52%

4.8% 5.3% 5.7% 8.0% 14.1%

17.22%

5.9%

24.80% 24.19% 22.38% 19.96% 18.35% 16.13% 17.14% 14.21% 14.31% 12.30% 10.48% 8.57% 6.65% 5.44%

-0.8% 1.1% 1.3% 0.8% 1.2% 1.0% 2.2% 1.1% 1.2% 1.1% 1.4% 1.4% 1.5% 2.3%

4.30%

3.2%

0.85

5.58 5.58 5.58 3.68 2.43 1.58 1.58 1.18 0.78 0.38

0.02 21.80 11.80 12.60 11.60 10.60 9.60 8.60 7.60 7.60 6.60 6.60 5.60 4.60 3.60 2.60 1.60 1.60 0.60

Delta

Gamma

Vega

Theta

Rho

Efecto Palanca

Volat. Implícita

Volumen

0.248 0.000 -0.319 -0.550 -0.752 0.768 0.190 0.394 0.676 0.570 0.463 -0.008 1.000 1.000 1.000 1.000 0.997 0.961 0.906 0.912 0.832 0.721 0.589 0.452 0.219 -0.008 -0.279 -0.411 0.996 0.929 0.591 0.999 0.997 0.994 0.989 0.980 0.966 0.914 0.946 0.891 0.917 0.880 0.833 0.777 0.714 0.729 0.644

0.095 0.000 0.107 0.119 0.095 0.064 0.057 0.048 0.099 0.109 0.110 0.006 0.000 0.000 0.000 0.000 0.009 0.074 0.089 0.141 0.222 0.297 0.344 0.351 0.261 0.019 0.297 0.344 0.001 0.013 0.038 0.001 0.002 0.003 0.006 0.009 0.014 0.018 0.021 0.021 0.029 0.038 0.048 0.057 0.065 0.038 0.071

0.026 0.000 0.029 0.033 0.026 0.038 0.034 0.080 0.028 0.030 0.031 0.002 0.000 0.000 0.000 0.000 0.000 0.003 0.009 0.005 0.008 0.010 0.012 0.012 0.009 0.001 0.010 0.012 0.004 0.040 0.115 0.001 0.001 0.003 0.004 0.007 0.012 0.040 0.017 0.048 0.023 0.031 0.038 0.046 0.052 0.085 0.057

-0.132 0.000 -0.080 -0.063 -0.008 -0.261 -0.160 -0.169 -0.192 -0.195 -0.188 -0.007 -0.018 -0.017 -0.017 -0.026 -0.032 -0.042 -0.040 -0.050 -0.059 -0.065 -0.066 -0.062 -0.042 -0.002 -0.025 -0.025 -0.318 -0.459 -0.621 -0.156 -0.162 -0.169 -0.179 -0.191 -0.207 -0.198 -0.224 -0.205 -0.244 -0.265 -0.285 -0.302 -0.313 -0.232 -0.318

0.006 0.000 -0.009 -0.016 -0.022 0.026 0.007 0.037 0.014 0.012 0.010 0.000 0.004 0.011 0.017 0.006 0.007 0.007 0.018 0.007 0.007 0.006 0.005 0.004 0.002 0.000 -0.003 -0.004 0.069 0.072 0.049 0.035 0.036 0.036 0.037 0.038 0.038 0.094 0.038 0.093 0.037 0.036 0.035 0.033 0.030 0.081 0.028

14.25 89.93 11.47 8.68 6.54 8.19 16.17 7.94 7.71 8.72 9.78 19.77 1.74 1.70 1.66 2.59 3.81 5.36 4.17 6.39 7.63 9.06 10.65 12.38 16.12 25.61 13.31 11.33 4.08 6.40 11.21 3.70 3.99 4.31 4.69 5.12 5.60 4.36 6.15 4.61 6.76 7.44 8.18 8.98 9.84 6.06 10.75

44% 51% 44% 34% 35% 39% 49% 73% 50% 50% 50% 50% 50% 50% 50% 50% 50% 50% 50% 50% 50% 13% 19%

8400 25478 70595 66905 49737 23441 2500 9900 36900 90875 1650440 119693 541948 941440 28340 742160 21350 276965 304903 792708 1202382 853219 625413

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

3

Reporte de Opciones

Subyacente Precio

INDU

JMIN

LEDE METR MIRG

MOLI PAMP

49.60 49.60 49.60 49.60 49.60 49.60 49.60 49.60 49.60 49.60 49.60 49.60 49.60 49.60 49.60 49.60 49.60 49.60 49.60 49.60 49.60 49.60 3.55 3.55 3.55 3.55 3.55 37.75 37.75 37.75 37.75 37.75 37.75 17.50 14.60 357.95 357.95 357.95 357.95 357.95 96.20 96.20 26.00 26.00 26.00 26.00 26.00

Serie

Tipo

Strike

Vto

Dias al Vto

Prima

% Var

Prima Teórica

Dif.vs Prima

Estado

GFGC50.0FE GFGC50.0AB GFGC51.0FE GFGC52.0FE GFGC55.0FE GFGC55.0AB GFGV11.0FE GFGV11.0AB GFGV11.0JU GFGV35.0FE GFGV37.0FE GFGV40.0FE GFGV42.0FE GFGV42.0AB GFGV44.0FE GFGV44.0AB GFGV45.0FE GFGV45.0AB GFGV46.0FE GFGV47.0FE GFGV49.0FE GFGV50.0FE INDC3.20FE INDC3.60FE INDC3.60AB INDC4.00FE INDC4.00AB JMIC26.0FE JMIC29.0FE JMIC29.0AB JMIC36.0FE JMIC36.0AB JMIC37.0FE LEDC13.5FE METC10.8FE MIRC300.FE MIRC300.AB MIRC330.FE MIRC360.FE MIRC390.FE MOLC80.0FE MOLC92.0FE PAMC19.0FE PAMC19.7FE PAMC20.4FE PAMC21.1FE PAMC22.1FE

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

50.000 50.000 51.000 52.000 55.000 55.000 11.000 11.000 11.000 35.000 37.000 40.000 42.000 42.000 44.000 44.000 45.000 45.000 46.000 47.000 49.000 50.000 3.200 3.600 3.600 4.000 4.000 26.000 29.000 29.000 36.000 36.000 37.000 13.500 10.800 300.000 300.000 330.000 360.000 390.000 80.000 92.000 19.000 19.700 20.400 21.100 22.100

FE AB FE FE FE AB FE AB JU FE FE FE FE AB FE AB FE AB FE FE FE FE FE FE AB FE AB FE FE AB FE AB FE FE FE FE AB FE FE FE FE FE FE FE FE FE FE

34.00 97.00 34.00 34.00 34.00 97.00 34.00 97.00 153.00 34.00 34.00 34.00 34.00 97.00 34.00 97.00 34.00 97.00 34.00 34.00 34.00 34.00 34.00 34.00 97.00 34.00 97.00 34.00 34.00 97.00 34.00 97.00 34.00 34.00 34.00 34.00 97.00 34.00 34.00 34.00 34.00 34.00 34.00 34.00 34.00 34.00 34.00

1.59 4.00 1.22 0.90 0.40 1.30 0.02 0.00 0.00 0.11 0.19 0.32 0.45 0.55 0.52 0.00 0.75 1.50 1.00 1.25 1.80 0.00 0.00 0.00 0.00 0.00 0.00 11.26 0.00 0.00 3.00 0.00 2.35 0.00 0.00 0.00 85.00 0.00 15.00 7.00 25.00 10.00 6.75 0.00 5.50 4.90 3.95

14% 11% 21% 12% 12% -10% 15% 10% -37% -9% -10% -31% -35% -17% -12% -41% -22% -15% 30% -33% -27% -6% 15% -13% 0% 0% 7% 10% 24% 10%

2.42 4.79 1.94 1.53 0.68 2.57 0.00 0.00 0.00 0.00 0.00 0.02 0.07 0.37 0.21 0.65 0.32 0.83 0.49 0.71 1.34 1.77 0.44 0.17 0.35 0.05 0.18 12.30 9.41 10.77 3.62 5.74 3.01 4.30 4.04 69.24 89.16 47.27 30.22 18.14 17.98 7.78 7.40 6.72 6.04 5.38 4.45

0.520 0.198 0.587 0.697 0.698 0.976 -1.000 -0.998 -0.990 -0.936 -0.839 -0.321 -0.603 -0.568 -0.445 -0.512 -0.434 -0.254 0.092 0.206 0.283 0.049 1.015 1.592 -0.281 -0.222 0.097 0.099 0.098 0.127

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

Valor Intrínseco

Cobertura %

Tasa Lanzam. %

3.21% 8.06% 2.46% 1.81% 0.81% 2.62%

4.1% 9.6% 5.4% 6.8% 11.8% 13.9%

29.83%

-1.8%

7.95%

3.6%

6.23%

4.5%

23.75%

9.9%

4.19% 1.96% 25.99% 10.40% 25.96%

5.0% 11.1% 12.4% 6.7% -1.3%

21.15% 18.85% 15.19%

-0.5% 0.0% 0.2%

0.40 0.35

11.75 8.75 8.75 1.75 1.75 0.75 4.00 3.80 57.95 57.95 27.95

16.20 4.20 7.00 6.30 5.60 4.90 3.90

Delta

Gamma

Vega

Theta

Rho

Efecto Palanca

Volat. Implícita

Volumen

0.571 0.648 0.496 0.423 0.234 0.436 0.000 0.000 0.000 0.000 -0.001 -0.011 -0.034 -0.086 -0.083 -0.135 -0.120 -0.165 -0.167 -0.223 -0.356 -0.429 0.875 0.548 0.630 0.212 0.414 0.997 0.978 0.925 0.706 0.712 0.639 0.982 0.989 0.868 0.814 0.735 0.570 0.406 0.976 0.748 0.997 0.993 0.986 0.973 0.940

0.075 0.042 0.076 0.075 0.059 0.045 0.000 0.000 0.000 0.000 0.001 0.006 0.014 0.018 0.029 0.025 0.038 0.028 0.048 0.057 0.071 0.075 0.507 0.975 0.555 0.713 0.573 0.002 0.009 0.015 0.062 0.037 0.068 0.018 0.014 0.003 0.002 0.005 0.006 0.006 0.006 0.031 0.003 0.006 0.011 0.019 0.037

0.060 0.095 0.061 0.060 0.047 0.101 0.000 0.000 0.000 0.000 0.001 0.004 0.012 0.040 0.023 0.056 0.031 0.064 0.038 0.046 0.057 0.060 0.002 0.004 0.007 0.003 0.007 0.001 0.006 0.028 0.040 0.067 0.044 0.002 0.001 0.236 0.498 0.363 0.435 0.430 0.017 0.095 0.001 0.001 0.003 0.005 0.010

-0.316 -0.232 -0.305 -0.288 -0.207 -0.204 0.000 0.000 0.000 0.000 -0.002 -0.013 -0.032 -0.029 -0.062 -0.037 -0.078 -0.039 -0.094 -0.106 -0.115 -0.108 -0.020 -0.024 -0.017 -0.015 -0.015 -0.113 -0.146 -0.150 -0.289 -0.203 -0.297 -0.065 -0.050 -2.503 -1.968 -3.186 -3.458 -3.227 -0.381 -0.602 -0.081 -0.087 -0.095 -0.105 -0.123

0.025 0.073 0.022 0.019 0.010 0.051 0.000 0.000 0.000 0.000 0.000 -0.001 -0.002 -0.012 -0.004 -0.020 -0.006 -0.024 -0.008 -0.011 -0.018 -0.022 0.003 0.002 0.005 0.001 0.003 0.024 0.026 0.065 0.022 0.057 0.020 0.012 0.010 0.232 0.542 0.207 0.167 0.122 0.073 0.062 0.018 0.018 0.019 0.019 0.019

11.71 6.70 12.71 13.75 17.03 8.43 137.60 50.81 33.25 37.15 32.72 26.72 23.13 11.43 19.87 10.33 18.37 9.82 16.94 15.60 13.16 12.05 7.00 11.15 6.38 16.26 8.03 3.06 3.92 3.24 7.36 4.68 8.00 4.00 3.58 4.49 3.27 5.56 6.75 8.02 5.22 9.25 3.50 3.84 4.24 4.70 5.49

20% 26% 22% 24% 28% 21% 50% 65% 63% 57% 52% 38% 45% 46% 44% 46% 45% 42% 50% 31% 32% 54% 27% 36% 50% 56% 50% 50% 50% 50%

1363366 77190 464335 296836 98487 15360 1365 726 276 17519 12290 330 1040 22545 2500 41850 101271 113799 4504 3600 2350 17300 11070 22800 2500 4000 60525 15400 137224 60722

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

4

Reporte de Opciones

Subyacente Precio

PESA PETR

SAMI

TECO2

TGNO4 TGSU2 TRAN

TS

VALE

26.00 26.00 26.00 26.00 26.00 26.00 26.00 26.00 26.00 26.00 26.00 26.00 26.00 13.10 86.35 86.35 86.35 111.60 111.60 111.60 61.40 61.40 61.40 61.40 61.40 16.00 31.50 31.50 17.35 17.35 17.35 17.35 17.35 17.35 17.35 17.35 284.00 284.00 284.00 284.00 76.20 76.20 76.20 76.20 76.20 76.20

Serie

Tipo

Strike

Vto

Dias al Vto

Prima

% Var

Prima Teórica

Dif.vs Prima

Estado

PAMC23.1FE PAMC23.1AB PAMC24.1FE PAMC25.1FE PAMC25.1AB PAMC26.1FE PAMC26.1AB PAMC27.1FE PAMV11.5FE PAMV19.7FE PAMV20.4FE PAMV23.1FE PAMV24.1FE PSAC8.75FE PETC64.0FE PETC90.0FE PETC90.0AB SAMC80.0FE SAMC90.0FE SAMC100.FE TECC50.6FE TECC54.6FE TECC54.6AB TECC60.6FE TECC60.6AB TGNC9.50FE TGSC23.9FE TGSC25.9FE TRAC6.10FE TRAC11.0FE TRAC12.0FE TRAC13.0FE TRAC14.0FE TRAC16.0FE TRAC16.0AB TRAC17.0FE TS.C26699F TS.C277.FE TS.C293.FE TS.V277.FE VALC52.0FE VALC60.0FE VALC62.0FE VALC66.0FE VALC76.0FE VALC80.0FE

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

23.100 23.100 24.100 25.100 25.100 26.100 26.100 27.100 11.500 19.700 20.400 23.100 24.100 8.750 64.000 90.000 90.000 80.000 90.000 100.000 50.600 54.600 54.600 60.600 60.600 9.500 23.900 25.900 6.100 11.000 12.000 13.000 14.000 16.000 16.000 17.000 266.900 277.000 293.000 277.000 52.000 60.000 62.000 66.000 76.000 80.000

FE AB FE FE AB FE AB FE FE FE FE FE FE FE FE FE AB FE FE FE FE FE AB FE AB FE FE FE FE FE FE FE FE FE AB FE F FE FE FE FE FE FE FE FE FE

34.00 97.00 34.00 34.00 97.00 34.00 97.00 34.00 34.00 34.00 34.00 34.00 34.00 34.00 34.00 34.00 97.00 34.00 34.00 34.00 34.00 34.00 97.00 34.00 97.00 34.00 34.00 34.00 34.00 34.00 34.00 34.00 34.00 34.00 97.00 34.00 34.00 34.00 34.00 34.00 34.00 34.00 34.00 34.00 34.00 34.00

3.09 4.80 2.09 1.48 2.90 0.85 2.05 0.45 0.00 0.00 0.21 0.65 0.00 0.00 0.00 0.00 8.00 0.00 0.00 15.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 11.06 6.45 5.50 4.50 3.60 1.90 0.00 1.00 0.00 0.00 9.00 0.00 26.00 0.00 0.00 11.50 0.00 0.00

34% 20% 35% 40% 0% 31% 17% 0% 0% -19% -20% 0% -2% 13% 20% 30% 50% 58% 0% -10% 8% 5% -

3.58 4.76 2.78 2.09 3.43 1.50 2.86 1.04 0.00 0.01 0.02 0.19 0.38 4.55 23.71 3.66 8.14 33.55 24.61 16.86 11.87 8.06 10.38 3.27 5.97 6.70 8.11 6.19 11.38 6.58 5.60 4.63 3.68 1.97 2.85 1.30 26.40 19.41 10.89 6.59 25.31 17.71 15.91 12.51 5.84 4.02

0.158 -0.008 0.331 0.414 0.181 0.770 0.394 1.320 -0.922 -0.703 0.018 0.124 0.029 0.020 0.019 0.029 0.021 0.035 0.301 0.210 -0.026 0.088 -

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

Valor Intrínseco

Cobertura %

Tasa Lanzam. %

2.90 2.90 1.90 0.90 0.90

11.88% 18.46% 8.04% 5.67% 11.15% 3.27% 7.88% 1.73%

0.8% 9.0% 0.8% 2.3% 8.7% 3.8% 9.0% 6.1%

9.26%

14.9%

13.44%

3.5%

63.75% 37.18% 31.70% 25.94% 20.75% 10.95%

-3.0% 0.9% 1.3% 1.2% 1.8% 3.6%

5.76%

4.0%

3.17%

6.5%

34.12%

3.6%

15.09%

2.0%

4.35 22.35

31.60 21.60 11.60 10.80 6.80 6.80 0.80 0.80 6.50 7.60 5.60 11.25 6.35 5.35 4.35 3.35 1.35 1.35 0.35 17.10 7.00

24.20 16.20 14.20 10.20 0.20

Delta

Gamma

Vega

Theta

Rho

Efecto Palanca

Volat. Implícita

Volumen

0.883 0.832 0.802 0.698 0.713 0.580 0.645 0.459 0.000 -0.007 -0.014 -0.117 -0.198 0.984 0.995 0.463 0.576 0.970 0.902 0.776 0.994 0.951 0.903 0.671 0.718 1.000 0.995 0.970 1.000 1.000 0.999 0.992 0.967 0.798 0.771 0.648 0.796 0.685 0.485 -0.315 0.995 0.954 0.930 0.863 0.590 0.465

0.061 0.047 0.087 0.109 0.063 0.122 0.069 0.124 0.000 0.006 0.011 0.061 0.087 0.015 0.001 0.036 0.021 0.003 0.008 0.014 0.003 0.019 0.019 0.068 0.038 0.000 0.004 0.018 0.000 0.000 0.002 0.010 0.032 0.122 0.078 0.161 0.009 0.012 0.013 0.012 0.001 0.008 0.011 0.018 0.031 0.032

0.016 0.034 0.022 0.028 0.046 0.031 0.050 0.032 0.000 0.001 0.003 0.016 0.022 0.002 0.004 0.106 0.175 0.023 0.060 0.103 0.003 0.019 0.055 0.069 0.108 0.000 0.001 0.007 0.000 0.000 0.000 0.001 0.004 0.015 0.027 0.020 0.249 0.312 0.351 0.312 0.004 0.023 0.032 0.052 0.092 0.094

-0.145 -0.120 -0.166 -0.180 -0.129 -0.183 -0.130 -0.174 0.000 -0.005 -0.010 -0.049 -0.066 -0.046 -0.281 -0.596 -0.437 -0.467 -0.707 -0.958 -0.217 -0.267 -0.246 -0.352 -0.268 -0.040 -0.104 -0.129 -0.025 -0.046 -0.051 -0.059 -0.073 -0.116 -0.087 -0.128 -1.714 -1.830 -1.757 -0.679 -0.233 -0.354 -0.399 -0.498 -0.648 -0.626

0.019 0.045 0.017 0.015 0.041 0.013 0.037 0.010 0.000 0.000 0.000 -0.003 -0.005 0.008 0.060 0.035 0.112 0.072 0.073 0.067 0.047 0.048 0.121 0.036 0.102 0.009 0.022 0.023 0.006 0.010 0.011 0.012 0.013 0.011 0.028 0.010 0.191 0.168 0.122 -0.092 0.048 0.053 0.053 0.051 0.038 0.030

6.42 4.55 7.50 8.70 5.41 10.03 5.87 11.44 56.71 24.06 22.13 15.70 13.71 2.83 3.62 10.94 6.11 3.23 4.09 5.14 5.14 7.24 5.34 12.59 7.38 2.39 3.86 4.94 1.52 2.64 3.09 3.72 4.56 7.04 4.69 8.64 8.56 10.03 12.64 13.56 2.99 4.10 4.46 5.26 7.71 8.81

50% 41% 50% 14% 28% 19% 23% 21% 66% 63% 41% 44% 50% 50% 50% 50% 50% 39% 28% 29% 95% 50% -

119645 14755 389987 207501 26600 87904 17055 24030 4800 10400 800 5700 5530 9050 19250 39400 54695 60810 1000 4500 129200 19625 -

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

5

Reporte de Opciones

Subyacente Precio YPFD

333.00 333.00 333.00 333.00 333.00 333.00 333.00 333.00 333.00 333.00 333.00 333.00 333.00 333.00 333.00 333.00 333.00 333.00 333.00 333.00 333.00 333.00 333.00 333.00 333.00

Serie

Tipo

Strike

Vto

Dias al Vto

Prima

% Var

Prima Teórica

Dif.vs Prima

Estado

YPFC220.JU YPFC220.AB YPFC240.FE YPFC240.AB YPFC260.AB YPFC260.FE YPFC280.FE YPFC300.FE YPFC300.AB YPFC320.AB YPFC320.FE YPFC340.FE YPFC360.AB YPFC360.FE YPFC380.FE YPFC400.AB YPFC400.FE YPFV240.FE YPFV260.FE YPFV280.FE YPFV280.AB YPFV300.FE YPFV320.FE YPFV340.FE YPFV360.FE

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

220.000 220.000 240.000 240.000 260.000 260.000 280.000 300.000 300.000 320.000 320.000 340.000 360.000 360.000 380.000 400.000 400.000 240.000 260.000 280.000 280.000 300.000 320.000 340.000 360.000

JU AB FE AB AB FE FE FE AB AB FE FE AB FE FE AB FE FE FE FE AB FE FE FE FE

153.00 97.00 34.00 97.00 97.00 34.00 34.00 34.00 97.00 97.00 34.00 34.00 97.00 34.00 34.00 97.00 34.00 34.00 34.00 34.00 97.00 34.00 34.00 34.00 34.00

0.00 0.00 0.00 0.00 0.00 77.00 58.00 41.00 0.00 45.00 27.00 16.30 22.00 10.00 5.50 0.00 3.00 1.00 1.50 1.95 0.00 0.00 9.00 17.00 30.00

7% 7% 8% -2% 6% 2% 0% 10% 0% 16% 0% 0% -12% -25% -15% 0%

134.83 126.65 98.24 109.06 92.43 79.26 61.30 45.15 63.26 51.12 31.53 20.84 32.00 13.05 7.75 19.06 4.39 0.20 0.80 2.42 7.92 5.85 11.81 20.70 32.48

0.029 0.057 0.101 0.136 0.168 0.279 0.454 0.305 0.410 0.464 -0.803 -0.468 0.242 0.312 0.218 0.083

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

Valor Intrínseco 113.00 113.00 93.00 93.00 73.00 73.00 53.00 33.00 33.00 13.00 13.00

7.00 27.00

Cobertura %

Tasa Lanzam. %

23.12% 17.42% 12.31%

1.6% 1.8% 2.7%

13.51% 8.11% 4.89% 6.61% 3.00% 1.65%

11.1% 4.6% 7.4% 15.8% 11.5% 16.0%

0.90%

21.2%

Delta

Gamma

Vega

Theta

Rho

Efecto Palanca

Volat. Implícita

Volumen

0.956 0.974 0.989 0.946 0.904 0.964 0.907 0.811 0.775 0.695 0.680 0.532 0.524 0.388 0.264 0.366 0.169 -0.011 -0.036 -0.093 -0.154 -0.189 -0.320 -0.468 -0.612

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

0.200 0.105 0.029 0.189 0.295 0.082 0.172 0.279 0.517 0.604 0.369 0.410 0.687 0.395 0.337 0.649 0.260 0.029 0.082 0.172 0.409 0.279 0.369 0.410 0.395

-1.009 -1.028 -1.127 -1.216 -1.417 -1.441 -1.890 -2.366 -1.761 -1.857 -2.691 -2.737 -1.846 -2.491 -2.047 -1.609 -1.536 -0.130 -0.361 -0.727 -0.488 -1.119 -1.361 -1.323 -0.994

0.775 0.531 0.222 0.553 0.560 0.232 0.231 0.216 0.523 0.484 0.187 0.150 0.383 0.111 0.077 0.276 0.050 -0.004 -0.012 -0.032 -0.159 -0.066 -0.113 -0.169 -0.227

2.36 2.56 3.35 2.89 3.26 4.05 4.93 5.98 4.08 4.53 7.18 8.51 5.45 9.91 11.36 6.40 12.83 17.83 15.15 12.81 6.47 10.77 9.02 7.52 6.27

50% 50% 33% 40% 38% 39% 36% 43% 44% 45% 66% 58% 48% 43% 42% 44%

15400 112700 142600 70000 452605 945158 48000 139810 51100 25260 600 1350 585 1800 65100 30000

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

6

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. Tasa libre de riesgo: Se utiliza la tasa de caución a 7 días. Para ver su valor puede descargarse el Informe de Bonos y Tasas. 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.

Déjenos su feedback sobre este reporte

Alejandro Bianchi, CFA Gerente de Inversiones @aleebianchi fb.com/alejandro.emilio.bianchi

Flavia Matsuda Analista Cuantitativo @FlaviaMatsuda [email protected]

www.invertironline.com

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

@InvertirOnline

Ignacio Muneta Asesor Financiero (54 11) 4000 1400 [email protected]

InvertirOnline

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

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