This article available in Chinese version only

是「敵」亦是「友」的時間值 (一)

2019-12-13

投資者憧憬中美達成貿易談判,英國大選順利結束及中央經濟工作會議閉幕,一時間市場的不明朗消息好像一掃而空,彷彿「一天都光晒」,恒指一周升幅過千點,成它^補118日的下跌裂口。

短短三個交易日內急升逾千點,要數最具爆炸力的窩輪產品,是一些輕微價外的短期證,突然由仙輪急升,動輒數倍可謂「閒閒地」。究竟何解這些本身不值一毛的輪證產品,突然變得灸手可熱的寵兒?

那就要先了解一下窩輪的組成結構。眾所周知,窩輪是一種由期權衍生出來的投資工具,其價格很大程度受價外/價內程度、時間值以及引伸幅等因素影響。先不論說時間值及引伸波幅的變化,假設持有窩輪至到期結算,相關資產價格由價外變為價內的話,便有產生內在值,即資產價格與正股之間的差距。不過假若到期時未能變為價內的話,結算值便會為零,投資者有可能僧損失全部本金。因此,投資者在到期前買入一隻窩輪,其實是買入到期時有「內在值」的機會,投資者付出的「輪價」便是用來換取這個權利的代價。而隨時間消逝,無論相關資產在價外還是價內,這個權利的價值亦會因而減少,這便是我們說的「時間值」。

聽起來似簡單,但經常有投資者問,為何總是時間值的損耗「時多時少」?為何總是短期價外證才有爆炸升勢?

其實時間值損耗與到期日並不是直線的關係,而是一個向下「拗物線」軌跡運行,即當產品愈接近到期日,其時間值的損耗將會加快,最終在到期時跌至「零」。因此,臨到期的產品若能突然由價外變成深入價內,便能帶動輪價急升。

很複雜?如何減少時間值的風險甚至將它化「敵」為「友」?下周再談。    

Hot topics
Back to Hot topics
本結構性產品並無抵押品,如發行人無力償債或違約,投資者可能無法收回部份或全部應收款項。

本文由香港上海匯豐銀行有限公司(「本行」或「發行商」)發行(包括任何參考條款),僅供參考之用,並不構成邀約、游說、或建議出售或購買結構性產品。

結構性產品屬複雜產品,投資者務須就此審慎行事,除非投資者完全了解及願意承擔所涉風險,否則切勿投資此產品。結構性產品價格可急升可急跌,投資者或會損失所有或大部分投資。過往表現並不反映將來表現。投資前應了解結構性產品之性質及風險,並詳閱有關上市文件,獨立決定是否適合自己,若需要應諮詢專業建議。本行及其委任之流通量提供者可能是結構性產品的唯一市場參與者,而結構性產品的二級市場可能有限。謹請注意,牛熊證設有強制收回機制,因此有可能提早終止,在此情況下(i)N類牛熊證投資者會損失於牛熊證的全部投資;而(ii)R類牛熊證之剩餘價值則可能為零。界內證在市場是全新的結構性產品,現時在香港交易所並無類似上市產品可作比較。界內證具備有別於標準的特徵,其條款及定價或較其他標準權證複雜,其最大潛在回報為固定及設有上限。界內證價格變動可能與其掛鈎資產的價格變動不成比例或呈相反方向。

作者為金管局及證監會持牌人士,並無就結構性產品或相關資產持有任何直接或間接權益。
Sign up to our newsletter

Stay abreast of the trends with the latest investment insight and market updates.

Latest article

(Available in Chinese only)
Back to Hot topics

Important Risk Warning

The structured products are not collateralized. If the issuer is insolvent or defaults, investors may not recover part or all of the amount due.

Structured products are complex products. Investors should exercise caution in relation to them. The price of the structured products may fall in value as rapidly as it may rise and investors may sustain a total or substantial loss of their investment. Prospective investors should ensure that they understand the nature and risks and seek professional advice where applicable. Please also note that CBBCs have a mandatory call feature and may therefore be subject to early termination, upon which (i) investors in category N CBBCs will lose all of their investments in the CBBCs; and (ii) the residual value of category R CBBCs may be zero. Inline warrants have been newly introduced to the market and there are no similar products currently listed on the Stock Exchange of Hong Kong Limited for comparison. Inline warrants carry exotic features, and their terms and pricing may be more complicated than standard derivative warrants. Maximum potential payoff is fixed and capped. Price movement of the inline warrants may be disproportionate or opposite to the price movement of the underlying asset. Trading structured products with United States (US) underlying index may be exposed to additional risks, including (a) risks relating to difference in trading days and hours, (b) less public information about the index and such information may not be available in Chinese, (c) political and economic risks relating to the index regions (such as the US), (d) exchange rate risks, (e) possible delay in settlement, and (f) publication of index level when component shares are not trading. Click here for "Terms of Use".

Disclaimer

By viewing this website or using any information or functions of this website, you are deemed to acknowledge that you agree to the Privacy and Security, Terms of Use and Hyperlink Policy. Click here for "Disclaimer".

All data/charts are for reference purposes only.