Terms of Use
This section contains the terms of use of this website ('Terms'). By accessing this website and any of its pages, you are agreeing to these Terms.
Important Risk Warning
This structured product is a not-collateralised. The standard warrants ('Standard Warrants'), inline warrants (‘Inline Warrants’) and/or callable bull/bear contracts ('CBBCs') are non-collateralised structured products involving derivatives (‘Structured Products’) and are complex products. Investors should exercise caution in relation to them. Do not invest in them unless you fully understand and are willing to assume the risks associated with 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.
Trading structured products with United States (US) underlying index may be exposed to additional risks, including:
(i)Risks relating to difference in trading days and hours
The US underlying index level is calculated and published during the trading hours of the respective index exchange. The US index futures contracts are traded on the respective index futures exchange. The trading days and hours of the index exchange and the index futures exchange (based on Hong Kong time) are different from that of the Stock Exchange of Hong Kong. In assessing the price of the structured products, you should be aware of the differences in the time zone and the actual trading days and hours of the relevant exchanges in Hong Kong and the United States. For example, the underlying index level may be volatile during a period which the Stock Exchange of Hong Kong is not open for trading of the structured products.
(ii)Less public information about the US underlying index and such information may not be available in Chinese
There may be less publicly available information about the US underlying index than those about Hong Kong indices and some of that information may not be available in Chinese. If you do not understand any such information, you should obtain independent advice.
(iii)Political and economic risks relating to the US underlying index
The US underlying index level may be subject to political, economic, financial and social factors that apply in those geographical regions (such as the United States), which may differ favourably or unfavourably from those factors that apply to Hong Kong. Moreover, foreign economies may also differ favourably or unfavourably from the Hong Kong economy in important respects such as, including but not limited to, growth of gross national product, rate of inflation, capital reinvestment, resources and self-sufficiency.
(iv)Exchange rate risks
As the trading price of the constituent stocks comprising the US underlying index is quoted in United States Dollars (“US$”) but the structured products will be settled in Hong Kong Dollars (“HK$”), there will be an exchange rate risk when we convert US$ into HK$ in the calculation of the cash settlement amount.
(v)Possible delay in settlement
The valuation date could be postponed if such day is not the day on which the index futures contracts expire on the respective index futures exchange. Such postponement will in turn result in a delay for settlement of the structured products accordingly.
(vi)Publication of US index level when component shares are not trading
The index compiler may publish the index level at a time when one or more shares comprising the index are not trading. In such case, the index level may be calculated by the index compiler by reference to the remaining shares comprising the index. This may have an unforeseen adverse impact on the value of your investment.
(vii) Occurrence of Mandatory Call Event for US Index CBBCs outside trading hours
US Index CBBCs linked to overseas underlying assets may be called outside the Stock Exchange’s trading hours. In such cases, the US Index CBBCs will be suspended from trading on the Stock Exchange in the next trading session or soon after the issuer has notified the Stock Exchange about the occurrence of the Mandatory Call Event. There will be no automatic suspension of the US Index CBBCs by the trading systems of the Stock Exchange’s securities market upon the occurrence of a Mandatory Call Event. For Category R US Index CBBCs, valuation of the residual value will be determined on the valuation day according to the terms and conditions as set out in accordance with the relevant listing documents.
Issuer's Risk
You rely on creditworthiness of the Structured Products’ issuer. The product is subject to both the actual and perceived measures of the credit worthiness of its issuer and there is no assurance of protection against a default by its issuer in respect of its payment obligations. If the issuer is insolvent or defaults, investors may not recover part or all of the amount due (if any).
Information/Access
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No professional advice, advising on securities or fiduciary relationship
Market information contained in these pages are not intended to provide professional advice nor is HSBC, in providing such market information, intended to be advising on securities (as defined in the Securities and Futures Ordinance (Cap. 571 of the Laws of Hong Kong Special Administrative Region ('HKSAR')). As such, market information should not be relied upon in that regard. Persons accessing these pages are advised to obtain appropriate professional advice where necessary. No consideration has been given to the particular investment objectives, financial situation or particular needs of any recipient. HSBC Group companies and/or their affiliates assume no fiduciary responsibility or liability for any consequences, financial or otherwise, arising from the subscription or purchase of Structured Products and/or other investments or products mentioned herein.
No offer
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Prices and valuation
Market information is obtained from sources believed to be reliable but which has not been independently verified. No guarantee, representation or warranty is made and no responsibility or liability as to its accuracy or completeness is accepted. Please note that any prices or levels contained in these pages are indicative and may vary in accordance with changes in market conditions. No liability is accepted whatsoever for any direct, indirect or consequential loss arising from the use of this market information. Expressions of opinion are those of HSBC only and HSBC maintains the right to delete or modify information on this website without prior notice.
Disclosure of interests
HSBC Group companies and/or their officers, directors and employees may own or have positions in any securities mentioned on this site (or in any related investment) and may from time to time add to or dispose of any such securities (or investment). HSBC may sell securities to or buy them from customers on a principal basis and may also perform or seek to perform investment banking or underwriting services for or relating to those companies. Brokerage fees may be earned by members of the HSBC Group companies in respect of any business transacted by them in all or any of the Structured Products, securities and/or instruments referred to on this site.
HSBC Group companies may act as market maker or have assumed an underwriting commitment in the Structured Products and other securities discussed on this site (or in any related investment).
Liability
You further undertake to unconditionally and irrevocably indemnify and keep indemnified all HSBC Group companies against all actions, claims, demands, liabilities, losses, damages, costs (including on a solicitor client basis) and expenses of whatever nature and howsoever occurring arising directly or indirectly from or in connection with any breach by you of these Terms and/or any undertakings given by you.
Historical data/Potential for loss/Liquidity
Illustration of performance or data of past performance of any Structured Products and/or other investments whether contained in this website or otherwise is not indicative of and does not represent a guarantee of any future performance. Inline warrant is newly introduced to the market and there are no similar products currently listed on the Hong Kong Stock Exchange for comparison.
Base Listing Document and Launch Announcement and Supplemental Listing Document
Investors are warned that the prices of the Structured Products may fall in value as rapidly as it may rise and holders may sustain a total or substantial loss of their investment. 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 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.
You should ensure you understand the nature of the Structured Products and carefully study the full details and risk factors set out in the Base Listing Document and the relevant Launch Announcement and Supplemental Listing Document and, where necessary, seek professional advice before you invest in the Structured Products. The Base Listing Document and the relevant Launch Announcement and Supplemental Listing Document may be obtained during usual business hours on any weekday (Saturdays, Sundays and holidays excepted) at the offices of HSBC at HSBC Main Building, 1 Queen's Road Central, Hong Kong. Before purchasing the Structured Products you should ensure that you fully understand the potential risks and rewards and independently determine that they are appropriate for you given your objectives, experience, financial and operational resources and other relevant circumstances. Investors should note that HSBC issues or holds the above-mentioned Structured Products, and HSBC acting through its appointed liquidity provider may be the only market participant in the Structured Products and therefore the secondary market for the Structured Products may be limited. HSBC is not the ultimate holding company of the group to which HSBC belongs and with which the name of HSBC is identified. The ultimate holding company of the group to which HSBC belongs is HSBC Holdings plc.
Please also read the disclaimer for Structured Products with indices or exchange-traded funds as the underlying asset, contained in the relevant Launch Announcement and Supplemental Listing Documents.
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No liability
No liability is accepted whatsoever for any direct, indirect or consequential loss arising from the use of this website.
Promotion programmes with brokers
In respect of the Structured Products, HSBC or any of its affiliates may from time to time implement promotion programmes with a selected number of brokers or banks within a selected period of time. Under such programmes, retail investors may be offered a partial or total commission rebate or other forms of incentives in connection with certain Structured Products issued by HSBC.
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Amendments
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Inconsistencies
The English language version of these Terms shall prevail over the version in any other language to the extent of any inconsistency.
認股證(窩輪)價格影響因素
在第一章〈認股證(窩輪)(認股證(窩輪))基本概念〉中,我們已介紹認股證(窩輪)的基本運作原理。本文將進一步講解影響認股證(窩輪)價格的主要因素,包括行使價、價值狀況、對沖值、時間值損耗、引伸波幅、利率及股息預期、街貨量與流通量,以及換股比率等。投資者在選擇認股證(窩輪)(認股證(窩輪))時,宜深入了解這些影響因素,以制定相應的投資策略。
行使價
行使價是用作計算認股證到期時現金結算金額的重要基準價格。現時香港上市的窩輪一般為歐式及現金結算,投資者不會於到期時實物買入或賣出相關資產。當相關資產價格高於認購證行使價(或低於認沽證行使價)時,兩者的正差價便是認股證(窩輪)(認股證(窩輪))的內在值,如認股證在到期時屬價內,一般會按上市文件自動以現金結算;如屬等價或價外,到期會變得毫無價值。認股證(窩輪)的內在值越大,認股證(窩輪)的價格也會相對較高。不過,市場上具有內在值的認股證(窩輪)比例通常較少。大部分新上市的認購證,其行使價一般高於正股現價;而新上市的認沽證,其行使價則一般低於正股現價,因此多屬沒有內在價值的價外證,其理論價格主要受相關資產預期波幅的升跌影響。
價值狀況
我們在談及認股證(窩輪)時,常常會聽到價內證/貼價證及價外證這些術語,以形容認股證(窩輪)當時的價值狀況,其意思即是認股證(窩輪)的行使價與當時正股現價比較,是低於/高於還是貼近正股現價。
價內證: 認購證=正股現價>認股證(窩輪)行使價 ;認沽證=正股現價<認股證(窩輪)行使價
貼價證: 認購證=正股現價~認股證(窩輪)行使價 ;認沽證=正股現價~認股證(窩輪)行使價
價外證: 認購證=正股現價<認股證(窩輪)行使價 ;認沽證=正股現價>認股證(窩輪)行使價
不同價值狀況的認股證(窩輪),其價格表現將會不一,原因是對正股升跌的敏感度、持有而需付出的時間值損耗,以及對引伸波幅變化的敏感度,以致於相關期權的流通量也有不同,在選擇買入哪個行使價的認股證(窩輪),要配合對正股走勢的預期,如屬緩緩上升?大幅上升?橫行上落?等,再一併考慮。
對沖值
認股證(窩輪)的行使價與相關資產現價之間的距離,會影響其對沖值;而對沖值則是衡量認股證(窩輪)價格對相關資產價格變動敏感度的重要指標。
對沖值可粗略理解為認股證(窩輪)在到期時到達行使價的機會率。一般而言,當認股證(窩輪)的行使價較貼近相關資產現價、引伸波幅較高,或距離到期日較遠時,其對沖值通常會較高。這是因為在這些情況下,認股證(窩輪)到期時成為價內的可能性相對較高。
較高的對沖值,即代表認股證(窩輪)的理論價格變動的金額,相對於對沖值較低的認股證(窩輪)會較高。在其他因素大致不變下,認股證(窩輪)理論價格的變動,可近似理解為:相關資產價格變動 × 對沖值 ÷ 換股比率。
不過,對沖值並非固定不變。當認股證(窩輪)的價值狀況由價外逐步接近貼價時,其對沖值往往上升得較快,令認股證(窩輪)對相關資產價格變動變得更為敏感。因此,若相關資產朝有利方向變動,認股證(窩輪)理論升幅可能較明顯;反之,若走勢不利,跌幅亦可能較大。
這正是為什麼認股證(窩輪)教學常提及如投資者認為正股會有較大的變動幅度時,可考慮價外認股證(窩輪),捕捉較大升幅的原因。不過,價外證同時承受較高時間值損耗及到期時可能變得毫無價值的風險,風險亦會相對較高。
時間值損耗
不同價值狀況的認股證(窩輪),其價格中時間值所佔的比例各有不同。不過,不論是價內證還是價外證,只要持有認股證(窩輪),不論正股價格升跌,時間值便會隨日子過去而逐步流失,這種現象稱為時間值損耗。
一般而言,價外認股證(窩輪)的時間值佔價格比例通常較高,因此時間值損耗對其價格的影響往往較為明顯。但投資者需留意時間值損耗在認股證(窩輪)到期前其非平均線性遞減,而是越接近到期日,下跌速度越快。因為,短期認股證(窩輪)的風險亦普遍較高,如正股變幅不大,認股證(窩輪)的理論升幅可能不夠抵銷時間值損耗。
剩餘時間較長的認股證(窩輪),價格的時間值部份較多,雖每天仍有時間值損耗,但損耗的速度較短期認股證(窩輪)慢,相對適合中長線部署;而短期認股證(窩輪)則更適合只欲作短線部署的投資者。投資者在選擇認股證(窩輪)時,應根據投資目標選擇相應的年期,並密切關注時間值的變化,並適時換馬。
此外,當認股證(窩輪)在到期前由價內證變成價外證,其價格結構中時間值所佔比重上升,時間值損耗對價格的影響亦可能突然變得更明顯。反之,由價外證變成價內證則會下降,時間值損耗對價格的相對影響則可能減少。
引伸波幅
引伸波幅之所以稱為「引伸」,是因為該波幅是以期權或認股證(窩輪)的交易價格,逆算出來的「引伸」值。這主要反映了市場對相關資產未來波幅的預期。
當引伸波幅上升,代表市場預期相關資產在到期前的波動幅度可能擴大。在其他因素大致不變下,這通常會提高認股證(窩輪)在到期時具內在值的可能性,因此市場願意付出較高價格買入相關權利。反之當相關資產的預期波幅越小,其認股證(窩輪)在到期時具內在值的可能性下降,則會令認股證(窩輪)價格在相關資產價格不變下,價格仍會錄得跌幅。
例子:
當市場預期波動性增加時,引伸波幅上升,在其他因素不變下,認股證(窩輪)價格也會隨之上漲;反之,當引伸波幅下降時,認股證(窩輪)價格可能下跌。例如,恒指波幅指數(VHSI)是一個常用的市場波動性指標,它所反映的是恒指期權市場的引伸波幅數值。若VHSI從14%升至27%,這意味著市場對恒指未來波動性的預期大幅提高,相關恒指認股證(窩輪)的價格在指數水平一樣下,也會因預期波幅上升而提高。
能否賺價兼賺波幅?
若投資者買入時認股證(窩輪)的引伸波幅處於較低水平,其後若相關資產走勢朝有利方向發展,且引伸波幅同時上升,認股證(窩輪)價格理論上可同時受惠於方向及引伸波幅上升的好處。但這是兩面刃,引伸波幅對認股證(窩輪)價格的影響並非單向的。若市場引伸波幅下降,認股證(窩輪)價格可能因引伸波幅的回落而受損。
引伸波幅變化受多個因素影響
而就算市場預期波幅趨升,不同行使價的認股證(窩輪),其價格的變化也可能不一,可以出現某些行使價的認股證(窩輪)在正股價不變下上升,但某些行使價則下跌的情況。
例如在極度樂觀的市場狀況下,價外的認購證的引伸波幅升幅可能會較等價及價內的認股證(窩輪)更高。相反,價外的認沽證的引伸波幅,可能不會跟隨上升,甚至有可能會轉跌,因為不同行使價的期權,會因為投資者當刻對正股的看法不一而出現不同的供求狀況,這會影響場內交易的價格。
市場對不同相關資產的預期波幅不會相同,投資者多以歷史波幅,市場氣氛及市場期權的供求關係,估算不同行使價及到期日的認股證(窩輪)之合理引伸波幅水平。投資者需留意,歷史波幅只是訂定引伸波幅的其中一個參考因素,兩者表現未必同步。例如當某股份大跌後,交投突萎縮,從歷史波幅看,波幅是上升的,但由於股份交投萎縮,未來波幅預期下跌,其認股證(窩輪),特別是價外認購證的引伸波幅,跌幅可能更為顯著。
至於某隻認股證(窩輪)的引伸波幅屬偏高還是偏低,要視乎每一相關資產的自身走勢而定,並沒有一個適用於所有相關資產的絕對標準。一般而言,引伸波幅較高的認股證(窩輪),其價格中所反映的時間值亦可能較高,因此時間值損耗對價格的影響亦會較大。若相關資產其後未有出現預期中的明顯走勢,較高的時間值損耗便可能對認股證(窩輪)價格造成較大壓力。
利率及股息
利率升跌會對認股證(窩輪)價格產生影響。一般而言,利率上升,在其他因素不變下,通常會提升認購證的價值,而對認沽證的影響則負面。市場在評估相關影響時,通常亦會參考中短期利率或拆息走勢。
另一方面,如果相關資產將發放較高的股息,在其他因素不變下,通常會降低認購證的價值,而對認沽證則相對有利。這是因為認股證(窩輪)持有人本身不會收取相關資產派發的股息,而相關資產在到期前除息,通常會令其價格作出調整,從而降低認購證到期時具內在值的預期,並相對有利認沽證。
投資者亦需留意,若所持認股證(窩輪)的到期日接近相關企業原先預期的除息日,企業一旦突然更改除息日期,便可能對認股證(窩輪)價格帶來明顯影響,尤其是股息率較高的股份。
此外,如企業公佈派發特別股息,如宣佈日的特別股息金額,高於當日正股價2%,認股證(窩輪)的行使價將會作出調整,但如特別股金額,少於當日正股價2%,則不會作出調整,那麼認購證的價格會有負面影響,認沽證則受惠。
有關除息日期變更或股息金額調整對認股證(窩輪)價格的影響,通常會在企業公告後的下一個交易時段逐步反映於市場價格之中,而不一定等到實際除息日才出現變化。
街貨量及流通量
認股證(窩輪)在上市時,所有認股證(窩輪)皆由認股證(窩輪)發行商的流通量提供者持有,而在認股證(窩輪)到期前,發行商的流通量提供者在認股證(窩輪)的理論價格高於0.01港元時,會提供主動報價或以回應報價形式提供雙邊流通量,儘量令認股證(窩輪)的價格維持在理論價格範圍附近,並且為欲沽售認股證(窩輪)的投資者,提供二手市場的流動性。縱然實際報價安排仍須視乎產品條款、街貨水平及市場情況而定。
當投資者買入認股證(窩輪)並持有,其持倉一般稱為「街貨」;而街貨量則是指市場上由投資者持有的認股證(窩輪)數量。當「街貨量」上升,即由流通量提供者持有的認股證(窩輪)數量下降,而令認股證(窩輪)的價格更容易受市場供求的力量所影響。例如當投資者在街貨量極高,達至接近100%水平時,仍追買產品,則只能在其他投資者手上買入認股證(窩輪),該價格有機會高於認股證(窩輪)的理論價格,當稍後投資者將認股證(窩輪)沽回給發行商時,會蝕差價。因此,當認股證(窩輪)街貨量較高時,投資者需特別留意流通量提供者的買賣報價,因為二手市場成交價有機會偏離理論價格。如投資者未能獲得串流報價,則可致電發行商查詢。
換股比率
換股比率是指每單位認股證(窩輪)可兌換的相關資產數量,例如以「1:100」或「1:10,000」的形式表示。換股比率對認股證(窩輪)的影響主要體現在輪價對正股的跳動敏感度上。換股比率越低,價格對相關資產價格變動的敏感度也越大。但同樣條款下, 較高的換股比率帶來較低的每股輪價, 但留意換股比率並不影響實際槓桿。
有關換股比率對認股證(窩輪)的影響及詳細解讀,可參考「認股證(窩輪)的換股比率大小有何影響」一文。
投資者在選擇認股證(窩輪)時,宜充分了解這些影響因素,以制定相應的投資策略,才能更有效運用認股證(窩輪)。
認股證(窩輪)十問:
1. 影響認股證(窩輪)價格的主要因素有哪些?
主要影響因素包括行使價、時間值損耗、引伸波幅、利率及股息預期、街貨量及流通量等供求因素、換股比率等。
2.行使價如何影響認股證(窩輪)價格?
行使價決定了認股證(窩輪)到期時投資者有機會獲取的預期價值,它是指投資者可以在認股證(窩輪)到期日時,按此價格買入或賣出相關資產的價格。
3. 什麼是引伸波幅?
引伸波幅為評估認股證(窩輪)的最重要指標之一,代表市場對於相關資產在未來價格波動幅度的預測。市場一般以此作為比較認股證(窩輪)平貴的指標,惟選證時仍需結合行使價、到期日及其他條款一併比較。
4. 引伸波幅升跌對認股證(窩輪)價格有何影響?
引伸波幅上升時,在其他因素不變下,認股證(窩輪)價格會隨之上升。反之則可能下跌。
5.當引伸波幅上升時,不同行使價的認股證(窩輪)價格變化會否一樣?
就算市場預期波幅趨升,不同行使價的認股證(窩輪),其價格的變化也可能不一,可以出現某些行使價的認股證(窩輪)在正股價不變下上升,但某些行使價則下跌的情況
6. 認股證(窩輪)到期前的剩餘時間如何影響時間值?
當認股證(窩輪)到期日臨近,認股證(窩輪)的剩餘時間值會逐漸減少並最終歸零;每天時間值損耗在到期日前的最後幾周尤為顯著。
7. 利率升跌對認股證(窩輪)的價格有何影響?
一般而言,利率上升,在其他因素不變下,通常會提升認購證的價值,而對認沽證的影響則負面。市場在評估相關影響時,通常會參考中短期利率或拆息走勢。
8. 如果相關資產將發放較高的股息,對認購證及認沽證的價格有何影響?
在其他因素不變下,相關資產將發放較高的股息通常會降低認購證的價值,而對認沽證則相對有利。這是因為認股證(窩輪)持有人本身不會收取相關資產派發的股息,而相關資產在到期前除息,通常會令其價格作出調整,從而降低認購證到期時具內在值的預期,並相對有利認沽證。
9.街貨量的意思是什麼?
當投資者買入認股證(窩輪)並持有,其持倉一般稱為「街貨」;而街貨量則是指市場上由投資者持有的認股證(窩輪)數量。
10. 換股比率是指什麼?
換股比率是指每單位認股證(窩輪)可兌換的相關資產數量,例如以「1:100」或「1:10,000」的形式表示。換股比率對認股證(窩輪)的影響主要體現在輪價對正股的跳動敏感度上。
Check point:
以下哪一項不是影響窩輪價格的主要因素?