Reporte de Opciones

Andres Robertson
Asesor Financiero
(54 11) 4000 1400
arobertson@invertironline.com

jueves, 30 de octubre de 2014

Subyacente

Precio

Serie

Tipo

Strike

Vto

Dias al
Vto

Prima

% Var

Prima
Terica

Dif.vs
Prima

Estado

Valor
Intrnseco

ALUA

8.96

ALUC4.15DI

Call

4.150

DI

50.00

0.00

4.93

ITM

8.96
8.96
8.96
8.96
8.96
8.96
8.96
75.75
75.75
75.75
75.75
75.75
75.75
75.75
75.75
75.75
75.75
75.75
75.75
75.75
75.75
75.75
75.75
75.75
75.75
75.75
75.75
75.75
75.75
75.75
75.75
75.75
75.75
75.75
75.75
3.87
3.87
3.87
3.87

ALUC4.75DI
ALUC5.15DI
ALUC6.75DI
ALUC8.00DI
ALUC9.00DI
ALUC9.50DI
ALUC7.00FE
PBRC90.4NO
PBRC94.4NO
PBRC102.4N
PBRC114.4N
PBRC66.4DI
PBRC70.4DI
PBRC74.4DI
PBRV74.4DI
PBRC78.4DI
PBRC82.4DI
PBRV82.4DI
PBRC86.4DI
PBRC90.4DI
PBRC94.4DI
PBRC98.4DI
PBRC102.4D
PBRC106.4D
PBRC110.4D
PBRC114.4D
PBRC120.4D
PBRC126.4D
PBRC132.4D
PBRC66.4FE
PBRC78.4FE
PBRC82.4FE
PBRC86.4FE
PBRC90.4FE
PBRC102.4F
BHIC2.00DI
BHIC2.20DI
BHIC3.00DI
BHIC3.40DI

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

4.750
5.150
6.750
8.000
9.000
9.500
7.000
90.400
94.400
102.000
114.000
66.400
70.400
74.400
74.400
78.400
82.400
82.400
86.400
90.400
94.400
98.400
102.000
106.000
110.000
114.000
120.000
126.000
132.000
66.400
78.400
82.400
86.400
90.400
102.000
2.000
2.200
3.000
3.400

DI
DI
DI
DI
DI
DI
FE
NO
NO
N
N
DI
DI
DI
DI
DI
DI
DI
DI
DI
DI
DI
D
D
D
D
D
D
D
FE
FE
FE
FE
FE
F
DI
DI
DI
DI

50.00
50.00
50.00
50.00
50.00
50.00
112.00
15.00
15.00
15.00
15.00
50.00
50.00
50.00
50.00
50.00
50.00
50.00
50.00
50.00
50.00
50.00
50.00
50.00
50.00
50.00
50.00
50.00
50.00
112.00
112.00
112.00
112.00
112.00
112.00
50.00
50.00
50.00
50.00

0.00
0.00
0.00
0.00
0.80
0.75
3.00
0.00
0.00
0.00
0.00
15.00
12.80
11.85
5.00
8.50
7.00
9.00
6.00
4.60
4.00
3.50
2.70
2.29
1.80
1.85
1.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
1.95
0.00
0.00
0.85

-32%
7%
0%
3%
16%
18%
-17%
21%
13%
-25%
15%
48%
21%
21%
0%
15%
3%
9%
0%
11%
89%

4.35
3.97
2.49
1.54
0.97
0.75
2.70
1.36
0.86
0.34
0.07
15.61
13.28
11.22
7.66
9.42
7.86
12.06
6.53
5.40
4.44
3.65
3.04
2.48
2.02
1.64
1.20
0.87
0.63
20.79
15.17
13.62
12.23
10.97
7.98
1.93
1.75
1.07
0.80

0.211
0.001
-0.100
0.041
0.037
-0.053
0.532
0.108
0.123
0.340
0.088
0.173
0.111
0.042
0.127
0.084
0.123
-0.112
0.199
-0.008
-0.063

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

APBR

BHIP

Delta

Gamma

Vega

Theta

Rho

Efecto
Palanca

Volat.
Implcita

Volumen

4.81

1.000

0.001

0.000

-0.017

0.006

1.82

4.21
3.81
2.21
0.96

0.998
0.994
0.922
0.763
0.590
0.501
0.854
0.197
0.137
0.063
0.016
0.748
0.686
0.622
-0.378
0.558
0.495
-0.505
0.436
0.381
0.330
0.284
0.247
0.211
0.178
0.151
0.116
0.089
0.067
0.744
0.620
0.579
0.540
0.501
0.401
0.990
0.978
0.853
0.745

0.003
0.007
0.067
0.143
0.180
0.184
0.071
0.021
0.016
0.009
0.003
0.013
0.015
0.016
0.016
0.016
0.017
0.017
0.016
0.016
0.015
0.014
0.013
0.012
0.011
0.010
0.008
0.007
0.005
0.009
0.011
0.011
0.011
0.011
0.011
0.022
0.042
0.186
0.259

0.000
0.001
0.005
0.010
0.013
0.013
0.011
0.044
0.035
0.020
0.006
0.090
0.100
0.108
0.108
0.112
0.113
0.113
0.112
0.108
0.103
0.096
0.089
0.082
0.074
0.066
0.055
0.045
0.037
0.136
0.161
0.165
0.167
0.168
0.163
0.000
0.001
0.003
0.005

-0.020
-0.023
-0.046
-0.068
-0.076
-0.075
-0.043
-0.874
-0.684
-0.383
-0.120
-0.696
-0.746
-0.776
-0.477
-0.787
-0.781
-0.450
-0.760
-0.726
-0.683
-0.634
-0.586
-0.532
-0.478
-0.426
-0.354
-0.289
-0.234
-0.504
-0.554
-0.559
-0.559
-0.554
-0.521
-0.010
-0.013
-0.029
-0.036

0.006
0.007
0.008
0.007
0.006
0.005
0.015
0.006
0.004
0.002
0.000
0.057
0.054
0.050
-0.051
0.046
0.041
-0.070
0.037
0.033
0.029
0.025
0.022
0.019
0.016
0.014
0.011
0.008
0.006
0.110
0.098
0.094
0.089
0.084
0.069
0.003
0.003
0.003
0.003

2.05
2.25
3.31
4.44
5.46
5.98
2.83
10.97
11.97
13.85
16.71
3.63
3.91
4.20
3.74
4.49
4.78
3.17
5.06
5.35
5.63
5.91
6.15
6.42
6.69
6.95
7.33
7.70
8.07
2.71
3.10
3.22
3.34
3.46
3.80
1.98
2.17
3.09
3.62

52%
65%
88%
78%
80%
91%
60%
77%
77%
58%
80%
77%
81%
83%
81%
83%
82%
88%
81%
50%
97%

4660
893
63360
65350
157163
44270
2000
159350
331562
900
97362
51010
45025
8350
121811
13735
5900
1850
1100
9300
9100

Cobertura

Tasa
Lanzam.

1.96

0.09
0.08
0.33

0.10
0.16
0.17

9.35
5.35
1.35

0.20
0.17
0.16

0.09
0.12
0.16

0.11
0.09

0.17
0.20

0.08
0.06
0.05
0.05
0.04
0.03
0.02
0.02
0.01

0.24
0.27
0.32
0.36
0.40
0.44
0.49
0.54
0.61

0.50

0.04

0.22

0.13

6.65

9.35

1.87
1.67
0.87
0.47

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

Reporte de Opciones

Subyacente

BMA
BRIO
CECO2

COME

EDN

ERAR

Precio

Serie

Tipo

Strike

Vto

Dias al
Vto

Prima

% Var

Prima
Terica

Dif.vs
Prima

Estado

3.87
3.87
3.87
51.00
51.00
22.80
3.67
3.67
3.67
3.67
3.67
1.79
1.79
1.79
1.79
1.79
1.79
1.79
1.79
1.79
1.79
1.79
1.79
1.79
1.79
1.79
1.79
1.79
1.79
1.79
1.79
1.79
1.79
1.79
7.60
7.60
7.60
7.60
7.60
6.59
6.59
6.59
6.59
6.59
6.59
6.59

BHIC4.00DI
BHIC3.00FE
BHIC4.00FE
BMAC34.0DI
BMAC40.0DI
BRIC19.9DI
CECC3.00DI
CECC3.20DI
CECC3.40DI
CECC3.80DI
CECC4.00DI
COMC0.90DI
COMC1.00DI
COMC1.20DI
COMC1.30DI
COMC1.40DI
COMC1.50DI
COMC1.60DI
COMC1.70DI
COMC1.80DI
COMC1.90DI
COMC2.00DI
COMC2.10DI
COMC2.20DI
COMC2.30DI
COMC2.40DI
COMC2.50DI
COMC1.00FE
COMC1.30FE
COMC1.50FE
COMC1.60FE
COMC1.70FE
COMC2.00FE
COMC2.20FE
EDNC6.55DI
EDNC7.55DI
EDNV7.55DI
EDNC8.15DI
EDNC8.75DI
ERAC4.42DI
ERAC4.57DI
ERAC5.12DI
ERAC6.12DI
ERAC6.37DI
ERAV6.37DI
ERAV6.87DI

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
Put
Call
Call
Call
Call
Call
Call
Call
Put
Put

4.000
3.000
4.000
34.000
40.000
19.900
3.000
3.200
3.400
3.800
4.000
0.900
1.000
1.200
1.300
1.400
1.500
1.600
1.700
1.800
1.900
2.000
2.100
2.200
2.300
2.400
2.500
1.000
1.300
1.500
1.600
1.700
2.000
2.200
6.550
7.550
7.550
8.150
8.750
4.420
4.570
5.120
6.120
6.370
6.370
6.870

DI
FE
FE
DI
DI
DI
DI
DI
DI
DI
DI
DI
DI
DI
DI
DI
DI
DI
DI
DI
DI
DI
DI
DI
DI
DI
DI
FE
FE
FE
FE
FE
FE
FE
DI
DI
DI
DI
DI
DI
DI
DI
DI
DI
DI
DI

50.00
112.00
112.00
50.00
50.00
50.00
50.00
50.00
50.00
50.00
50.00
50.00
50.00
50.00
50.00
50.00
50.00
50.00
50.00
50.00
50.00
50.00
50.00
50.00
50.00
50.00
50.00
112.00
112.00
112.00
112.00
112.00
112.00
112.00
50.00
50.00
50.00
50.00
50.00
50.00
50.00
50.00
50.00
50.00
50.00
50.00

0.00
0.00
0.00
18.00
11.00
0.00
0.90
0.70
0.00
0.00
0.33
0.00
0.00
0.68
0.59
0.47
0.40
0.33
0.28
0.23
0.18
0.15
0.11
0.07
0.06
0.04
0.04
0.00
0.00
0.53
0.00
0.40
0.00
0.26
0.00
0.80
0.50
0.00
0.30
2.50
0.00
1.75
0.90
0.00
0.00
0.00

-14%
0%
38%
-22%
10%
15%
15%
15%
25%
27%
40%
44%
12%
45%
10%
-13%
43%
3%
0%
-5%
-27%
30%
11%
-15%
-7%
2%
3%
12%
0%
-

0.49
1.29
0.78
18.11
12.77
4.35
0.87
0.74
0.61
0.42
0.34
0.92
0.82
0.63
0.55
0.46
0.39
0.32
0.26
0.21
0.17
0.13
0.10
0.08
0.06
0.05
0.04
0.87
0.63
0.49
0.43
0.38
0.25
0.19
1.63
1.08
0.81
0.83
0.63
2.32
2.19
1.72
1.00
0.86
0.45
0.70

0.006
0.161
-0.031
0.050
0.022
-0.067
-0.066
-0.012
-0.027
-0.026
-0.064
-0.082
-0.065
-0.085
-0.058
0.234
0.028
0.177
-0.084
-0.074
-0.053
-0.274
0.352
0.616
1.098
-0.070
-0.020
0.115
-

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

Valor
Intrnseco

Cobertura

Tasa
Lanzam.

0.87
17.00
11.00
2.90
0.67
0.47
0.27

0.89
0.79
0.59
0.49
0.39
0.29
0.19
0.09

0.79
0.49
0.29
0.19
0.09

1.05
0.05

2.17
2.02
1.47
0.47
0.22
0.28

0.35
0.22

0.03
0.00

0.25
0.19

0.08
0.08

0.09

0.20

0.38
0.33
0.26
0.22
0.18
0.16
0.13
0.10
0.08
0.06
0.04
0.03
0.02
0.02

0.08
0.08
0.06
0.08
0.10
0.13
0.15
0.18
0.22
0.25
0.28
0.33
0.37
0.43

0.30

0.19

0.22

0.22

0.15

0.44

0.11

0.11

0.04
0.38

0.20
0.08

0.27
0.14

0.06
0.08

Delta

Gamma

Vega

Theta

Rho

Efecto
Palanca

Volat.
Implcita

Volumen

0.560
0.819
0.621
0.978
0.904
0.779
0.828
0.765
0.696
0.551
0.481
0.998
0.992
0.959
0.925
0.877
0.817
0.747
0.670
0.589
0.510
0.434
0.364
0.301
0.246
0.199
0.159
0.966
0.879
0.791
0.741
0.690
0.536
0.441
0.765
0.608
-0.392
0.513
0.424
0.967
0.956
0.895
0.706
0.648
-0.352
-0.468

0.318
0.143
0.206
0.004
0.015
0.050
0.240
0.289
0.329
0.372
0.375
0.016
0.045
0.184
0.295
0.423
0.551
0.666
0.754
0.810
0.830
0.819
0.782
0.725
0.656
0.581
0.504
0.106
0.282
0.402
0.452
0.493
0.556
0.552
0.128
0.160
0.160
0.166
0.163
0.045
0.056
0.110
0.209
0.224
0.224
0.241

0.006
0.006
0.008
0.010
0.032
0.025
0.004
0.004
0.005
0.005
0.005
0.000
0.000
0.001
0.001
0.001
0.002
0.002
0.002
0.003
0.003
0.003
0.003
0.002
0.002
0.002
0.002
0.001
0.002
0.003
0.003
0.004
0.004
0.004
0.009
0.011
0.011
0.011
0.011
0.002
0.002
0.004
0.008
0.009
0.009
0.010

-0.041
-0.023
-0.028
-0.173
-0.274
-0.176
-0.028
-0.031
-0.034
-0.036
-0.035
-0.004
-0.005
-0.007
-0.009
-0.011
-0.013
-0.015
-0.016
-0.016
-0.016
-0.016
-0.015
-0.013
-0.012
-0.010
-0.009
-0.005
-0.008
-0.010
-0.011
-0.011
-0.012
-0.011
-0.068
-0.078
-0.048
-0.079
-0.075
-0.025
-0.028
-0.038
-0.054
-0.056
-0.031
-0.029

0.002
0.006
0.005
0.044
0.047
0.019
0.003
0.003
0.003
0.002
0.002
0.001
0.001
0.002
0.002
0.002
0.002
0.001
0.001
0.001
0.001
0.001
0.001
0.001
0.001
0.000
0.000
0.003
0.003
0.003
0.003
0.003
0.002
0.002
0.006
0.005
-0.005
0.004
0.004
0.006
0.006
0.006
0.005
0.005
-0.004
-0.005

4.45
2.45
3.07
2.75
3.61
4.09
3.48
3.82
4.16
4.87
5.23
1.95
2.16
2.70
3.03
3.38
3.76
4.16
4.57
4.99
5.42
5.85
6.28
6.71
7.13
7.55
7.97
2.00
2.51
2.88
3.07
3.26
3.82
4.18
3.56
4.27
3.69
4.71
5.14
2.74
2.88
3.44
4.63
4.95
5.11
4.41

50%
50%
85%
69%
76%
50%
50%
76%
78%
76%
79%
79%
76%
76%
74%
65%
71%
68%
74%
85%
78%
90%
59%
56%
54%
50%
74%
55%
-

1800
4400
16650
5600
1010
62267
40315
18300
11800
42948
82574
56978
60348
90581
37120
9967
28362
400
12893
50490
800
1300
21998
4000
4822
5000
102102
44014
-

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

Reporte de Opciones

Subyacente

FRAN
GGAL

INDU

Precio

Serie

Tipo

Strike

Vto

Dias al
Vto

Prima

% Var

Prima
Terica

Dif.vs
Prima

Estado

6.59
6.59
6.59
6.59
6.59
6.59
6.59
6.59
6.59
53.80
18.75
18.75
18.75
18.75
18.75
18.75
18.75
18.75
18.75
18.75
18.75
18.75
18.75
18.75
18.75
18.75
18.75
18.75
18.75
18.75
18.75
18.75
18.75
18.75
18.75
18.75
18.75
18.75
18.75
18.75
18.75
18.75
18.75
3.38
3.38
3.38

ERAC7.12DI
ERAV7.12DI
ERAC7.37DI
ERAC7.87DI
ERAC8.12DI
ERAC8.37DI
ERAC5.62FE
ERAC6.12FE
ERAC6.37FE
FRAC36.0DI
GFGV11.0DI
GFGC13.0DI
GFGC14.0DI
GFGC15.0DI
GFGV15.0DI
GFGC15.5DI
GFGV15.5DI
GFGC16.0DI
GFGV16.0DI
GFGC16.5DI
GFGC17.0DI
GFGV17.0DI
GFGC17.5DI
GFGC18.0DI
GFGV18.0DI
GFGC18.5DI
GFGC19.0DI
GFGV19.0DI
GFGC20.0DI
GFGV20.0DI
GFGC20.5DI
GFGC21.0DI
GFGC22.0DI
GFGC23.0DI
GFGC24.0DI
GFGC25.0DI
GFGC17.5FE
GFGC19.0FE
GFGC20.0FE
GFGC20.5FE
GFGC22.0FE
GFGC23.0FE
GFGC25.0FE
INDC3.00DI
INDC3.40DI
INDC4.00DI

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

7.120
7.120
7.370
7.870
8.120
8.370
5.620
6.120
6.370
36.000
11.000
13.000
14.000
15.000
15.000
15.500
15.500
16.000
16.000
16.500
17.000
17.000
17.500
18.000
18.000
18.500
19.000
19.000
20.000
20.000
20.500
21.000
22.000
23.000
24.000
25.000
17.500
19.000
20.000
20.500
22.000
23.000
25.000
3.000
3.400
4.000

DI
DI
DI
DI
DI
DI
FE
FE
FE
DI
DI
DI
DI
DI
DI
DI
DI
DI
DI
DI
DI
DI
DI
DI
DI
DI
DI
DI
DI
DI
DI
DI
DI
DI
DI
DI
FE
FE
FE
FE
FE
FE
FE
DI
DI
DI

50.00
50.00
50.00
50.00
50.00
50.00
112.00
112.00
112.00
50.00
50.00
50.00
50.00
50.00
50.00
50.00
50.00
50.00
50.00
50.00
50.00
50.00
50.00
50.00
50.00
50.00
50.00
50.00
50.00
50.00
50.00
50.00
50.00
50.00
50.00
50.00
112.00
112.00
112.00
112.00
112.00
112.00
112.00
50.00
50.00
50.00

0.45
0.00
0.33
0.25
0.16
0.12
1.85
0.00
0.00
19.50
0.02
6.40
0.00
4.50
0.15
3.93
0.25
0.00
0.31
3.20
2.75
0.50
2.39
2.10
0.81
1.75
1.50
1.21
1.12
1.75
0.93
0.78
0.54
0.39
0.00
0.20
0.00
2.30
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.20

12%
10%
0%
-11%
50%
0%
0%
-25%
15%
13%
-12%
15%
-11%
-33%
8%
10%
-17%
0%
14%
-10%
15%
8%
-7%
13%
-16%
16%
15%
8%
8%
0%
0%
0%

0.53
0.84
0.44
0.31
0.25
0.21
1.70
1.41
1.28
19.14
0.01
6.20
5.31
4.47
0.28
4.08
0.37
3.70
0.48
3.35
3.01
0.76
2.70
2.41
1.13
2.15
1.90
1.59
1.48
2.13
1.29
1.13
0.85
0.64
0.47
0.35
3.81
3.05
2.62
2.43
1.91
1.63
1.17
0.58
0.34
0.14

0.169
0.337
0.220
0.574
0.726
-0.083
-0.018
-0.621
-0.031
-0.006
0.850
0.039
0.473
0.562
0.046
0.096
0.519
0.131
0.149
0.394
0.226
0.268
0.312
0.318
0.219
0.399
0.449
0.583
0.637
0.729
0.328
-0.323

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

Valor
Intrnseco

Cobertura

Tasa
Lanzam.

0.07

0.16

0.05
0.04
0.02
0.02
0.28

0.18
0.24
0.26
0.29
0.19

0.36

0.05

5.75
4.75
3.75

0.34

0.05

0.24

0.05

3.25

0.21

0.05

2.25
1.75

0.17
0.15

0.06
0.06

1.25
0.75

0.13
0.11

0.07
0.08

0.25

0.09
0.08

0.09
0.10

0.06

0.13

0.05
0.04
0.03
0.02

0.15
0.17
0.21
0.25

0.01

0.35

0.12

0.16

0.06

0.26

0.53

0.97
0.47
0.22
17.80

2.75

0.25
1.25

1.25

0.38

Delta

Gamma

Vega

Theta

Rho

Efecto
Palanca

Volat.
Implcita

Volumen

0.475
-0.525
0.421
0.322
0.279
0.240
0.786
0.714
0.676
0.958
-0.006
0.964
0.932
0.884
-0.116
0.854
-0.146
0.821
-0.179
0.785
0.746
-0.254
0.705
0.663
-0.337
0.619
0.575
-0.425
0.489
-0.511
0.447
0.407
0.332
0.267
0.211
0.164
0.713
0.629
0.572
0.544
0.464
0.414
0.324
0.780
0.587
0.310

0.241
0.241
0.237
0.217
0.203
0.188
0.118
0.138
0.146
0.006
0.004
0.018
0.030
0.044
0.044
0.052
0.052
0.059
0.059
0.066
0.073
0.073
0.078
0.083
0.083
0.086
0.089
0.089
0.090
0.090
0.090
0.088
0.082
0.075
0.065
0.056
0.052
0.058
0.060
0.060
0.061
0.059
0.055
0.386
0.508
0.460

0.010
0.010
0.010
0.009
0.008
0.008
0.011
0.012
0.013
0.018
0.001
0.006
0.009
0.014
0.014
0.016
0.016
0.018
0.018
0.020
0.022
0.022
0.024
0.026
0.026
0.027
0.027
0.027
0.028
0.028
0.028
0.027
0.025
0.023
0.020
0.017
0.036
0.039
0.041
0.041
0.041
0.041
0.038
0.004
0.005
0.004

-0.056
-0.027
-0.054
-0.048
-0.045
-0.041
-0.037
-0.040
-0.041
-0.223
-0.005
-0.073
-0.090
-0.109
-0.049
-0.119
-0.056
-0.127
-0.063
-0.135
-0.142
-0.074
-0.148
-0.152
-0.080
-0.154
-0.155
-0.079
-0.152
-0.072
-0.149
-0.144
-0.132
-0.117
-0.102
-0.086
-0.109
-0.113
-0.113
-0.113
-0.109
-0.105
-0.093
-0.024
-0.027
-0.022

0.004
-0.006
0.003
0.003
0.002
0.002
0.011
0.010
0.010
0.045
0.000
0.017
0.017
0.017
-0.003
0.017
-0.004
0.016
-0.005
0.016
0.015
-0.008
0.015
0.014
-0.010
0.013
0.012
-0.013
0.011
-0.016
0.010
0.009
0.008
0.006
0.005
0.004
0.030
0.027
0.025
0.024
0.021
0.019
0.015
0.003
0.002
0.001

5.95
4.10
6.28
6.96
7.29
7.62
3.05
3.34
3.49
2.69
12.30
2.91
3.29
3.71
7.84
3.93
7.41
4.16
7.01
4.40
4.64
6.27
4.89
5.15
5.61
5.41
5.67
5.02
6.20
4.50
6.47
6.74
7.29
7.83
8.37
8.90
3.51
3.86
4.09
4.20
4.55
4.77
5.22
4.56
5.77
7.70

59%
55%
61%
55%
55%
81%
88%
72%
87%
65%
52%
52%
55%
53%
55%
51%
51%
50%
51%
50%
48%
48%
49%
50%
49%
49%
50%
50%
51%
54%
44%
75%

50607
31804
14025
9271
1541
46045
19500
264
31700
62100
1500
22054
2500
10480
3100
728970
12135
76800
511313
23000
174368
843363
38100
1437089
44595
63325
555847
349930
88596
25518
40500
2010

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

Reporte de Opciones

Subyacente

METR
MIRG

PAMP

PESA

PETR
POLL
RO15

TECO2

TGNO4
TRAN
TS

Precio

Serie

Tipo

Strike

Vto

Dias al
Vto

Prima

% Var

Prima
Terica

Dif.vs
Prima

Estado

3.38
4.01
4.01
200.00
200.00
200.00
200.00
5.71
5.71
5.71
5.71
5.71
5.71
5.71
5.71
5.71
5.71
5.71
5.71
5.71
5.71
8.40
8.40
8.40
8.40
8.40
8.40
8.40
8.40
15.60
0.79
1220.00
1220.00
1220.00
1220.00
1220.00
1220.00
1220.00
60.00
60.00
60.00
3.07
3.07
4.67
4.67
255.00

INDC4.00FE
METC3.00DI
METC4.05DI
MIRC150.FE
MIRC190.DI
MIRC210.DI
MIRC240.DI
PAMC4.04DI
PAMC4.94DI
PAMC5.34DI
PAMV5.34DI
PAMC5.54DI
PAMV5.54DI
PAMC5.74DI
PAMC5.94DI
PAMV5.94DI
PAMC6.14DI
PAMV6.14DI
PAMC6.34DI
PAMC6.54DI
PAMC6.74DI
PSAC7.15DI
PSAC8.15DI
PSAV8.15DI
PSAC8.75DI
PSAC8.95DI
PSAC9.15DI
PSAV9.55DI
PSAC9.75DI
PETC16.0DI
POLC0.70DI
R15C12704N
R15C1140.D
R15V1180.D
R15C1220.D
R15V1220.D
R15V1260.D
R15C1340.D
TECC50.6DI
TECC41.98D
TECC41.98F
TGNC3.00DI
TGNC3.40DI
TRAC3.45DI
TRAC5.20DI
TS.C240.DI

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

4.000
3.000
4.050
150.000
190.000
210.000
240.000
4.040
4.940
5.340
5.340
5.540
5.540
5.740
5.940
5.940
6.140
6.140
6.340
6.540
6.740
7.150
8.150
8.150
8.750
8.950
9.150
9.550
9.750
16.000
0.700
1270.000
1140.000
1180.000
1220.000
1220.000
1260.000
1340.000
50.600
41.900
41.900
3.000
3.400
3.450
5.200
240.000

FE
DI
DI
FE
DI
DI
DI
DI
DI
DI
DI
DI
DI
DI
DI
DI
DI
DI
DI
DI
DI
DI
DI
DI
DI
DI
DI
DI
DI
DI
DI
N
.D
.D
.D
.D
.D
.D
DI
D
F
DI
DI
DI
DI
DI

112.00
50.00
50.00
112.00
50.00
50.00
50.00
50.00
50.00
50.00
50.00
50.00
50.00
50.00
50.00
50.00
50.00
50.00
50.00
50.00
50.00
50.00
50.00
50.00
50.00
50.00
50.00
50.00
50.00
50.00
50.00
27.00
54.00
54.00
54.00
54.00
54.00
54.00
50.00
50.00
112.00
50.00
50.00
50.00
50.00
50.00

0.00
0.00
0.00
0.00
0.00
10.00
0.00
0.00
1.15
0.85
0.00
0.70
0.25
0.00
0.45
0.33
0.40
0.70
0.35
0.17
0.00
0.00
0.80
0.30
0.45
0.48
0.28
0.00
0.15
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
13.00
20.50
0.00
0.60
0.00
1.40
0.34
0.00

0%
5%
13%
17%
-50%
11%
-59%
18%
-9%
17%
0%
14%
-50%
80%
140%
40%
15%
38%
14%
-43%
-7%
-19%
-

0.32
1.16
0.49
63.99
26.35
16.49
7.39
1.83
1.11
0.86
0.33
0.75
0.42
0.65
0.56
0.61
0.48
0.73
0.41
0.35
0.30
1.61
0.94
0.45
0.65
0.57
0.50
1.24
0.32
1.54
0.18
29.89
132.97
27.79
80.50
42.18
60.56
30.89
11.64
19.41
21.18
0.36
0.19
1.43
0.46
29.25

0.649
-0.031
0.012
0.071
0.661
0.260
0.861
0.203
0.041
0.175
1.057
0.180
0.508
0.444
0.185
0.771
1.143
-0.104
-0.053
-0.406
0.018
0.356
-

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

Valor
Intrnseco

Cobertura

Tasa
Lanzam.

1.01
50.00
10.00
0.05

0.11

1.67
0.77
0.37

0.20
0.15

0.08
0.10

0.17

0.12

0.11

0.08

0.13

0.07

0.16

0.06
0.03

0.18
0.18

0.10

0.07

0.05
0.06
0.03

0.10
0.13
0.13

0.02

0.18

9.40
18.10
18.10
0.07

0.22
0.34

0.08
0.06

0.20

0.21

1.22

0.30
0.07

0.06
0.20

0.23
0.43

1.25
0.25

1.15

0.09
80.00

40.00

15.00

Delta

Gamma

Vega

Theta

Rho

Efecto
Palanca

Volat.
Implcita

Volumen

0.448
0.899
0.584
0.888
0.681
0.513
0.290
0.944
0.791
0.694
-0.306
0.642
-0.358
0.589
0.537
-0.463
0.485
-0.515
0.436
0.389
0.345
0.849
0.654
-0.346
0.520
0.477
0.434
-0.645
0.318
0.556
0.717
0.408
0.807
-0.278
0.625
-0.375
-0.476
0.331
0.877
0.985
0.952
0.636
0.419
0.881
0.471
0.739

0.346
0.156
0.345
0.003
0.008
0.009
0.008
0.077
0.196
0.239
0.239
0.254
0.254
0.265
0.271
0.271
0.271
0.271
0.268
0.261
0.251
0.135
0.213
0.213
0.230
0.230
0.227
0.215
0.206
0.104
1.054
0.004
0.002
0.002
0.003
0.003
0.003
0.002
0.018
0.003
0.006
0.540
0.562
0.130
0.260
0.008

0.007
0.003
0.006
0.212
0.267
0.298
0.256
0.002
0.006
0.007
0.007
0.008
0.008
0.008
0.008
0.008
0.009
0.009
0.008
0.008
0.008
0.007
0.012
0.012
0.013
0.013
0.012
0.012
0.011
0.023
0.001
1.289
1.287
1.575
1.779
1.779
1.869
1.702
0.046
0.009
0.033
0.004
0.004
0.003
0.007
0.310

-0.019
-0.024
-0.038
-0.871
-1.571
-1.603
-1.279
-0.026
-0.043
-0.048
-0.027
-0.050
-0.027
-0.050
-0.050
-0.027
-0.050
-0.025
-0.048
-0.046
-0.044
-0.051
-0.063
-0.030
-0.063
-0.062
-0.060
-0.017
-0.052
-0.132
-0.009
-7.323
-6.211
-1.773
-6.541
-1.653
-1.252
-5.100
-0.327
-0.194
-0.201
-0.025
-0.023
-0.032
-0.049
-1.582

0.004
0.003
0.003
0.352
0.154
0.120
0.071
0.005
0.005
0.004
-0.003
0.004
-0.003
0.004
0.003
-0.005
0.003
-0.005
0.003
0.003
0.002
0.008
0.006
-0.005
0.005
0.005
0.004
-0.009
0.003
0.010
0.001
0.346
1.259
-0.543
1.009
-0.739
-0.949
0.552
0.057
0.055
0.111
0.002
0.002
0.004
0.002
0.222

4.76
3.11
4.82
2.77
5.17
6.22
7.84
2.95
4.05
4.60
5.27
4.89
4.92
5.18
5.47
4.31
5.76
4.03
6.06
6.35
6.64
4.42
5.82
6.43
6.73
7.04
7.36
4.37
8.31
5.63
3.12
16.66
7.40
12.22
9.48
10.84
9.60
13.07
4.52
3.04
2.70
5.48
6.88
2.89
4.77
6.44

39%
74%
67%
63%
48%
55%
35%
59%
65%
61%
46%
43%
42%
39%
48%
37%
39%
75%
94%
50%
80%
70%
-

2000
575
23375
31798
1150
10835
2310
25570
6370
525
3140
800
3300
450
1605
6580
1750
43850
18550
1500
44430
3140
-

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

Reporte de Opciones

Subyacente

TVPP

YPFD

Precio

Serie

Tipo

Strike

Vto

Dias al
Vto

Prima

% Var

Prima
Terica

Dif.vs
Prima

Estado

255.00
255.00
255.00
255.00
255.00
255.00
255.00
255.00
255.00
255.00
255.00
255.00
255.00
255.00
255.00
6.45
6.45
6.45
430.00
430.00
430.00
430.00
430.00
430.00
430.00
430.00
430.00
430.00
430.00
430.00
430.00
430.00
430.00
430.00
430.00

TS.C256.DI
TS.V256.DI
TS.C272.DI
TS.V272.FE
TS.V272.DI
TS.C280.DI
TS.C288.DI
TS.C296.DI
TS.C310.DI
TS.V310.DI
TS.C324.DI
TS.C338.FE
TS.C352.DI
TS.C366.DI
TS.C366.NO
TPPC9.30NO
TPPC6.00DI
TPPC6.80DI
YPFC320.DI
YPFC340.FE
YPFC340.DI
YPFC360.FE
YPFC380.DI
YPFC400.FE
YPFC400.DI
YPFC420.DI
YPFV420.DI
YPFC440.DI
YPFV440.DI
YPFC460.DI
YPFC460.FE
YPFC480.DI
YPFC500.DI
YPFC540.DI
YPFC600.DI

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

256.000
256.000
272.000
272.000
272.000
280.000
288.000
296.000
310.000
310.000
324.000
338.000
352.000
366.000
366.000
9.300
6.000
6.800
320.000
340.000
340.000
360.000
380.000
400.000
400.000
420.000
420.000
440.000
440.000
460.000
460.000
480.000
500.000
540.000
600.000

DI
DI
DI
FE
DI
DI
DI
DI
DI
DI
DI
FE
DI
DI
NO
NO
DI
DI
DI
FE
DI
FE
DI
FE
DI
DI
DI
DI
DI
DI
FE
DI
DI
DI
DI

50.00
50.00
50.00
112.00
50.00
50.00
50.00
50.00
50.00
50.00
50.00
112.00
50.00
50.00
15.00
27.00
54.00
54.00
50.00
112.00
50.00
112.00
50.00
112.00
50.00
50.00
50.00
50.00
50.00
50.00
112.00
50.00
50.00
50.00
50.00

0.00
9.00
12.00
0.00
20.00
0.00
7.50
6.00
4.90
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
74.00
0.00
0.00
0.00
16.00
38.95
0.00
25.00
0.00
16.50
10.00
7.00
0.00

-5%
0%
-20%
-6%
9%
-39%
14%
-33%
30%
32%
26%
11%
40%
-

19.80
13.20
12.70
24.22
21.63
9.98
7.74
5.93
3.62
49.42
2.14
7.00
0.68
0.37
0.00
0.01
0.94
0.53
121.73
122.90
104.35
108.78
73.20
83.80
59.88
48.23
25.77
38.28
35.22
29.95
54.61
23.12
17.62
9.89
3.87

0.467
0.059
0.081
0.032
-0.012
-0.261
-0.011
0.610
-0.017
0.198
0.401
0.762
0.413
-

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

Valor
Intrnseco

Cobertura

Tasa
Lanzam.

1.00
0.05

0.12

0.03
0.02
0.02

0.16
0.19
0.24

0.17

0.07

0.09

0.13

0.06

0.14

0.04
0.02
0.02

0.16
0.19
0.28

17.00
17.00

55.00

0.45
110.00
90.00
90.00
70.00
50.00
30.00
30.00
10.00

10.00

Delta

Gamma

Vega

Theta

Rho

Efecto
Palanca

Volat.
Implcita

Volumen

0.596
-0.404
0.448
-0.448
-0.552
0.379
0.315
0.257
0.175
-0.825
0.114
0.221
0.043
0.025
0.000
0.019
0.715
0.509
0.947
0.865
0.910
0.822
0.794
0.724
0.720
0.639
-0.361
0.556
-0.444
0.474
0.563
0.396
0.325
0.209
0.097

0.009
0.009
0.010
0.006
0.010
0.009
0.009
0.008
0.006
0.006
0.005
0.005
0.002
0.001
0.000
0.044
0.229
0.269
0.001
0.002
0.002
0.002
0.003
0.002
0.004
0.004
0.004
0.004
0.004
0.004
0.003
0.004
0.004
0.003
0.002

0.369
0.369
0.377
0.561
0.377
0.363
0.338
0.308
0.245
0.245
0.183
0.421
0.087
0.056
0.000
0.001
0.008
0.010
0.173
0.520
0.262
0.623
0.457
0.800
0.541
0.602
0.602
0.635
0.635
0.640
0.943
0.619
0.579
0.462
0.275

-1.648
-0.620
-1.544
-0.182
-0.452
-1.439
-1.309
-1.164
-0.901
0.343
-0.658
-0.771
-0.302
-0.192
-0.001
-0.007
-0.048
-0.050
-1.864
-1.958
-2.221
-2.124
-2.918
-2.368
-3.171
-3.316
-1.630
-3.340
-1.574
-3.248
-2.457
-3.057
-2.793
-2.155
-1.245

0.185
-0.162
0.142
-0.429
-0.227
0.121
0.101
0.083
0.057
-0.363
0.037
0.153
0.014
0.008
0.000
0.000
0.005
0.004
0.399
0.771
0.401
0.758
0.375
0.704
0.349
0.317
-0.253
0.281
-0.316
0.243
0.580
0.206
0.171
0.112
0.053

7.67
7.81
8.99
4.72
6.51
9.68
10.37
11.07
12.31
4.26
13.54
8.06
16.00
17.20
47.91
17.79
4.93
6.20
3.35
3.03
3.75
3.25
4.67
3.71
5.17
5.70
6.02
6.25
5.42
6.80
4.43
7.37
7.94
9.08
10.76

32%
42%
39%
43%
44%
48%
59%
41%
59%
50%
47%
44%
51%
-

900
16825
4000
3850
12840
2740
38300
3200
407696
19000
27800
16254
16770
-

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

Glosario
Subyacente: accin o bono al cual est vinculada la opcin respectiva.
Precio: Es el precio de cierre de la accin/bono subyacente.
Tipo: Call (opcin de compra) / Put (opcin de venta).
Stike: Precio de ejercicio de la opcin.
Vto: es el mes en el cual vence la opcin.
Prima: ltimo precio de la opcin negociado en el mercado.
% Var: Variacin de la prima con relacin al precio de cierre inmediato anterior.
Prima Terica: Valor terico de la opcin de acuerdo al modelo de valuacin de Black and Scholes. Se utiliza la volatilidad historica de las ultimas 40 ruedas.
Dif. Vs Prima: relacin porcentual entre la prima terica y el precio de mercado.
Estado: Indica si la opcin est 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 intrnseco: Es la diferencia entre el precio de mercado y el precio de ejercicio. Slo se consigna en las opciones ejercibles (OTM).
Cobertura: Es la relacin 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 la diferencia entre el precio de ejercicio del lanzamiento y el precio de mercado del accin.
Delta: Letra griega que indica la variacin terica medida en pesos de la prima ante una variacin en el subyacente de un peso.
Gamma: Letra griega que indica la variacin terica del Delta ante una variacin de una unidad en el subyacente.
Vega: Letra griega que indica la variacin terica de la prima ante un cambio de una unidad en la volatilidad.
Theta: Letra griega que indica la variacin terica de la prima ante el paso del tiempo en das.
Rho: Letra griega que indica la variacin terica de la prima ante un cambio de un punto en la tasa de inters.
Efecto Palanca: Mide el grado de apalancamiento de la opcin. Es el retorno relativo a obtener por invertir en la opcin ante la variacin del activo subyacente de un peso.
Volatilidad implcita: Es la volatilidad que se deduce del modelo de valuacin de Black and Scholes, tomando como parmetro el precio de mercado de la opcin y como incgnita la volatilidad.
Volumen: Monto total operado.
San Martin 323 Piso 11 C.A.B.A. - Argentina - Te. 4000-1400 - 0810-1222-IOL (465)

Clusula Legal
Este reporte tiene el propsito de brindar informacin para generar debate. Mientras no est especificado el mismo no constituye ninguna oferta o recomendacin de compra o venta de los
instrumentos financieros mencionados. Por otro lado, este reporte no tiene en cuenta los objetivos de inversin y/o la situacin 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 inversin; sin
embargo, es finalmente el usuario o cliente el responsable ltimo de las decisiones de inversin que adopta debiendo estar tales decisiones basadas nicamente en sus circunstancias econmicas,
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 estn limitados a: riesgo de tasa de inters, riesgos
de liquidez, de tipo de cambio y el riesgo especfico de la empresa y/o sector.
Este documento contiene informacin histrica y prospectiva. Los rendimientos pasados no son garanta o indicativo de resultados futuros. Todos los precios, valores o estimaciones generadas en este
reporte (excepto aquellos identificados como histricos) son con fines indicativos.
Todos los datos utilizados en este reporte estn basados en fuentes que se consideran confiables y de buena fe, pero no implican garanta implcita o explcita de su precisin y completitud.
Mayor informacin al respecto se encuentra disponible de ser requerida.
Conflictos de Inters
Hemos implementado y mantenemos implementando un perodo de restriccin de 2 semanas sobre las carteras administradas previo a la emisin de un reporte de manera de evitar la compra/venta
de acciones especficas que se encuentran involucrados en el presente research.
Los analistas involucrados en la creacin de este research pueden tener intereses directos o indirectos dentro de las posiciones mencionadas en este reporte. En caso de ser as en el siguiente cuadro
se listarn aquellos activos en que los analistas tienen posiciones y la naturaleza de las mismas.
Fecha de Posicin

Alejandro Bianchi, CFA

Gerente de Inversiones
(54 11) 4000 1400
abianchi@invertironline.com

Julian Grau
Asesor Financiero
(54 11) 4000 1400
jgrau@invertironline.com

Analista

Posisicin

Alejandro Echeverri
Analista Cuantitativo
(54 11) 4000 1400
aecheverri@invertironline.com

Activo

Jos Luis Pavesa

Asesor Financiero
(54 11) 4000 1400
jlpavesa@invertironline.com

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

Andrs Robertson
Asesor Financiero
(54 11) 4000 1400
arobertson@invertironline.com