可转债交易策略分析

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1、12345678 转债名称 发行日期价内外程度隐含波动度价内外程度隐含波动度价内外程度隐含波动度阳光转债2002-4-181.1110.66%1.1311.60%1.1513.18%水运转债2002-8-131.02 NA1.036.36%1.044.54%丝绸转22002-9-91.159.13%1.189.63%1.199.35%燕京转债2002-10-161.229.78%1.239.35%1.249.14%雅戈转债2003-4-30.936.48%0.937.42%0.927.72%龙电转债2003-6-30.987.46%0.997.44%1.017.76%山鹰转债2003-6-16

2、1.087.17%1.057.24%1.057.99%桂冠转债2003-6-301.1414.30%1.1614.80%1.1815.95%国电转债2003-7-180.9810.66%113.87%1.0316.96%西宁转债2003-8-111.1211.72%1.1110.92%1.1210.48%华西转债2003-9-11.116.45%1.126.47%1.115.01%云化转债2003-9-101.166.77%1.156.50%1.135.66%平均1.089.14%1.099.30%1.19.48%5日10日20日910111213转债名称 日期主营业务利润率应收帐款周转率存货

3、周转率股东权益比资产负债比流动比率浦发银行03-06-3041.75 NANA3.2496.761.12邯郸钢铁03-06-3011.4135.193.5261.8638.141.52齐鲁石化03-06-3013.0725.367.2772.1227.880.71东北高速03-06-3070.3362.481.7458.9831.151.38白云机场03-06-3054.5603 NANANANANA武钢股份03-06-3014.43784.465.176.6223.382.5514转债名称 转债市价 股票价格 转股价格 股票报酬 转债报酬 成交量 成交金额 股票报酬 转债报酬 成交量 成交金

4、额阳光转债99.926.497.59-0.76%-0.28%23390232333.51%-0.79%3536135197民生转债113.178.717.732.71%3.40% 3802823356714.19%3.80% 667226597351机场转债11611.2103.42%0.24%33312880-0.27%0.43%88397642水运转债104.56.075.864.66%1.31%31684304918.20%3.18%4063039201雅戈转债103.788.839.486.51%0.17%81874791717.29%0.24%8987086877龙电转债105.02

5、6.17.330.16%0.26%1420913546-3.33%-0.08%3135729918山鹰转债104.016.448.413.70%-0.55%348233495.57%-0.57%74647164桂冠转债101.5110.0212.882.14%0.10%28589281401.11%-0.23%5045249643国电转债106.49.9110.553.55%0.12%1046698271.95%-0.93%2345521991西宁转债102.245.745.340.35%0.43%482074714710.81%2.14% 124879122834云化转债100.998.91

6、9.43-0.45%0.23%26440262121.25%-0.12%4165441338复星转债100.0810.0410.065.80%1.19% 1392071391805.91% NA203995204880邯钢转债 NA5.545.343.94% NANANA0.54% NANANA转债资料5日10日15转债名称 转债市价 股票价格 转股价格 转换价值 套利空间 转股溢价 折现率 债券价值 债券溢价阳光转债99.926.497.5985.51-14.4116.86%3.52%97.182.82%民生转债113.178.717.73112.68-0.490.44%3.52%93.04

7、21.63%机场转债11611.210112-43.57%3.28%104.8110.67%水运转债104.56.075.86103.58-0.920.88%4.22%88.817.68%雅戈转债103.788.839.4893.14-10.6411.42%3.52%99.114.71%龙电转债105.026.17.3383.22-21.826.20%3.52%98.586.53%山鹰转债104.016.448.4176.58-27.4335.83%3.52%96.417.88%桂冠转债101.5110.0212.8877.8-23.7130.48%4.45%96.165.56%国电转债106

8、.49.9110.5593.93-12.4713.27%4.45%97.199.47%西宁转债102.245.745.34107.495.25-4.88%4.45%92.2510.84%云化转债100.998.919.4394.49-6.56.88%3.52%965.20%复星转债100.0810.0410.0699.8-0.280.28%4.45%92.188.56%邯钢转债 NA5.545.34103.75 NANA4.45%93.29 NA转债资料价值分析16转债名称 日期已转股数未转股数转股比例阳光转债2003-9-3015815.467184.619.05%民生转债2003-11-2

9、655401.2965344598.703513.85%机场转债2003-11-2573240.161759.954.25%水运转债2003-10-131118.616130881.38393.50%雅戈转债2003-11-711.4708118988.52920.01%17转债名称 5日股性10日股性 20日股性阳光转债0.37%-0.23%-0.33%民生转债1.25%0.91%0.78%机场转债0.07%-1.62%1.62%水运转债0.28%0.39%0.31%雅戈转债0.03%0.03%-0.09%龙电转债1.57%0.02%0.04%山鹰转债-0.15%-0.10%-0.24%桂冠

10、转债0.05%-0.20%-0.10%国电转债0.03%-0.48%-0.28%西宁转债1.24%0.20%0.20%云化转债-0.51%-0.09%0.37%复星转债0.21% NANA邯钢转债 NANANA18轉債名稱 轉股期到期日重設條款 贖回條款 回售條款阳光转债2003-4-182005-4-170%0% NA民生转债2003-8-272008-2-260% NANA机场转债2000-8-252005-2-240%0% NA水运转债2003-8-132007-8-120%0% NA雅戈转债2003-10-32006-4-2100%0%0%龙电转债2003-12-32008-6-20%

11、 NANA山鹰转债2003-12-162008-6-15100% NANA桂冠转债2004-6-302008-6-29100% NANA国电转债2004-1-182008-7-170% NANA西宁转债2004-2-112008-8-100% NANA云化转债2004-3-102006-9-925% NANA复星转债2004-4-282008-10-27 NANANA邯钢转债2004-5-262008-11-250% NANA條款警示19转债名称 转债市价 股票价格 转股价格 波动度理论价格 溢折价比 折现率 债券价值 债券溢价 股性阳光转债99.926.497.59 16.43%100.19

12、-0.27%3.52%97.182.82% 0.18%民生转债113.178.717.73 11.53%118.46-4.46%3.52%93.0421.63% 0.61%机场转债11611.210 15.11%115.940.05%3.28%104.8110.67% 0.70%水运转债104.56.075.867.76%106.67-2.04%4.22%88.817.68% 0.76%雅戈转债103.788.839.489.96%104.25-0.45%3.52%99.114.71% 0.22%龙电转债105.026.17.33 14.97%105.28-0.25%3.52%98.586.5

13、3% 0.18%山鹰转债104.016.448.41 20.45%105.5-1.41%3.52%96.417.88% 0.08%桂冠转债101.5110.0212.88 12.39%100.810.69%4.45%96.165.56% 0.11%国电转债106.49.9110.55 14.62%105.650.71%4.45%97.199.47% 0.55%西宁转债102.245.745.346.84%113.65-10.04%4.45%92.2510.84% 0.45%云化转债100.998.919.433.45%99.181.83%3.52%965.20% 0.94%复星转债100.08

14、10.0410.06 NANANA4.45%92.188.56% NA邯钢转债 NA5.545.34 NANANA4.45%93.29 NANA债券资料行情分析20转债名称 转债市价 股票价格 转股价格 波动度理论价格 溢折价比 波动度理论价格 溢折价比 波动度理论价格 溢折价比阳光转债99.926.497.59 16.43%99.720.20% 17.42%100.12-0.20% 17.62%100.19-0.27%民生转债113.178.717.73 11.53%118.06-4.14% 11.53%118.06-4.14% 11.53%118.06-4.14%机场转债11611.210

15、 15.11%115.710.25% 16.76%116.33-0.29% 15.36%115.810.17%水运转债104.56.075.867.76%106.79-2.14%8.86%107.17-2.49%9.73%107.54-2.83%雅戈转债103.788.839.489.96%103.590.19%9.86%103.530.24% 10.33%103.83-0.04%龙电转债105.026.17.33 14.97%104.290.70% 15.27%104.480.52% 14.74%104.130.85%山鹰转债104.016.448.41 20.45%104.89-0.84%

16、 17.08%104.79-0.75% 14.89%104.79-0.75%桂冠转债101.5110.0212.88 12.39%101.340.16% 13.93%102.35-0.83% 14.19%102.53-0.99%国电转债106.49.9110.55 14.62%106.350.04% 15.48%106.89-0.46% 15.31%106.74-0.32%西宁转债102.245.745.346.84%113.92-10.26%7.98%114.28-10.54%8.85%114.61-10.80%云化转债100.998.919.433.45%100.560.43%3.80%1

17、00.770.21%4.14%100.990.00%复星转债100.0810.0410.06 NANANANANANANANANA邯钢转债 NA5.545.34 NANANANANANANANANA转债资料5日隐含波动度10日隐含波动度20日隐含波动度2122232425转债名称 损益绩效损益绩效风险损益绩效损益绩效阳光转债0.10%0.31-0.10%-0.33 0.32%0.73%2.321.42%4.49民生转债-6.54%-4.85-5.34%-3.96 1.35% -2.83%-2.1 -1.52%-1.12机场转债-2.47%-3.69-1.16%-1.73 0.67%1.75%2

18、.63.32%4.95水运转债-5.00%-7.63-3.60%-5.48 0.66% -0.69%-1.050.82%1.25雅戈转债-0.35%-1.34-0.13%-0.48 0.26%0.88%3.321.61%6.07龙电转债1.48%6.630.21%0.96 0.22%1.23%5.511.92%8.59山鹰转债-0.93%-2.69-0.89%-2.58 0.35% -0.71%-2.05 -0.47%-1.34桂冠转债-2.62%-5.23-1.36%-2.71 0.50%1.72%3.450.13%0.27国电转债-1.84%-3.62-0.85%-1.67 0.51%1.

19、07%2.12.17%4.25西宁转债-11.61% -21.55 -10.94% -20.32 0.54% -9.55% -17.74 -8.85% -16.43云化转债-0.92%-3.76-0.45%-1.85 0.24%1.63%6.643.13%12.79复星转债 NANANANANANANANANA邯钢转债 NANANANANANANANANA涨跌幅(-4%)涨跌幅(-2%)涨跌幅(2%)涨跌幅(4%)26272829转债名称 转股日期总次数 平均套利空间平均报酬率万科转债2002-12-13320.890.78%0.78%丝绸转22003-3-912.432.46%2.46%阳光转债2003-4-18101.321.23%1.23%钢钒转债2003-7-22280.690.57%0.57%水运转债2003-8-1360.310.29%0.29%民生转债2003-8-27240.650.58%0.58%雅戈转债2003-10-3000.00%0.00%燕京转债2003-10-16000.00%0.00%丰原转债2003-10-24000.00%0.00%铜都转债2003-11-2151.050.95%0.95%龙电转债2003-12-3000.00%0.00%30313233