可轉(zhuǎn)債交易策略PPT課件

1、凱龍財(cái)金中國可轉(zhuǎn)債專業(yè)人員研討會1凱龍財(cái)金中國可轉(zhuǎn)債專業(yè)人員研討會2凱龍財(cái)金中國可轉(zhuǎn)債專業(yè)人員研討會3凱龍財(cái)金中國可轉(zhuǎn)債專業(yè)人員研討會4凱龍財(cái)金中國可轉(zhuǎn)債專業(yè)人員研討會5凱龍財(cái)金中國可轉(zhuǎn)債專業(yè)人員研討會6凱龍財(cái)金中國可轉(zhuǎn)債專業(yè)人員研討會7凱龍財(cái)金中國可轉(zhuǎn)債專業(yè)人員研討會8凱龍財(cái)金中國可轉(zhuǎn)債專業(yè)人員研討會9 轉(zhuǎn)債名稱 發(fā)行日期價內(nèi)外程度隱含波動度價內(nèi)外程度隱含波動度價內(nèi)外程度隱含波動度陽光轉(zhuǎn)債2002-4-181.1110.66%1.1311.60%1.1513.18%水運(yùn)轉(zhuǎn)債2002-8-131.02 NA1.036.36%1.044.54%絲綢轉(zhuǎn)22002-9-91.159.13%1.189

2、.63%1.199.35%燕京轉(zhuǎn)債2002-10-161.229.78%1.239.35%1.249.14%雅戈轉(zhuǎn)債2003-4-30.936.48%0.937.42%0.927.72%龍電轉(zhuǎn)債2003-6-30.987.46%0.997.44%1.017.76%山鷹轉(zhuǎn)債2003-6-161.087.17%1.057.24%1.057.99%桂冠轉(zhuǎn)債2003-6-301.1414.30%1.1614.80%1.1815.95%國電轉(zhuǎn)債2003-7-180.9810.66%113.87%1.0316.96%西寧轉(zhuǎn)債2003-8-111.1211.72%1.1110.92%1.1210.48%華西

3、轉(zhuǎn)債2003-9-11.116.45%1.126.47%1.115.01%云化轉(zhuǎn)債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日凱龍財(cái)金中國可轉(zhuǎn)債專業(yè)人員研討會10凱龍財(cái)金中國可轉(zhuǎn)債專業(yè)人員研討會11凱龍財(cái)金中國可轉(zhuǎn)債專業(yè)人員研討會12凱龍財(cái)金中國可轉(zhuǎn)債專業(yè)人員研討會13凱龍財(cái)金中國可轉(zhuǎn)債專業(yè)人員研討會14轉(zhuǎn)債名稱 日期主營業(yè)務(wù)利潤率應(yīng)收帳款周轉(zhuǎn)率存貨周轉(zhuǎn)率股東權(quán)益比資產(chǎn)負(fù)債比流動比率浦發(fā)銀行03-06-3041.75 NANA3.2496.761.12邯鄲鋼鐵03-06-3011.4135.19

4、3.5261.8638.141.52齊魯石化03-06-3013.0725.367.2772.1227.880.71東北高速03-06-3070.3362.481.7458.9831.151.38白云機(jī)場03-06-3054.5603 NANANANANA武鋼股份03-06-3014.43784.465.176.6223.382.55凱龍財(cái)金中國可轉(zhuǎn)債專業(yè)人員研討會15轉(zhuǎn)債名稱 轉(zhuǎn)債市價 股票價格 轉(zhuǎn)股價格 股票報(bào)酬 轉(zhuǎn)債報(bào)酬 成交量 成交金額 股票報(bào)酬 轉(zhuǎn)債報(bào)酬 成交量 成交金額陽光轉(zhuǎn)債99.926.497.59-0.76%-0.28%23390232333.51%-0.79%3536135

5、197民生轉(zhuǎn)債113.178.717.732.71%3.40% 3802823356714.19%3.80% 667226597351機(jī)場轉(zhuǎn)債11611.2103.42%0.24%33312880-0.27%0.43%88397642水運(yùn)轉(zhuǎn)債104.56.075.864.66%1.31%31684304918.20%3.18%4063039201雅戈轉(zhuǎn)債103.788.839.486.51%0.17%81874791717.29%0.24%8987086877龍電轉(zhuǎn)債105.026.17.330.16%0.26%1420913546-3.33%-0.08%3135729918山鷹轉(zhuǎn)債104.0

6、16.448.413.70%-0.55%348233495.57%-0.57%74647164桂冠轉(zhuǎn)債101.5110.0212.882.14%0.10%28589281401.11%-0.23%5045249643國電轉(zhuǎn)債106.49.9110.553.55%0.12%1046698271.95%-0.93%2345521991西寧轉(zhuǎn)債102.245.745.340.35%0.43%482074714710.81%2.14% 124879122834云化轉(zhuǎn)債100.998.919.43-0.45%0.23%26440262121.25%-0.12%4165441338復(fù)星轉(zhuǎn)債100.0810

7、.0410.065.80%1.19% 1392071391805.91% NA203995204880邯鋼轉(zhuǎn)債 NA5.545.343.94% NANANA0.54% NANANA轉(zhuǎn)債資料5日10日凱龍財(cái)金中國可轉(zhuǎn)債專業(yè)人員研討會16轉(zhuǎn)債名稱 轉(zhuǎn)債市價 股票價格 轉(zhuǎn)股價格 轉(zhuǎn)換價值 套利空間 轉(zhuǎn)股溢價 折現(xiàn)率 債券價值 債券溢價陽光轉(zhuǎn)債99.926.497.5985.51-14.4116.86%3.52%97.182.82%民生轉(zhuǎn)債113.178.717.73112.68-0.490.44%3.52%93.0421.63%機(jī)場轉(zhuǎn)債11611.210112-43.57%3.28%104.8110

8、.67%水運(yùn)轉(zhuǎn)債104.56.075.86103.58-0.920.88%4.22%88.817.68%雅戈轉(zhuǎn)債103.788.839.4893.14-10.6411.42%3.52%99.114.71%龍電轉(zhuǎn)債105.026.17.3383.22-21.826.20%3.52%98.586.53%山鷹轉(zhuǎn)債104.016.448.4176.58-27.4335.83%3.52%96.417.88%桂冠轉(zhuǎn)債101.5110.0212.8877.8-23.7130.48%4.45%96.165.56%國電轉(zhuǎn)債106.49.9110.5593.93-12.4713.27%4.45%97.199.47

9、%西寧轉(zhuǎn)債102.245.745.34107.495.25-4.88%4.45%92.2510.84%云化轉(zhuǎn)債100.998.919.4394.49-6.56.88%3.52%965.20%復(fù)星轉(zhuǎn)債100.0810.0410.0699.8-0.280.28%4.45%92.188.56%邯鋼轉(zhuǎn)債 NA5.545.34103.75 NANA4.45%93.29 NA轉(zhuǎn)債資料價值分析凱龍財(cái)金中國可轉(zhuǎn)債專業(yè)人員研討會17轉(zhuǎn)債名稱 日期已轉(zhuǎn)股數(shù)未轉(zhuǎn)股數(shù)轉(zhuǎn)股比例陽光轉(zhuǎn)債2003-9-3015815.467184.619.05%民生轉(zhuǎn)債2003-11-2655401.2965344598.703513.8

10、5%機(jī)場轉(zhuǎn)債2003-11-2573240.161759.954.25%水運(yùn)轉(zhuǎn)債2003-10-131118.616130881.38393.50%雅戈轉(zhuǎn)債2003-11-711.4708118988.52920.01%凱龍財(cái)金中國可轉(zhuǎn)債專業(yè)人員研討會18轉(zhuǎn)債名稱 5日股性10日股性 20日股性陽光轉(zhuǎn)債0.37%-0.23%-0.33%民生轉(zhuǎn)債1.25%0.91%0.78%機(jī)場轉(zhuǎn)債0.07%-1.62%1.62%水運(yùn)轉(zhuǎn)債0.28%0.39%0.31%雅戈轉(zhuǎn)債0.03%0.03%-0.09%龍電轉(zhuǎn)債1.57%0.02%0.04%山鷹轉(zhuǎn)債-0.15%-0.10%-0.24%桂冠轉(zhuǎn)債0.05%-0.

11、20%-0.10%國電轉(zhuǎn)債0.03%-0.48%-0.28%西寧轉(zhuǎn)債1.24%0.20%0.20%云化轉(zhuǎn)債-0.51%-0.09%0.37%復(fù)星轉(zhuǎn)債0.21% NANA邯鋼轉(zhuǎn)債 NANANA凱龍財(cái)金中國可轉(zhuǎn)債專業(yè)人員研討會19轉(zhuǎn)債名稱 轉(zhuǎn)股期到期日重設(shè)條款 贖回條款 回售條款陽光轉(zhuǎn)債2003-4-182005-4-170%0% NA民生轉(zhuǎn)債2003-8-272008-2-260% NANA機(jī)場轉(zhuǎn)債2000-8-252005-2-240%0% NA水運(yùn)轉(zhuǎn)債2003-8-132007-8-120%0% NA雅戈轉(zhuǎn)債2003-10-32006-4-2100%0%0%龍電轉(zhuǎn)債2003-12-32008

12、-6-20% NANA山鷹轉(zhuǎn)債2003-12-162008-6-15100% NANA桂冠轉(zhuǎn)債2004-6-302008-6-29100% NANA國電轉(zhuǎn)債2004-1-182008-7-170% NANA西寧轉(zhuǎn)債2004-2-112008-8-100% NANA云化轉(zhuǎn)債2004-3-102006-9-925% NANA復(fù)星轉(zhuǎn)債2004-4-282008-10-27 NANANA邯鋼轉(zhuǎn)債2004-5-262008-11-250% NANA條款警示凱龍財(cái)金中國可轉(zhuǎn)債專業(yè)人員研討會20轉(zhuǎn)債名稱 轉(zhuǎn)債市價 股票價格 轉(zhuǎn)股價格 波動度理論價格 溢折價比 折現(xiàn)率 債券價值 債券溢價 股性陽光轉(zhuǎn)債99.9

13、26.497.59 16.43%100.19-0.27%3.52%97.182.82% 0.18%民生轉(zhuǎn)債113.178.717.73 11.53%118.46-4.46%3.52%93.0421.63% 0.61%機(jī)場轉(zhuǎn)債11611.210 15.11%115.940.05%3.28%104.8110.67% 0.70%水運(yùn)轉(zhuǎn)債104.56.075.867.76%106.67-2.04%4.22%88.817.68% 0.76%雅戈轉(zhuǎn)債103.788.839.489.96%104.25-0.45%3.52%99.114.71% 0.22%龍電轉(zhuǎn)債105.026.17.33 14.97%105

14、.28-0.25%3.52%98.586.53% 0.18%山鷹轉(zhuǎn)債104.016.448.41 20.45%105.5-1.41%3.52%96.417.88% 0.08%桂冠轉(zhuǎn)債101.5110.0212.88 12.39%100.810.69%4.45%96.165.56% 0.11%國電轉(zhuǎn)債106.49.9110.55 14.62%105.650.71%4.45%97.199.47% 0.55%西寧轉(zhuǎn)債102.245.745.346.84%113.65-10.04%4.45%92.2510.84% 0.45%云化轉(zhuǎn)債100.998.919.433.45%99.181.83%3.52%9

15、65.20% 0.94%復(fù)星轉(zhuǎn)債100.0810.0410.06 NANANA4.45%92.188.56% NA邯鋼轉(zhuǎn)債 NA5.545.34 NANANA4.45%93.29 NANA債券資料行情分析凱龍財(cái)金中國可轉(zhuǎn)債專業(yè)人員研討會21轉(zhuǎn)債名稱 轉(zhuǎn)債市價 股票價格 轉(zhuǎn)股價格 波動度理論價格 溢折價比 波動度理論價格 溢折價比 波動度理論價格 溢折價比陽光轉(zhuǎn)債99.926.497.59 16.43%99.720.20% 17.42%100.12-0.20% 17.62%100.19-0.27%民生轉(zhuǎn)債113.178.717.73 11.53%118.06-4.14% 11.53%118.06

16、-4.14% 11.53%118.06-4.14%機(jī)場轉(zhuǎn)債11611.210 15.11%115.710.25% 16.76%116.33-0.29% 15.36%115.810.17%水運(yùn)轉(zhuǎn)債104.56.075.867.76%106.79-2.14%8.86%107.17-2.49%9.73%107.54-2.83%雅戈轉(zhuǎn)債103.788.839.489.96%103.590.19%9.86%103.530.24% 10.33%103.83-0.04%龍電轉(zhuǎn)債105.026.17.33 14.97%104.290.70% 15.27%104.480.52% 14.74%104.130.85

17、%山鷹轉(zhuǎn)債104.016.448.41 20.45%104.89-0.84% 17.08%104.79-0.75% 14.89%104.79-0.75%桂冠轉(zhuǎn)債101.5110.0212.88 12.39%101.340.16% 13.93%102.35-0.83% 14.19%102.53-0.99%國電轉(zhuǎn)債106.49.9110.55 14.62%106.350.04% 15.48%106.89-0.46% 15.31%106.74-0.32%西寧轉(zhuǎn)債102.245.745.346.84%113.92-10.26%7.98%114.28-10.54%8.85%114.61-10.80%云化

18、轉(zhuǎn)債100.998.919.433.45%100.560.43%3.80%100.770.21%4.14%100.990.00%復(fù)星轉(zhuǎn)債100.0810.0410.06 NANANANANANANANANA邯鋼轉(zhuǎn)債 NA5.545.34 NANANANANANANANANA轉(zhuǎn)債資料5日隱含波動度10日隱含波動度20日隱含波動度凱龍財(cái)金中國可轉(zhuǎn)債專業(yè)人員研討會22凱龍財(cái)金中國可轉(zhuǎn)債專業(yè)人員研討會23凱龍財(cái)金中國可轉(zhuǎn)債專業(yè)人員研討會24凱龍財(cái)金中國可轉(zhuǎn)債專業(yè)人員研討會25凱龍財(cái)金中國可轉(zhuǎn)債專業(yè)人員研討會26轉(zhuǎn)債名稱 損益績效損益績效風(fēng)險損益績效損益績效陽光轉(zhuǎn)債0.10%0.31-0.10%-0.3

19、3 0.32%0.73%2.321.42%4.49民生轉(zhuǎn)債-6.54%-4.85-5.34%-3.96 1.35% -2.83%-2.1 -1.52%-1.12機(jī)場轉(zhuǎn)債-2.47%-3.69-1.16%-1.73 0.67%1.75%2.63.32%4.95水運(yùn)轉(zhuǎn)債-5.00%-7.63-3.60%-5.48 0.66% -0.69%-1.050.82%1.25雅戈轉(zhuǎn)債-0.35%-1.34-0.13%-0.48 0.26%0.88%3.321.61%6.07龍電轉(zhuǎn)債1.48%6.630.21%0.96 0.22%1.23%5.511.92%8.59山鷹轉(zhuǎn)債-0.93%-2.69-0.89%-2.58 0.35% -0.71%-2.05 -0.47%-1.34桂冠轉(zhuǎn)債-2.62%-5.23-1.36%-2.71 0.50%1.72%3.450.13%0.27國電轉(zhuǎn)債-1.84%-3.62-0.85%-1.67 0.51%