Reporte de Opciones

Flavia Matsuda Analista Cuantitativo @FlaviMatsuda [email protected]

viernes, 23 de septiembre de 2016 Subyacente

Precio

Serie

Tipo

Strike

Vto

Dias al Vto

Prima

% Var

Prima Teórica

Dif.vs Prima

Estado

AGRO ALUA

18.80 9.99 9.99 9.99 9.99 9.99 9.99 9.99 9.99 9.99 9.99 9.99 70.65 70.65 70.65 70.65 70.65 70.65 70.65 70.65 70.65 70.65 70.65 70.65 70.65 70.65 70.65 70.65 70.65 70.65 70.65 70.65 70.65 70.65 70.65 70.65 70.65 70.65 70.65 70.65 70.65

AGRC20.0OC ALUC5.80OC ALUC5.80DI ALUC5.80FE ALUC7.60OC ALUC8.50OC ALUC9.40OC ALUC9.40DI ALUC10.75O ALUC10.75D ALUC11.2OC ALUC11.2DI PBRC18.4OC PBRC18.4DI PBRC18.4FE PBRC22.4OC PBRC26.4DI PBRC30.4OC PBRC30.4FE PBRC34.4OC PBRC42.4FE PBRC46.4OC PBRC50.4OC PBRC54.4OC PBRC58.4OC PBRC58.4DI PBRC62.4OC PBRC66.4OC PBRC66.4DI PBRC70.4OC PBRC70.4DI PBRC74.4OC PBRC74.4DI PBRC78.4OC PBRC78.4DI PBRC82.4OC PBRC82.4DI PBRC86.4OC PBRC86.4DI PBRC90.4OC PBRV18.4OC

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 Call Call Call Call Put

20.000 5.800 5.800 5.800 7.600 8.500 9.400 9.400 10.700 10.700 11.200 11.200 18.400 18.400 18.400 22.400 26.400 30.400 30.400 34.400 42.400 46.400 50.400 54.400 58.400 58.400 62.400 66.400 66.400 70.400 70.400 74.400 74.400 78.400 78.400 82.400 82.400 86.400 86.400 90.400 18.400

OC OC DI FE OC OC OC DI O D OC DI OC DI FE OC DI OC FE OC FE OC OC OC OC DI OC OC DI OC DI OC DI OC DI OC DI OC DI OC OC

20.00 20.00 83.00 145.00 20.00 20.00 20.00 83.00 20.00 83.00 20.00 83.00 20.00 83.00 145.00 20.00 83.00 20.00 145.00 20.00 145.00 20.00 20.00 20.00 20.00 83.00 20.00 20.00 83.00 20.00 83.00 20.00 83.00 20.00 83.00 20.00 83.00 20.00 83.00 20.00 20.00

0.00 0.00 0.00 0.00 2.40 0.00 0.75 0.00 0.10 0.00 0.00 0.00 52.10 0.00 0.00 0.00 0.00 40.50 0.00 0.00 0.00 0.00 21.00 16.20 12.50 0.00 9.30 6.60 0.00 3.90 7.20 2.01 0.00 1.00 0.00 0.52 0.00 0.29 0.00 0.25 0.00

7% -6% -29% 0% -11% -5% -9% -16% -17% -16% -24% 0% -31% -31% -21% -24% -4% -

0.51 4.28 4.53 4.77 2.50 1.62 0.75 1.21 0.05 0.39 0.01 0.22 52.53 53.34 54.10 48.59 45.81 40.71 43.31 36.77 32.66 24.95 21.01 17.10 13.26 16.80 9.65 6.50 11.19 4.01 8.91 2.25 6.97 1.15 5.37 0.54 4.08 0.23 3.06 0.09 0.00

0.044 0.000 -0.544 0.008 0.005 0.001 0.055 0.061 0.038 -0.015 0.028 0.237 0.120 0.151 0.033 -0.206 -0.635 -

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

APBR

Valor Intrínseco 4.19 4.19 4.19 2.39 1.49 0.59 0.59

52.25 52.25 52.25 48.25 44.25 40.25 40.25 36.25 28.25 24.25 20.25 16.25 12.25 12.25 8.25 4.25 4.25 0.25 0.25

Cobertura %

Tasa Lanzam. %

24.02%

0.1%

7.51%

1.7%

1.00%

8.2%

73.74%

-0.8%

57.32%

0.8%

29.72% 22.93% 17.69%

1.5% -0.1% 0.4%

13.16% 9.34%

1.7% 3.7%

5.52% 10.19% 2.85%

5.5% 11.0% 8.4%

1.42%

12.6%

0.74%

17.5%

0.41%

22.8%

0.35%

28.4%

Delta

Gamma

Vega

Theta

Rho

Efecto Palanca

Volat. Implícita

Volumen

0.365 1.000 1.000 1.000 1.000 1.000 0.927 0.884 0.165 0.492 0.034 0.328 1.000 1.000 1.000 1.000 1.000 1.000 0.999 1.000 0.983 1.000 0.999 0.992 0.963 0.881 0.891 0.761 0.738 0.586 0.652 0.402 0.563 0.245 0.475 0.134 0.392 0.066 0.318 0.029 0.000

0.172 0.000 0.000 0.000 0.000 0.003 0.261 0.183 0.465 0.374 0.140 0.338 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.002 0.000 0.000 0.003 0.010 0.012 0.022 0.037 0.019 0.046 0.022 0.046 0.024 0.038 0.024 0.026 0.023 0.015 0.021 0.008 0.000

0.017 0.000 0.000 0.000 0.000 0.000 0.003 0.009 0.006 0.019 0.002 0.017 0.000 0.000 0.000 0.000 0.000 0.000 0.001 0.000 0.019 0.000 0.001 0.004 0.014 0.068 0.032 0.053 0.110 0.066 0.125 0.066 0.134 0.053 0.135 0.037 0.130 0.022 0.121 0.011 0.000

-0.169 -0.029 -0.028 -0.026 -0.038 -0.043 -0.056 -0.047 -0.030 -0.041 -0.008 -0.032 -0.092 -0.088 -0.084 -0.112 -0.126 -0.152 -0.140 -0.172 -0.209 -0.232 -0.257 -0.301 -0.390 -0.370 -0.531 -0.673 -0.435 -0.734 -0.447 -0.673 -0.442 -0.522 -0.421 -0.347 -0.389 -0.201 -0.348 -0.104 0.000

0.004 0.003 0.013 0.021 0.004 0.005 0.005 0.018 0.001 0.010 0.000 0.007 0.010 0.040 0.066 0.013 0.057 0.017 0.109 0.019 0.147 0.026 0.029 0.030 0.032 0.105 0.031 0.027 0.094 0.022 0.085 0.015 0.075 0.009 0.065 0.005 0.054 0.003 0.045 0.001 0.000

13.40 2.34 2.20 2.09 3.99 6.17 12.35 7.30 36.16 12.63 48.46 15.11 1.34 1.32 1.31 1.45 1.54 1.74 1.63 1.92 2.13 2.83 3.36 4.10 5.13 3.70 6.52 8.27 4.66 10.33 5.17 12.62 5.70 15.06 6.24 17.59 6.79 20.16 7.34 22.73 97.58

50% 22% 30% 50% 50% 50% 50% 50% 35% 51% 48% 36% 46% 47% 49% 52% 59% -

6000 9520 640 46850 24320 8400 3250 38050 19930 544307 1267638 12540 1422516 408680 120352 12229 13200 -

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

Reporte de Opciones

Subyacente

AUSO BHIP

BMA BRIO CAPX

CARC CECO2

CELU CEPU COME

Precio

Serie

Tipo

Strike

Vto

Dias al Vto

Prima

% Var

Prima Teórica

Dif.vs Prima

Estado

70.65 70.65 70.65 70.65 70.65 70.65 70.65 70.65 70.65 70.65 70.65 70.65 70.65 41.95 7.33 7.33 7.33 113.50 33.15 33.15 23.95 23.95 23.95 23.95 3.76 8.35 8.35 8.35 23.00 23.00 173.10 3.03 3.03 3.03 3.03 3.03 3.03 3.03 3.03 3.03 3.03 3.03 3.03 3.03 3.03 3.03 3.03

PBRV18.4DI PBRV42.4OC PBRV46.4OC PBRV50.4OC PBRV54.4OC PBRV58.4OC PBRV62.4OC PBRV66.4OC PBRV66.4DI PBRV70.4OC PBRV70.4DI PBRV74.4OC PBRV78.4OC AUSC40.0DI BHIC7.25DI BHIC8.05OC BHIC8.05DI BMAC120.OC BRIC32.0DI BRIC34.0DI CAPC18.0OC CAPC20.0OC CAPC24.0OC CAPC24.0DI CACC2.30OC CECC7.10OC CECC7.10DI CECC8.30DI CELC16.0DI CELC19.0OC CEPC88.0DI COMC2.00OC COMC2.00DI COMC2.20OC COMC2.20DI COMC2.60OC COMC2.80OC COMC2.80DI COMC3.00OC COMC3.00DI COMC3.00FE COMC3.15OC COMC3.15DI COMC3.30OC COMC3.30DI COMC3.30FE COMC3.45OC

Put Put Put Put Put Put Put Put Put Put Put Put Put 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

18.400 42.400 46.400 50.400 54.400 58.400 62.400 66.400 66.400 70.400 70.400 74.400 78.400 40.000 7.250 8.050 8.050 120.000 32.000 34.000 18.000 20.000 24.000 24.000 2.300 7.100 7.100 8.300 16.000 19.000 88.000 2.000 2.000 2.200 2.200 2.600 2.800 2.800 3.000 3.000 3.000 3.150 3.150 3.300 3.300 3.300 3.450

DI OC OC OC OC OC OC OC DI OC DI OC OC DI DI OC DI OC DI DI OC OC OC DI OC OC DI DI DI OC DI OC DI OC DI OC OC DI OC DI FE OC DI OC DI FE OC

83.00 20.00 20.00 20.00 20.00 20.00 20.00 20.00 83.00 20.00 83.00 20.00 20.00 83.00 83.00 20.00 83.00 20.00 83.00 83.00 20.00 20.00 20.00 83.00 20.00 20.00 83.00 83.00 83.00 20.00 83.00 20.00 83.00 20.00 83.00 20.00 20.00 83.00 20.00 83.00 145.00 20.00 83.00 20.00 83.00 145.00 20.00

0.00 0.00 0.00 0.00 0.00 0.00 0.35 1.10 0.00 2.40 0.00 4.00 7.50 0.00 0.00 0.15 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 1.25 1.65 0.00 0.00 0.00 0.00 1.02 0.00 0.00 0.00 0.00 0.37 0.00 0.14 0.35 0.00 0.08 0.20 0.05 0.00 0.00 0.03

-22% 36% 30% 19% 7% 200% -10% 0% 2% 27% -3% -13% -8% 25% -2% 0%

0.00 0.00 0.00 0.00 0.02 0.13 0.46 1.25 3.02 2.70 4.50 4.88 7.72 4.98 0.61 0.01 0.20 1.04 3.97 2.80 6.22 4.27 1.08 2.56 1.50 1.37 1.76 0.93 7.96 4.30 90.30 1.06 1.15 0.86 0.96 0.47 0.28 0.43 0.12 0.28 0.41 0.05 0.20 0.02 0.13 0.24 0.00

0.318 0.137 0.123 0.219 0.029 -0.928 0.093 0.064 0.039 -0.244 -0.116 -0.193 -0.341 -0.017 -0.666 -0.840

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

Valor Intrínseco

Cobertura %

Tasa Lanzam. %

3.75 7.75 1.95 0.08 2.05%

12.1%

14.97% 19.76%

0.0% 6.0%

33.66%

-0.5%

12.21%

5.3%

4.62% 11.55%

3.8% 11.9%

2.57% 6.60% 1.62%

6.7% 11.3% 10.7%

0.83%

14.8%

1.15 5.95 3.95

1.46 1.25 1.25 0.05 7.00 4.00 85.10 1.03 1.03 0.83 0.83 0.43 0.23 0.23 0.03 0.03 0.03

Delta

Gamma

Vega

Theta

Rho

Efecto Palanca

Volat. Implícita

Volumen

0.000 0.000 0.000 -0.001 -0.008 -0.037 -0.109 -0.239 -0.262 -0.414 -0.348 -0.598 -0.755 0.804 0.773 0.067 0.395 0.260 0.745 0.617 0.999 0.981 0.573 0.656 0.997 0.971 0.896 0.672 0.990 0.987 1.000 1.000 1.000 1.000 0.998 0.994 0.923 0.865 0.658 0.723 0.770 0.376 0.591 0.157 0.455 0.581 0.048

0.000 0.000 0.000 0.000 0.003 0.010 0.022 0.037 0.019 0.046 0.022 0.046 0.038 0.048 0.399 0.344 0.510 0.048 0.058 0.069 0.001 0.020 0.169 0.080 0.012 0.082 0.113 0.225 0.006 0.015 0.000 0.000 0.002 0.000 0.015 0.080 0.703 0.531 1.795 0.818 0.563 1.855 0.949 1.177 0.969 0.724 0.489

0.000 0.000 0.000 0.001 0.004 0.014 0.032 0.053 0.110 0.066 0.125 0.066 0.053 0.056 0.011 0.002 0.014 0.088 0.051 0.061 0.000 0.003 0.023 0.042 0.000 0.001 0.007 0.014 0.003 0.002 0.000 0.000 0.000 0.000 0.000 0.000 0.001 0.003 0.003 0.005 0.006 0.003 0.006 0.002 0.006 0.007 0.001

0.000 0.000 0.000 -0.005 -0.029 -0.098 -0.219 -0.341 -0.118 -0.382 -0.111 -0.301 -0.130 -0.212 -0.035 -0.011 -0.026 -0.513 -0.179 -0.178 -0.091 -0.116 -0.215 -0.138 -0.012 -0.043 -0.041 -0.048 -0.080 -0.106 -0.420 -0.010 -0.010 -0.011 -0.011 -0.013 -0.018 -0.015 -0.022 -0.015 -0.014 -0.018 -0.015 -0.011 -0.013 -0.013 -0.004

0.000 0.000 0.000 0.000 0.000 -0.002 -0.005 -0.010 -0.050 -0.018 -0.067 -0.027 -0.035 0.066 0.012 0.000 0.006 0.016 0.048 0.041 0.010 0.011 0.007 0.030 0.001 0.004 0.013 0.011 0.034 0.011 0.191 0.001 0.004 0.001 0.005 0.001 0.001 0.005 0.001 0.004 0.008 0.001 0.004 0.000 0.003 0.006 0.000

25.79 40.21 34.33 29.08 24.41 20.26 16.63 13.50 6.13 10.85 5.47 8.66 6.91 6.77 9.25 45.16 14.53 28.42 6.22 7.29 3.85 5.50 12.69 6.14 2.51 5.93 4.26 6.06 2.86 5.28 1.92 2.86 2.64 3.51 3.15 6.41 10.01 6.17 16.10 7.76 5.69 22.18 9.12 29.12 10.57 7.19 36.56

46% 47% 45% 36% 45% 52% 50% 50% 50% 74% 34% 41% 38% 29% 43% 45%

3720 181710 796158 126762 23950 450 27900 46050 2040 1110 29281 4200 62004 2960 21023 2912

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

2

Reporte de Opciones

Subyacente

CRES

CTIO

EDN

ERAR

Precio

Serie

Tipo

Strike

Vto

Dias al Vto

Prima

% Var

Prima Teórica

Dif.vs Prima

Estado

3.03 3.03 3.03 3.03 3.03 3.03 3.03 26.75 26.75 26.75 26.75 26.75 26.75 26.75 26.75 26.75 26.75 26.75 26.75 26.75 26.75 26.75 26.75 26.75 26.75 26.75 26.75 26.75 26.75 43.90 43.90 43.90 43.90 43.90 43.90 14.75 14.75 14.75 14.75 14.75 14.75 14.75 14.75 14.75 14.75 8.63 8.63

COMC3.45DI COMC3.60OC COMC3.75OC COMC3.90OC COMC3.90DI COMC4.05OC COMV3.15OC CREC11.0OC CREC11.0DI CREC11.0FE CREC14.0DI CREC19.0OC CREC20.0OC CREC22.0DI CREC23.0OC CREC24.0OC CREC25.0OC CREC25.0DI CREC26.0OC CREC27.0OC CREC28.0OC CREC28.0DI CREC29.0OC CREC30.0OC CREC30.0DI CREV26.0OC CREV26.0DI CREV26.0FE CREV27.0OC CTOC38.0OC CTOC44.0DI CTOC46.0OC CTOC46.0DI CTOC48.0OC CTOC48.0DI EDNC9.15OC EDNC9.15DI EDNC11.2OC EDNC12.7OC EDNC13.3OC EDNC13.3DI EDNC13.9OC EDNC13.9DI EDNV11.2OC EDNV11.2DI ERAC4.30OC ERAC4.30DI

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

3.450 3.600 3.750 3.900 3.900 4.050 3.150 11.000 11.000 11.000 14.000 19.000 20.000 22.000 23.000 24.000 25.000 25.000 26.000 27.000 28.000 28.000 29.000 30.000 30.000 26.000 26.000 26.000 27.000 38.000 44.000 46.000 46.000 48.000 48.000 9.150 9.150 11.200 12.700 13.300 13.300 13.900 13.900 11.200 11.200 4.300 4.300

DI OC OC OC DI OC OC OC DI FE DI OC OC DI OC OC OC DI OC OC OC DI OC OC DI OC DI FE OC OC DI OC DI OC DI OC DI OC OC OC DI OC DI OC DI OC DI

83.00 20.00 20.00 20.00 83.00 20.00 20.00 20.00 83.00 145.00 83.00 20.00 20.00 83.00 20.00 20.00 20.00 83.00 20.00 20.00 20.00 83.00 20.00 20.00 83.00 20.00 83.00 145.00 20.00 20.00 83.00 20.00 83.00 20.00 83.00 20.00 83.00 20.00 20.00 20.00 83.00 20.00 83.00 20.00 83.00 20.00 83.00

0.00 0.00 0.00 0.00 0.00 0.00 0.00 15.70 16.20 0.00 0.00 0.00 0.00 0.00 4.00 0.00 2.50 3.20 1.69 0.88 0.38 1.60 0.20 0.00 0.90 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 2.10 1.70 0.00 0.00 0.00 0.00 0.00 0.00 4.50

-1% -3% -6% 0% -3% 2% -2% -5% 7% -20% -5% -6% -3% -4%

0.08 0.00 0.00 0.00 0.02 0.00 0.12 15.92 16.40 16.86 13.58 8.04 7.05 6.11 4.11 3.15 2.26 3.64 1.48 0.88 0.47 1.80 0.22 0.09 1.01 0.34 0.65 0.73 0.72 6.47 3.08 0.28 1.87 0.04 1.03 5.74 6.14 3.72 2.25 1.69 2.44 1.18 2.00 0.00 0.02 4.39 4.58

0.014 0.012 0.027 -0.096 0.136 -0.122 0.000 0.227 0.125 0.095 0.123 0.073 -0.004 0.019

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

Valor Intrínseco

0.12 15.75 15.75 15.75 12.75 7.75 6.75 4.75 3.75 2.75 1.75 1.75 0.75

Cobertura %

Tasa Lanzam. %

58.69% 60.56%

-0.5% 4.3%

14.95%

1.1%

9.35% 11.96% 6.32% 3.29% 1.42% 5.98% 0.75%

3.1% 6.2% 3.8% 4.4% 6.2% 11.3% 9.2%

3.36%

16.1%

14.24% 11.53%

0.4% 1.9%

52.14%

4.1%

0.25 5.90

5.60 5.60 3.55 2.05 1.45 1.45 0.85 0.85

4.33 4.33

Delta

Gamma

Vega

Theta

Rho

Efecto Palanca

Volat. Implícita

Volumen

0.329 0.011 0.002 0.000 0.088 0.000 -0.624 1.000 1.000 1.000 1.000 1.000 1.000 0.963 0.988 0.954 0.873 0.824 0.732 0.546 0.357 0.570 0.202 0.099 0.389 -0.268 -0.251 -0.218 -0.454 1.000 0.759 0.246 0.581 0.050 0.392 1.000 0.999 1.000 0.977 0.926 0.855 0.823 0.787 0.000 -0.019 1.000 1.000

0.884 0.141 0.029 0.005 0.392 0.001 1.855 0.000 0.000 0.000 0.000 0.000 0.000 0.020 0.016 0.048 0.104 0.064 0.164 0.197 0.186 0.098 0.140 0.087 0.095 0.164 0.079 0.056 0.197 0.000 0.080 0.162 0.100 0.053 0.099 0.000 0.001 0.001 0.044 0.112 0.092 0.209 0.117 0.001 0.019 0.000 0.000

0.005 0.000 0.000 0.000 0.002 0.000 0.003 0.000 0.000 0.000 0.000 0.000 0.000 0.010 0.002 0.006 0.013 0.033 0.021 0.025 0.024 0.050 0.018 0.011 0.049 0.021 0.041 0.050 0.025 0.000 0.066 0.033 0.082 0.011 0.081 0.000 0.000 0.000 0.002 0.005 0.016 0.009 0.021 0.000 0.003 0.000 0.000

-0.011 -0.001 0.000 0.000 -0.004 0.000 -0.003 -0.055 -0.053 -0.050 -0.067 -0.095 -0.100 -0.113 -0.124 -0.146 -0.177 -0.137 -0.202 -0.202 -0.171 -0.134 -0.121 -0.071 -0.112 -0.072 -0.016 -0.004 -0.067 -0.190 -0.204 -0.156 -0.183 -0.044 -0.145 -0.046 -0.044 -0.056 -0.073 -0.090 -0.075 -0.110 -0.079 0.000 -0.003 -0.021 -0.021

0.002 0.000 0.000 0.000 0.001 0.000 -0.001 0.006 0.024 0.040 0.030 0.011 0.011 0.045 0.013 0.013 0.012 0.042 0.010 0.008 0.005 0.031 0.003 0.001 0.022 -0.004 -0.017 -0.026 -0.007 0.022 0.070 0.006 0.054 0.001 0.037 0.005 0.020 0.006 0.007 0.007 0.023 0.006 0.022 0.000 -0.001 0.002 0.009

12.10 44.22 51.93 59.58 16.91 67.12 15.27 1.68 1.63 1.59 1.97 3.33 3.79 4.21 6.44 8.10 10.34 6.06 13.19 16.60 20.46 8.47 24.65 29.05 10.28 20.99 10.31 7.98 16.80 6.78 10.83 38.77 13.61 54.78 16.76 2.57 2.40 3.96 6.40 8.07 5.18 10.25 5.81 45.97 15.32 1.96 1.88

50% 50% 50% 46% 50% 41% 31% 28% 27% 30% 29% 50% 36% 50%

59720 398000 400 13600 5760 45810 63135 32462 18430 1480 3550 13230 4890 23505

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

3

Reporte de Opciones

Subyacente

FRAN GARO GCLA GGAL

Precio

Serie

Tipo

Strike

Vto

Dias al Vto

Prima

% Var

Prima Teórica

Dif.vs Prima

Estado

8.63 8.63 8.63 8.63 8.63 8.63 8.63 8.63 8.63 8.63 8.63 8.63 8.63 8.63 8.63 8.63 8.63 100.30 100.30 9.18 177.00 46.15 46.15 46.15 46.15 46.15 46.15 46.15 46.15 46.15 46.15 46.15 46.15 46.15 46.15 46.15 46.15 46.15 46.15 46.15 46.15 46.15 46.15 46.15 46.15 46.15 46.15

ERAC4.30FE ERAC5.70OC ERAC5.95OC ERAC6.20OC ERAC6.20FE ERAC7.20OC ERAC7.70OC ERAC7.70DI ERAC8.30OC ERAC8.30DI ERAC8.70OC ERAC8.70DI ERAC9.10OC ERAC9.10DI ERAC9.50OC ERAV7.70DI ERAV8.70OC FRAC84.0OC FRAC88324O GARC10.5OC GCLC140.OC GFGC32.0OC GFGC36.0OC GFGC42.0OC GFGC42.0DI GFGC43.0OC GFGC44.0OC GFGC45.0OC GFGC45.0DI GFGC46.0OC GFGC46.0DI GFGC47.0OC GFGC47.0DI GFGC48.0OC GFGC48.0DI GFGC49.0OC GFGC49.0DI GFGC50.0OC GFGC50.0DI GFGC51.0OC GFGC55.0OC GFGC55.0DI GFGV11.0OC GFGV11.0DI GFGV11.0FE GFGV37.0DI GFGV42.0OC

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

4.300 5.700 5.950 6.200 6.200 7.200 7.700 7.700 8.300 8.300 8.700 8.700 9.100 9.100 9.500 7.700 8.700 84.000 88.320 10.500 140.000 32.000 36.000 42.000 42.000 43.000 44.000 45.000 45.000 46.000 46.000 47.000 47.000 48.000 48.000 49.000 49.000 50.000 50.000 51.000 55.000 55.000 11.000 11.000 11.000 37.000 42.000

FE OC OC OC FE OC OC DI OC DI OC DI OC DI OC DI OC OC O OC OC OC OC OC DI OC OC OC DI OC DI OC DI OC DI OC DI OC DI OC OC DI OC DI FE DI OC

145.00 20.00 20.00 20.00 145.00 20.00 20.00 83.00 20.00 83.00 20.00 83.00 20.00 83.00 20.00 83.00 20.00 20.00 20.00 20.00 20.00 20.00 20.00 20.00 83.00 20.00 20.00 20.00 83.00 20.00 83.00 20.00 83.00 20.00 83.00 20.00 83.00 20.00 83.00 20.00 20.00 83.00 20.00 83.00 145.00 83.00 20.00

0.00 0.00 0.00 2.50 0.00 0.00 1.00 0.00 0.51 1.20 0.30 0.65 0.14 0.40 0.08 0.08 0.35 0.00 0.00 0.00 0.00 0.00 0.00 4.55 0.00 3.50 2.50 2.00 0.00 1.35 0.00 0.88 2.40 0.64 2.00 0.44 0.00 0.30 0.00 0.00 0.07 0.60 0.02 0.00 0.00 0.12 0.15

9% 2% -3% 33% 5% 30% 8% 43% 0% -33% 0% 0% 5% 1% -4% 6% 0% 4% 0% 6% -9% 10% 11% 40% 0% -6% 0% -6%

4.76 3.02 2.77 2.52 3.05 1.54 1.05 1.42 0.51 0.94 0.25 0.68 0.09 0.46 0.03 0.04 0.19 17.57 13.33 0.01 39.12 14.63 10.69 4.84 6.95 3.93 3.08 2.31 4.69 1.66 4.04 1.14 3.44 0.74 2.91 0.45 2.43 0.26 2.01 0.14 0.01 0.67 0.00 0.00 0.00 0.03 0.06

0.009 0.050 0.013 -0.213 -0.178 0.043 -0.342 0.159 -0.675 -0.546 -0.471 0.064 0.122 0.231 0.157 0.231 0.292 0.435 0.161 0.453 0.030 -0.122 -0.891 0.116 -1.000 -0.759 -0.629

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

Valor Intrínseco 4.33 2.93 2.68 2.43 2.43 1.43 0.93 0.93 0.33 0.33

Cobertura %

Tasa Lanzam. %

28.97%

1.1%

11.59%

0.9%

5.85% 13.90% 3.48% 7.53% 1.62% 4.63% 0.93%

2.2% 11.7% 4.4% 9.0% 7.2% 10.6% 11.1%

9.86%

1.0%

7.58% 5.42% 4.33%

0.8% 0.8% 1.9%

2.93%

2.7%

1.91% 5.20% 1.38% 4.33% 0.95%

3.8% 7.4% 5.5% 8.7% 7.2%

0.65%

9.1%

0.15% 1.30%

19.4% 20.7%

0.07 16.30 11.98 37.00 14.15 10.15 4.15 4.15 3.15 2.15 1.15 1.15 0.15 0.15

Delta

Gamma

Vega

Theta

Rho

Efecto Palanca

Volat. Implícita

Volumen

1.000 1.000 1.000 1.000 0.997 0.999 0.982 0.928 0.815 0.805 0.558 0.686 0.283 0.550 0.104 -0.072 -0.442 0.999 0.992 0.029 1.000 1.000 1.000 0.956 0.895 0.911 0.840 0.743 0.766 0.624 0.711 0.495 0.652 0.369 0.591 0.258 0.529 0.169 0.468 0.103 0.008 0.209 0.000 0.000 0.000 -0.013 -0.044

0.000 0.000 0.000 0.000 0.007 0.005 0.082 0.127 0.494 0.255 0.731 0.329 0.627 0.367 0.334 0.127 0.731 0.000 0.004 0.116 0.000 0.000 0.000 0.031 0.030 0.053 0.081 0.107 0.051 0.126 0.057 0.132 0.061 0.125 0.064 0.107 0.066 0.083 0.066 0.060 0.007 0.048 0.000 0.000 0.000 0.006 0.031

0.000 0.000 0.000 0.000 0.001 0.000 0.001 0.006 0.006 0.011 0.008 0.015 0.007 0.016 0.004 0.006 0.008 0.000 0.005 0.001 0.000 0.000 0.000 0.010 0.040 0.018 0.027 0.036 0.068 0.042 0.076 0.044 0.082 0.042 0.086 0.036 0.088 0.028 0.088 0.020 0.002 0.064 0.000 0.000 0.000 0.007 0.010

-0.020 -0.028 -0.030 -0.031 -0.028 -0.036 -0.042 -0.040 -0.057 -0.043 -0.059 -0.043 -0.042 -0.040 -0.021 -0.003 -0.015 -0.422 -0.459 -0.007 -0.700 -0.160 -0.180 -0.246 -0.220 -0.274 -0.303 -0.324 -0.233 -0.329 -0.232 -0.311 -0.228 -0.272 -0.221 -0.220 -0.212 -0.165 -0.199 -0.114 -0.013 -0.118 0.000 0.000 0.000 -0.005 -0.036

0.015 0.003 0.003 0.004 0.022 0.004 0.004 0.015 0.004 0.014 0.003 0.012 0.001 0.010 0.000 -0.002 -0.002 0.048 0.050 0.000 0.079 0.018 0.020 0.023 0.079 0.022 0.021 0.018 0.071 0.016 0.066 0.012 0.061 0.009 0.056 0.007 0.051 0.004 0.045 0.003 0.000 0.021 0.000 0.000 0.000 -0.001 -0.001

1.81 2.86 3.12 3.42 2.82 5.60 8.07 5.63 13.76 7.36 19.52 8.73 26.54 10.24 34.40 17.10 20.60 5.71 7.46 43.07 4.52 3.15 4.32 9.12 5.94 10.70 12.60 14.81 7.53 17.32 8.12 20.08 8.74 23.07 9.39 26.23 10.06 29.55 10.75 32.97 47.25 14.39 339.91 88.24 52.57 20.98 36.46

50% 50% 25% 46% 33% 24% 33% 22% 37% 32% 46% 50% 50% 50% 18% 20% 21% 14% 25% 17% 27% 29% 38% 26% 50% 34% 34%

19850 7495 75810 26980 75636 13440 9100 1840 2400 800 5250 11720 17500 156489 454657 541272 289516 67440 125005 1000 16977 20580 168 1800 790 1140 519

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

4

Reporte de Opciones

Subyacente

INDU

JMIN METR MIRG

PAMP

PESA PETR

Precio

Serie

Tipo

Strike

Vto

Dias al Vto

Prima

% Var

Prima Teórica

Dif.vs Prima

Estado

46.15 46.15 46.15 46.15 46.15 46.15 46.15 46.15 3.66 3.66 3.66 3.66 33.45 33.45 8.50 8.50 1419.50 1419.50 1419.50 1419.50 1419.50 1419.50 1419.50 19.45 19.45 19.45 19.45 19.45 19.45 19.45 19.45 19.45 19.45 19.45 19.45 19.45 19.45 19.45 19.45 19.45 19.45 19.45 19.45 19.45 19.45 9.90 54.75

GFGV42.0DI GFGV44.0OC GFGV45.0OC GFGV45.0DI GFGV46.0OC GFGV46.0DI GFGV48.0OC GFGV48.0DI INDC3.20DI INDC3.60OC INDC3.60DI INDC4.00OC JMIC29.0DI JMIC36.0DI METC8.40OC METC8.40DI MIRC79333O MIRC800.DI MIRC1180.D MIRC1300.O MIRC1380.O MIRC1420.O MIRC1500.D PAMC10.7OC PAMC14.3OC PAMC14.3DI PAMC15.1DI PAMC15.5OC PAMC16.2OC PAMC16.2DI PAMC16.9OC PAMC17.6OC PAMC18.3OC PAMC19.0OC PAMC19.7OC PAMC21.1OC PAMC21.1DI PAMV11.5OC PAMV11.5DI PAMV11.5FE PAMV15.1OC PAMV15.5OC PAMV17.6OC PAMV18.3OC PAMV19.7OC PSAC9.95OC PETC52.0OC

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

42.000 44.000 45.000 45.000 46.000 46.000 48.000 48.000 3.200 3.600 3.600 4.000 29.000 36.000 8.400 8.400 793.300 800.000 1180.000 1300.000 1380.000 1420.000 1500.000 10.700 14.300 14.300 15.100 15.500 16.200 16.200 16.900 17.600 18.300 19.000 19.700 21.100 21.100 11.500 11.500 11.500 15.100 15.500 17.600 18.300 19.700 9.950 52.000

DI OC OC DI OC DI OC DI DI OC DI OC DI DI OC DI O DI .D .O .O .O .D OC OC DI DI OC OC DI OC OC OC OC OC OC DI OC DI FE OC OC OC OC OC OC OC

83.00 20.00 20.00 83.00 20.00 83.00 20.00 83.00 83.00 20.00 83.00 20.00 83.00 83.00 20.00 83.00 20.00 83.00 83.00 20.00 20.00 20.00 83.00 20.00 20.00 83.00 83.00 20.00 20.00 83.00 20.00 20.00 20.00 20.00 20.00 20.00 83.00 20.00 83.00 145.00 20.00 20.00 20.00 20.00 20.00 20.00 20.00

0.60 0.00 0.50 0.00 1.00 2.30 2.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 71.00 0.00 0.00 0.00 5.00 0.00 0.00 4.00 3.10 4.30 2.70 2.05 1.40 0.95 0.61 0.25 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.36 0.00 0.00 0.00

-30% -38% -20% -23% 0% 18% 16% 0% -6% 0% 4% 6% 0% -3% -1% 0% 3% -

0.32 0.26 0.48 0.88 0.82 1.17 1.86 1.92 0.74 0.24 0.49 0.08 7.18 3.35 0.36 0.80 638.19 666.78 315.11 144.52 81.60 57.03 96.05 8.91 5.37 6.01 5.27 4.19 3.50 4.30 2.82 2.17 1.58 1.07 0.67 0.20 1.11 0.00 0.00 0.00 0.00 0.00 0.06 0.15 0.62 0.16 4.02

-0.464 -0.033 -0.183 -0.491 -0.069 0.149 0.073 0.046 0.129 -0.001 0.046 0.060 0.127 0.125 0.096 -0.191 -0.579 -

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

Valor Intrínseco

Cobertura %

Tasa Lanzam. %

1.85 1.85 0.46 0.06 0.06 4.45 0.10 0.10 626.20 619.50 239.50 119.50 39.50

8.75 5.15 5.15 4.35 3.95 3.25 3.25 2.55 1.85 1.15 0.45

0.25 2.75

5.00%

2.3%

25.71%

-1.0%

20.57% 15.94% 22.11% 13.88% 10.54% 7.20% 4.88% 3.14% 1.29%

0.3% -0.9% 6.9% 0.9% 1.1% 1.4% 2.7% 4.6% 9.9%

Delta

Gamma

Vega

Theta

Rho

Efecto Palanca

Volat. Implícita

Volumen

-0.105 -0.160 -0.257 -0.234 -0.376 -0.289 -0.631 -0.409 0.823 0.626 0.670 0.293 0.816 0.534 0.668 0.727 1.000 1.000 0.944 0.904 0.717 0.588 0.546 1.000 1.000 0.989 0.976 0.998 0.992 0.939 0.972 0.923 0.831 0.694 0.528 0.225 0.484 0.000 0.000 -0.001 -0.001 -0.002 -0.077 -0.169 -0.472 0.654 0.808

0.030 0.081 0.107 0.051 0.126 0.057 0.125 0.064 0.293 0.853 0.408 0.774 0.030 0.045 0.631 0.289 0.000 0.000 0.000 0.001 0.003 0.003 0.002 0.000 0.000 0.009 0.018 0.003 0.013 0.037 0.039 0.089 0.156 0.217 0.246 0.186 0.123 0.000 0.000 0.001 0.001 0.003 0.089 0.156 0.246 1.399 0.062

0.040 0.027 0.036 0.068 0.042 0.076 0.042 0.086 0.005 0.003 0.006 0.003 0.043 0.064 0.007 0.014 0.000 0.001 0.768 0.578 1.152 1.325 2.698 0.000 0.000 0.003 0.005 0.000 0.001 0.011 0.003 0.007 0.012 0.016 0.019 0.014 0.037 0.000 0.000 0.001 0.000 0.000 0.007 0.012 0.019 0.009 0.036

-0.020 -0.083 -0.100 -0.018 -0.099 -0.012 -0.032 0.008 -0.021 -0.038 -0.023 -0.030 -0.201 -0.221 -0.062 -0.043 -3.966 -3.822 -6.290 -9.057 -11.275 -11.451 -7.270 -0.053 -0.072 -0.071 -0.077 -0.079 -0.086 -0.087 -0.099 -0.119 -0.142 -0.158 -0.156 -0.102 -0.096 0.000 0.000 0.000 0.000 -0.001 -0.031 -0.051 -0.058 -0.048 -0.404

-0.012 -0.004 -0.007 -0.027 -0.010 -0.033 -0.018 -0.048 0.005 0.001 0.005 0.001 0.046 0.033 0.003 0.012 0.450 1.732 2.359 0.655 0.539 0.448 1.564 0.006 0.008 0.030 0.032 0.009 0.009 0.032 0.009 0.009 0.008 0.007 0.006 0.002 0.019 0.000 0.000 0.000 0.000 0.000 -0.001 -0.002 -0.006 0.004 0.023

15.11 28.22 24.57 12.24 21.25 11.39 15.65 9.83 4.04 9.66 4.97 13.94 3.80 5.33 15.86 7.70 2.22 2.13 4.25 8.88 12.47 14.64 8.08 2.18 3.62 3.20 3.60 4.64 5.52 4.25 6.70 8.26 10.24 12.63 15.38 21.67 8.48 81.20 23.57 15.14 44.42 41.07 25.86 21.68 14.78 39.86 11.00

33% 28% 32% 42% 31% 24% 50% 50% 50% 35% 50% 50% 50% 27% 32% 38% 50% -

7275 24265 105423 1150 34285 40500 12500 281200 21443 50210 224558 239271 50908 56764 74990 7290 2972 -

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

5

Reporte de Opciones

Subyacente

Precio

Serie

Tipo

Strike

Vto

Dias al Vto

Prima

% Var

Prima Teórica

Dif.vs Prima

Estado

SAMI

134.50 134.50 134.50 134.50 134.50 134.50 56.80 9.05 9.05 21.35 21.35 8.50 8.50 8.50 8.50 8.50 8.50 8.50 8.50 8.50 8.50 8.50 8.50 8.50 196.40 196.40 196.40 196.40 196.40 196.40 264.50 264.50 264.50 264.50 264.50 264.50 264.50 264.50 264.50

SAMC64.0OC SAMC64.0DI SAMC100.DI SAMC100.OC SAMC120.OC SAMC130.OC TECC60.6OC TGNC8.50OC TGNC8.50DI TGSC19.9OC TGSC19.9DI TRAC5.80OC TRAC6.10OC TRAC6.10DI TRAC6.10FE TRAC6.40DI TRAC7.00OC TRAC7.00DI TRAC7.30OC TRAC7.60OC TRAC7.60DI TRAC7.90OC TRAC8.20OC TRAC8.50OC TS.C195.OC TS.C205.OC TS.C213.OC TS.C229.OC TS.C237.OC TS.V213.OC YPFC240.OC YPFC260.OC YPFC280.OC YPFC280.DI YPFC300.OC YPFC300.DI YPFV260.OC YPFV260.DI YPFV300.DI

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 Put Put Put

64.000 64.000 100.000 100.000 120.000 130.000 60.600 8.500 8.500 19.900 19.900 5.800 6.100 6.100 6.100 6.400 7.000 7.000 7.300 7.600 7.600 7.900 8.200 8.500 195.000 205.000 213.000 229.000 237.000 213.000 240.000 260.000 280.000 280.000 300.000 300.000 260.000 260.000 300.000

OC DI DI OC OC OC OC OC DI OC DI OC OC DI FE DI OC DI OC OC DI OC OC OC OC OC OC OC OC OC OC OC OC DI OC DI OC DI DI

20.00 83.00 83.00 20.00 20.00 20.00 20.00 20.00 83.00 20.00 83.00 20.00 20.00 83.00 145.00 83.00 20.00 83.00 20.00 20.00 83.00 20.00 20.00 20.00 20.00 20.00 20.00 20.00 20.00 20.00 20.00 20.00 20.00 83.00 20.00 83.00 20.00 83.00 83.00

0.00 0.00 0.00 34.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 2.40 0.00 0.00 0.00 1.50 2.70 1.60 1.10 1.60 0.75 0.65 0.00 0.00 4.00 0.00 0.50 0.00 0.00 0.00 13.00 3.00 0.00 1.05 0.00 0.00 0.00 0.00

8% 5% 1% 135% 21% 38% 24% 15% 30% -43% 0% -21% -32% 5% -

71.47 74.28 40.57 36.01 16.67 8.57 0.23 0.72 1.17 1.81 2.85 2.79 2.49 2.76 3.02 2.49 1.61 1.95 1.32 1.03 1.44 0.77 0.53 0.34 8.14 3.51 1.52 0.18 0.05 14.90 28.41 11.80 2.78 14.25 0.33 7.05 3.37 5.59 24.82

0.059 0.038 0.071 -0.280 -0.175 -0.062 -0.097 0.023 -0.178 -0.123 -0.636 -0.092 -0.074 -0.682 -

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

TECO2 TGNO4 TGSU2 TRAN

TS

YPFD

Valor Intrínseco 70.50 70.50 34.50 34.50 14.50 4.50 0.55 0.55 1.45 1.45 2.70 2.40 2.40 2.40 2.10 1.50 1.50 1.20 0.90 0.90 0.60 0.30

Cobertura %

Tasa Lanzam. %

25.28%

-0.5%

28.24%

0.0%

17.65% 31.76% 18.76% 12.94% 18.82% 8.82% 7.65%

0.0% 20.7% 5.7% 2.7% 10.1% 1.9% 4.5%

2.04%

6.5%

0.25%

16.9%

4.91% 1.13%

3.4% 7.1%

0.40%

13.9%

1.40

16.60 24.50 4.50

35.50

Delta

Gamma

Vega

Theta

Rho

Efecto Palanca

Volat. Implícita

Volumen

1.000 1.000 0.982 1.000 0.934 0.726 0.160 0.878 0.833 0.907 0.855 1.000 1.000 0.993 0.984 0.986 0.995 0.949 0.981 0.944 0.872 0.869 0.747 0.590 0.633 0.368 0.196 0.033 0.011 -0.804 0.961 0.702 0.272 0.538 0.048 0.332 -0.298 -0.253 -0.668

0.000 0.000 0.002 0.000 0.011 0.028 0.088 0.324 0.201 0.117 0.081 0.000 0.000 0.013 0.022 0.026 0.020 0.075 0.065 0.161 0.150 0.306 0.459 0.558 0.026 0.026 0.019 0.005 0.002 0.019 0.005 0.020 0.019 0.012 0.006 0.011 0.020 0.009 0.011

0.000 0.000 0.028 0.000 0.042 0.107 0.033 0.004 0.011 0.008 0.023 0.000 0.000 0.001 0.002 0.001 0.000 0.004 0.001 0.002 0.009 0.004 0.007 0.008 0.177 0.178 0.130 0.035 0.013 0.130 0.054 0.220 0.210 0.504 0.063 0.461 0.220 0.406 0.461

-0.320 -0.306 -0.508 -0.501 -0.809 -1.114 -0.157 -0.058 -0.045 -0.128 -0.105 -0.029 -0.031 -0.030 -0.029 -0.032 -0.036 -0.037 -0.041 -0.049 -0.042 -0.058 -0.067 -0.069 -1.498 -1.258 -0.854 -0.209 -0.078 0.211 -1.390 -1.878 -1.304 -1.221 -0.348 -0.932 -0.579 -0.091 0.501

0.036 0.139 0.211 0.057 0.063 0.051 0.005 0.004 0.015 0.010 0.035 0.003 0.003 0.013 0.021 0.014 0.004 0.014 0.004 0.004 0.014 0.004 0.003 0.003 0.067 0.040 0.021 0.004 0.001 -0.099 0.130 0.100 0.040 0.295 0.007 0.186 -0.047 -0.167 -0.464

1.88 1.81 3.26 3.73 7.53 11.39 39.95 11.09 6.44 10.68 6.40 3.05 3.41 3.06 2.76 3.37 5.26 4.15 6.34 7.78 5.13 9.62 11.89 14.54 15.27 20.58 25.31 35.50 40.73 10.60 8.94 15.73 25.87 9.99 37.89 12.47 23.41 11.98 7.12

50% 50% 50% 50% 50% 53% 49% 30% 51% 33% 37% 33% 28% 35% -

13400 24000 38050 2160 80466 22355 34240 133465 66186 400 500 2600 21115 7175 -

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

6

Glosario Subyacente: acción o bono al cual está vinculada la opción respectiva. Precio: Es el precio de cierre de la acción/bono subyacente. Tipo: Call (opción de compra) / Put (opción de venta). Strike: Precio de ejercicio de la opción. Días al Vto: Días corridos desde la fecha de análisis hasta el vencimiento de la opción. Vto: es el mes en el cual vence la opción. Prima: Último precio de la opción negociado en el mercado. % Var: Variación de la prima con relación al precio de cierre inmediato anterior. Prima Teórica: Valor teórico de la opción de acuerdo al modelo de valuación de Black and Scholes. Se utiliza la volatilidad historica de las ultimas 40 ruedas. Dif. Vs Prima: relación porcentual entre la prima teórica y el precio de mercado. Estado: Indica si la opción está 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 intrínseco: Es la diferencia entre el precio de mercado y el precio de ejercicio. Sólo se consigna en las opciones ejercibles (ITM). Cobertura: Es la relación 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 el ratio entre el precio de ejercicio del lanzamiento y la diferencia del precio de mercado del acción y la prima de la opción. Sólo aplica para las opciones de compra. Delta: Letra griega que indica la variación teórica medida en pesos de la prima ante una variación en el subyacente de un peso. Gamma: Letra griega que indica la variación teórica del Delta ante una variación de una unidad en el subyacente. Vega: Letra griega que indica la variación teórica de la prima ante un cambio de una unidad en la volatilidad. Theta: Letra griega que indica la variación teórica de la prima ante el paso del tiempo en días. Rho: Letra griega que indica la variación teórica de la prima ante un cambio de un punto en la tasa de interés. Efecto Palanca: Mide el grado de apalancamiento de la opción. Es el retorno relativo a obtener por invertir en la opción ante la variación del activo subyacente de un peso. Volatilidad implícita: Es la volatilidad que se deduce del modelo de valuación de Black and Scholes, tomando como parámetro el precio de mercado de la opción y como incógnita la volatilidad. Volumen: Monto total operado. San Martin 323 Piso 11 C.A.B.A. - Argentina - Te. 4000-1400 - 0810-1222-IOL (465)

Cláusula Legal Este reporte tiene el propósito de brindar información para generar debate. Mientras no esté especificado el mismo no constituye ninguna oferta o recomendación de compra o venta de los instrumentos financieros mencionados. Por otro lado, este reporte no tiene en cuenta los objetivos de inversión y/o la situación 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 inversión; sin embargo, es finalmente el usuario o cliente el responsable último de las decisiones de inversión que adopta debiendo estar tales decisiones basadas únicamente en sus circunstancias económicas, 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 están limitados a: riesgo de tasa de interés, riesgos de liquidez, de tipo de cambio y el riesgo específico de la empresa y/o sector. Este documento contiene información histórica y prospectiva. Los rendimientos pasados no son garantía o indicativo de resultados futuros. Todos los precios, valores o estimaciones generadas en este reporte (excepto aquellos identificados como históricos) son con fines indicativos. Todos los datos utilizados en este reporte están basados en fuentes que se consideran confiables y de buena fe, pero no implican garantía implícita o explícita de su precisión y completitud. Mayor información al respecto se encuentra disponible de ser requerida. Conflictos de Interés Hemos implementado y mantenemos implementando un período de restricción de 2 semanas sobre las carteras administradas previo a la emisión de un reporte de manera de evitar la compra/venta de acciones específicas que se encuentran involucrados en el presente research. Los analistas involucrados en la creación de este research pueden tener intereses directos o indirectos dentro de las posiciones mencionadas en este reporte. En caso de ser así en el siguiente cuadro se listarán aquellos activos en que los analistas tienen posiciones y la naturaleza de las mismas. Fecha de Posición

Alejandro Bianchi, CFA Gerente de Inversiones @aleebianchi fb.com/alejandro.emilio.bianchi

Flavia Matsuda Analista Cuantitativo @FlaviaMatsuda [email protected]

Analista

Posisición

Manuel Carpintero Asesor Financiero (54 11) 4000 1400 [email protected]

Activo

María Fernanda Lázaro Asesor Financiero (54 11) 4000 1400 [email protected]

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

Ignacio Muneta Asesor Financiero (54 11) 4000 1400 [email protected]