Documentos de Académico
Documentos de Profesional
Documentos de Cultura
Nro: 6457
Jueves, 25 de
septiembre de 2014
INFORME DIARIO
Rueda del 24 de septiembre de 2014
Ttulos Privados
ndice Merval
ndice Merval
Mnimo 11890.87
14000
+ 1.65%
Mximo 12263.87
Cierre 12257.08
13000
Mayores Alzas
12000
ERAR
ALUA
COME
11000
10000
Mayores Bajas
+ 9.51%
+ 6.67%
+ 3.59%
TECO2
EDN
BMA
- 1.50%
- 1.40%
- 1.02%
ndices Burstiles
M.Ar
Merval 25
Burcap
9000
8000
21-08
27-08
02-09
08-09
12-09
18-09
24-09
+ 1.95%
+ 1.96%
+ 1.58%
Ttulos Pblicos
ndice de Bonos IAMC-$
4500
4250
4000
3750
3500
21-08
27-08
02-09
08-09
12-09
18-09
24-09
Volmenes Operados
TOTAL
6,036,423,815
MERCADO CONTADO
Renta Variable: (1+2)
1. Mercado Concurrencia
Acciones
Cedears
2. Ejercicios
Renta Fija: (3 + 4 + 5)
3. Mercado Concurrencia
4. Continua
5. Cheques de Pago Diferido
5,726,981,095
344,102,808
343,343,806
328,283,043
15,060,763
759,002
5,382,878,287
2,108,202,454
3,244,685,063
29,990,770
MERCADO FUTURO
Plazo / Pase Colocador Piso
Plazo / Pase Colocador Continua
Opciones
Cauciones
Prstamos
Venta en Corto
309,442,720
0
0
26,865,579
273,101,447
9,475,694
459,408
Mayores Bajas
TVPP
- 3.03%
TVPA
- 1.06%
TVY0
- 0.93%
30 das
22.50%
22.32%
22.69%
Compra
Bco. Nacin
Bancos
Casas de Cambio - Minorista
Casas de Cambio - Mayorista
Referencia BCRA
$8.3200
$8.4200
$8.3500
$15.9000
$8.4272
Venta
$8.4200
$8.4275
$8.4500
$15.9500
Cotizaciones CEDIN
24/09/14
$1,325.00
Coeficiente CER
24/09/14
4.2043
25/09/14
4.2061
Mercados Internacionales
ndices Burstiles (en U$S)
B. San Pablo
+ 1.63% NYSE
B. Sant. Chile
+ 0.63% Tokyo S.E.
B. Madrid
- 0.00% London S.E.
+ 0.90%
- 0.43%
+ 0.15%
Monedas
0.782
/U$S
0.612
/U$S
/U$S 109.060
+ 0.50%
+ 0.30%
+ 0.14%
Pg.2 y 3
Pg. 4
Pg. 5
Pg. 6 y 7
Pg. 8
Pg. 9
Pg 10 y 11
Pg 12
Anexo A
Anexo B
ANLISIS DE ACCIONES
24-Sep-14
Mercado de Concurrencia
Especie
Cotizacin
Fecha
ltima
cotizacin
Volumen
Efectivo
Var.
Diaria
Var.dde
29-Ago-14
(a)
Var.dde
30-Dic-13
(a)
Var.dde
24-Sep-13
(a)
Mnimo
Mximo
-52 semanas(b)
P/E
(c)
COT/VL
Volatil.
Betas
%
ltimas
c/Merval/
(d)
40 ruedas (e) M.AR. / 25
Capitaliz.
Valor de
Burstil (f) Mercado (g)
(en Mill.)
(en Mill.)
Empresas Lderes
ALUA
8.790
24-Sep-14
14,816,914
6.67%
54.48%
133.78%
153.00%
3.256
8.850
31.47
375.25
43.81%
0.70
APBR
117.400
24-Sep-14
25,106,844
1.51%
-7.63%
96.67%
67.99%
50.278
137.000
34.10
191.30
60.24%
0.50
BMA
21,975.00
21,975.00
1,531,423.94 1,531,423.94
58.000
24-Sep-14
8,318,415
-1.02%
27.75%
186.60%
198.81%
18.486
61.000
10.01
347.19
47.14%
1.22
34,480.13
COME
2.020
24-Sep-14
12,176,764
3.59%
30.32%
120.77%
263.96%
0.545
2.020
17.65
315.01
59.16%
0.93
2,747.04
34,480.13
2,747.04
EDN
8.480
24-Sep-14
15,222,978
-1.40%
25.07%
287.21%
420.25%
1.470
8.800
1694.98
51.35%
1.61
7,686.74
7,686.74
ERAR
6.680
24-Sep-14
23,503,643
9.51%
36.89%
128.70%
162.35%
2.391
6.750
9.69
170.78
48.44%
0.79
30,174.19
30,174.19
FRAN
62.200
24-Sep-14
4,695,406
0.65%
35.96%
206.06%
224.39%
18.476
63.550
10.48
375.69
57.70%
1.30
33,393.80
33,393.80
GGAL
20.450
24-Sep-14
24,126,160
0.74%
25.85%
119.67%
140.00%
8.142
21.000
9.90
315.33
49.59%
1.30
19,635.79
26,590.41
PAMP
6.140
24-Sep-14
21,230,498
0.16%
35.54%
224.87%
231.89%
1.690
6.150
384.79
52.91%
1.36
8,069.87
8,069.87
PESA
9.640
24-Sep-14
6,348,108
1.15%
16.14%
86.91%
104.19%
4.563
9.700
13.74
159.49
37.90%
0.89
19,465.44
19,465.44
TECO2
59.000
24-Sep-14
11,494,777
-1.50%
21.87%
95.03%
79.74%
26.739
61.000
16.35
463.22
43.71%
0.95
58,078.48
58,078.48
TS
334.500
24-Sep-14
26,234,492
2.29%
17.78%
74.77%
55.71%
176.062
339.900
31.40
374.96
32.21%
0.43
394,889.57
394,889.57
YPFD
536.500
24-Sep-14
77,906,671
0.85%
27.13%
83.11%
192.57%
174.403
536.500
27.27
326.76
43.49%
1.07
211,012.31
211,012.31
12,257.080
1.65%
24.85%
127.36%
154.53%
4,621.570
12,263.870
19.23
307.67
37.23%
Merval
2,373,032.30 2,379,986.92
BHIP
3.830
24-Sep-14
1,031,253
-0.52%
39.27%
115.17%
82.38%
1.500
3.900
9.16
136.61
55.65%
1.27
5,745.00
5,745.00
CECO2 (RR)
3.680
24-Sep-14
5,654,820
6.98%
41.00%
196.77%
340.14%
0.816
3.730
58.32%
1.28
2,583.32
2,583.32
CEPU2
53.500
24-Sep-14
2,218,056
4.90%
22.71%
256.67%
238.61%
14.350
53.500
14.04
331.78
33.88%
0.84
4,735.07
4,735.07
CRES
16.000
24-Sep-14
1,838,864
1.27%
11.50%
80.79%
102.69%
7.621
16.350
377.06
35.11%
0.53
8,025.00
8,025.00
INDU
4.470
24-Sep-14
1,515,107
3.23%
45.60%
-21.58%
-1.76%
2.020
6.100
128.81
46.60%
0.73
1,851.85
1,851.85
METR
5.080
24-Sep-14
917,567
5.83%
38.80%
293.80%
388.46%
1.020
5.950
3284.59
59.23%
1.19
1,127.64
2,891.39
MIRG
199.500
24-Sep-14
1,308,471
-2.21%
14.39%
48.33%
47.79%
98.000
209.000
5.86
175.21
49.45%
0.52
1,197.00
1,197.00
MOLI
42.200
24-Sep-14
1,429,024
27.11%
45.52%
62.93%
25.200
43.800
34.20
665.73
47.24%
0.66
10,568.93
10,568.93
PETR
17.400
24-Sep-14
2,219,959
2.35%
44.40%
783.25%
783.25%
1.880
17.700
43.71
1121.36
57.72%
2,077.56
2,077.56
3.590
24-Sep-14
1,946,380
7.81%
37.02%
182.68%
251.96%
0.970
3.600
161.47
45.17%
1.24
1,577.35
1,577.35
TGNO4
TGSU2
9.350
24-Sep-14
1,125,004
3.89%
32.81%
146.05%
123.68%
3.650
9.350
360.53
41.41%
1.03
7,428.53
7,428.53
TRAN
4.440
24-Sep-14
9,398,602
9.09%
67.55%
326.92%
296.43%
0.970
4.460
56.64
413.24
56.20%
1.18
967.43
1,974.35
Merval 25
12,390.010
1.96%
26.43%
130.20%
156.89%
4,622.920
12,393.570
19.98
307.81
36.74%
M.AR
10,356.100
1.95%
30.72%
142.19%
190.61%
3,426.350
10,362.510
18.31
323.47
40.74%
450,269.54
Burcap
36,173.490
1.58%
25.33%
119.06%
118.07%
15,456.500
36,311.990
37.29%
566,335.140
1.72%
24.48%
113.45%
116.34%
252,174.950
566,445.010
31.84%
5,777,070.69
Bolsa-G (h)
2,420,916.98 2,430,642.27
458,231.08
Empresas No Lideres
AEN
8.000
6-Ene-14
14.29%
175.86%
3.200
8.000
66.74
-0.06
657.18
657.18
AGRO
2.820
24-Sep-14
122,985
2.55%
34.29%
64.91%
93.15%
1.400
2.900
142.44
55.04%
0.66
135.36
135.36
APBRA
APSA
130.000
27-Ago-14
67.46%
114.14%
60.709
130.000
0.24
73.000
24-Sep-14
2,847
-1.35%
20.66%
51.61%
89.64%
38.493
77.000
24.40
1130.81
36.15%
0.21
9,199.03
9,199.03
AUSO
5.800
24-Sep-14
52,780
8.41%
13.73%
178.85%
169.77%
1.780
5.800
923.69
40.36%
0.51
154.01
512.63
BOLT
4.620
24-Sep-14
203,624
1.09%
36.69%
98.22%
70.40%
2.188
4.700
11.91
199.42
45.55%
0.65
1,155.00
1,155.00
BPAT
18.000
24-Sep-14
1,093,270
12.50%
85.76%
244.57%
257.33%
4.571
18.000
6.54
239.20
64.94%
1.03
12,946.77
12,946.77
BRIO
23.950
24-Sep-14
591,932
1.48%
37.25%
80.16%
106.11%
10.340
24.150
8.86
250.22
58.79%
1.26
10,620.09
25,839.06
BRIO6
22.900
24-Sep-14
43,165
14.50%
34.71%
79.01%
106.86%
11.070
22.900
0.27
CADO
7.750
24-Sep-14
30,257
-0.51%
23.02%
132.77%
188.74%
2.494
7.790
6.27
220.24
30.73%
0.43
775.00
775.00
5.966Ex
21-Ago-14
55.78%
55.78%
5.917
6.015
0.07
3.990
24-Sep-14
20,851
1.01%
17.35%
30.20%
53.17%
2.461
4.405
9.11
152.26
43.39%
0.69
223.39
223.39
1,528.32
CADO5
CAPU
CAPX
8.500
24-Sep-14
215,136
8.28%
33.02%
77.08%
85.59%
4.550
8.500
591.76
53.18%
0.64
1,528.32
CARC
2.600
24-Sep-14
63,581
1.96%
11.59%
13.54%
37.57%
1.630
2.700
204.29
42.79%
0.41
238.23
238.23
CELU
7.050
24-Sep-14
543,329
-0.14%
8.46%
54.95%
38.24%
4.170
7.500
74.32
41.54%
0.62
711.87
711.87
CGPA2
3.650
24-Sep-14
24,877
-1.08%
16.99%
114.71%
170.37%
1.320
3.690
172.31
0.42
1,216.48
1,216.48
COLO
15.300
24-Sep-14
29,075
3.73%
17.69%
115.80%
183.33%
5.100
16.000
359.28
0.22
85.04
85.04
COMO (S)
30.000
24-Jul-08
32.72
8.10
8.10
COUR
32.000
31-Mar-14
3.23%
39.13%
25.000
32.000
52.75
231.34
0.02
201.60
201.60
CTIO
19.000
24-Sep-14
107,160
-4.04%
11.76%
189.38%
165.43%
6.516
20.500
26.17
490.43
53.20%
0.51
7,788.23
7,788.23
DGCU2 (S)
6.200
23-Jul-14
111.37%
209.32%
2.151
6.300
37.09
258.17
0.06
1,254.58
1,254.58
DOME
5.900
23-Sep-14
28.26%
25.29%
26.34%
2.700
5.900
17.05
281.14
0.15
112.10
112.10
DYCA
6.700
24-Sep-14
80,975
-1.03%
31.37%
42.55%
67.50%
3.700
6.890
8.12
144.79
47.44%
0.00
201.00
201.00
215.72
EDLH
2.890
7-Oct-13
2.890
2.890
4.35
85.14
215.72
EMDE
1.480Ex
2-Jul-12
88.85
90.24
90.24
ESME
33.500
24-Sep-14
68,675
1.52%
24.07%
26.73%
49.26%
23.441
33.500
12.61
305.52
0.02
1,974.39
1,974.39
ESTR
3.300
24-Sep-14
16,707
4.76%
8.20%
17.86%
1.64%
2.500
3.326
10.26
112.36
0.15
140.60
140.60
EURO
3.308Ex
17-May-10
2.20
109.40
173.67
173.67
1,072.00
FERR
6.700
24-Sep-14
84,374
1.52%
45.45%
174.91%
157.69%
2.261
7.050
8.78
223.29
85.95%
0.49
1,072.00
FIPL
2.850
23-Sep-14
49.21%
78.28%
81.10%
1.492
3.000
27.52
168.88
0.52
180.35
180.35
GARO
5.700
24-Sep-14
102,771
-1.72%
35.71%
70.15%
78.13%
2.640
5.980
4.00
140.27
52.19%
0.72
116.85
116.85
GBAN
10.900
24-Sep-14
4,710
-0.91%
5.31%
211.43%
336.00%
2.500
11.550
496.80
0.22
1,738.71
3,548.39
Pg.2
ANLISIS DE ACCIONES
24-Sep-14
Mercado de Concurrencia
Especie
Cotizacin
Fecha
ltima
cotizacin
Volumen
Efectivo
Var.
Diaria
Var.dde
29-Ago-14
(a)
Var.dde
30-Dic-13
(a)
Var.dde
24-Sep-13
(a)
Mnimo
Mximo
-52 semanas(b)
P/E
(c)
COT/VL
Volatil.
Betas
%
ltimas
c/Merval/
(d)
40 ruedas (e) M.AR. / 25
Capitaliz.
Valor de
Burstil (f) Mercado (g)
(en Mill.)
(en Mill.)
56.000
24-Sep-14
24,280
7.90%
145.91%
190.05%
14.307
58.200
27.64
333.88
40.25%
0.59
11,840.54
GOFF (S)
1.800
1-Feb-08
10.44
16,095.44
10.44
GRAF
1.030
18-Nov-13
1.030
1.030
2.14
33.10
0.00
10.30
10.30
GRIM
9.600
24-Sep-14
123,113
1.05%
68.42%
110.72%
133.57%
3.892
10.000
8.01
263.51
40.88%
0.29
425.35
425.35
INTR
8.900
23-Sep-14
26.96%
120.46%
177.67%
3.117
9.000
16.34
274.37
0.04
341.16
341.16
INVJ
5.330
24-Sep-14
903,535
9.90%
31.60%
175.25%
204.95%
1.668
5.330
148.64
0.20
1,801.46
2,305.81
IRSA
20.050
24-Sep-14
509,016
-1.23%
6.08%
92.12%
169.32%
7.445
21.250
507.84
49.39%
0.82
11,602.46
11,602.46
JMIN
6.390
24-Sep-14
311,626
3.06%
38.91%
71.31%
67.28%
3.280
6.600
20.75
175.90
45.16%
0.49
2,249.64
2,249.64
LEDE
9.670
24-Sep-14
414,831
3.64%
31.56%
79.19%
63.16%
5.004
9.670
28.22
276.61
35.75%
0.80
4,254.80
4,254.80
LONG
2.580
24-Sep-14
182,277
3.61%
41.98%
107.10%
137.81%
1.066
2.590
6.89
135.59
51.38%
0.58
222.32
222.32
MORI
3.100
24-Sep-14
106,868
24.00%
55.00%
47.62%
51.22%
1.670
3.100
1642.86
66.41%
0.39
46.51
46.51
MVIA (t)
0.010Ex
14-Jul-10
0.49
0.07
0.14
NORT6
657.000
22-Sep-14
21.67%
81.62%
107.07%
350.140
657.000
23.15
607.58
0.20
44,681.62
OEST
4.800
24-Sep-14
367,920
15.66%
50.00%
123.93%
92.50%
1.907
4.800
14.02
295.29
0.30
768.00
768.00
PATA
18.400
24-Sep-14
215,494
47.79%
127.16%
181.76%
6.382
18.700
20.05
599.55
40.01%
0.29
9,200.00
9,200.00
829.68
PATY
22.750
24-Sep-14
88,542
-1.09%
30.00%
31.50%
79.13%
12.400
23.800
457.81
66.18%
0.60
829.68
PERK
1.100
24-Sep-14
249,357
-5.98%
18.28%
30.95%
15.79%
0.720
1.230
13.28
181.65
0.17
23.91
23.91
POLL
0.742
24-Sep-14
140,281
1.64%
51.43%
271.00%
312.22%
0.165
0.940
46.85
1824.70
85.62%
0.67
92.79
92.79
PREN1
2.500
18-Nov-09
89.79
327.50
327.50
PSUR
1.400
24-Sep-14
4,824
-0.71%
7.69%
75.00%
94.44%
0.690
1.750
53.11%
0.70
140.52
140.52
REGE
9.625Ex
30-Ago-13
2.13
92.13
19.25
19.25
REP
350.000
24-Sep-14
233,200
2.34%
9.38%
75.39%
67.82%
191.876
350.000
46.22
157.28
22.21%
0.20
472,595.34
472,595.34
1,940.30
RIGO
26.750
24-Sep-14
89,562
-0.19%
24.73%
26.56%
24.28%
19.889
26.800
23.44
502.44
37.32%
0.43
1,940.30
RIGO5
2.516Ex
18-Feb-09
ROSE
4.090
24-Sep-14
116,372
2.25%
25.85%
57.31%
70.42%
2.250
4.090
285.29
53.97%
0.21
174.19
174.19
SAMI
27.400
24-Sep-14
698,327
1.48%
44.97%
197.18%
285.92%
6.850
28.000
9.83
201.41
49.07%
0.84
1,765.20
1,765.20
SEMI
2.720
24-Sep-14
352,031
3.42%
29.52%
51.96%
76.62%
1.390
2.790
15.19
218.86
42.05%
0.70
290.22
290.22
STD
143.000
24-Sep-14
2,143,526
3.62%
13.49%
83.98%
107.69%
66.595
143.000
22.90
173.01
30.53%
0.63
1,653,232.60 1,653,232.60
TEF
1,014,878.48 1,014,878.48
223.000
24-Sep-14
402,447
8.78%
55.88%
66.52%
126.027
224.000
21.10
328.23
34.59%
0.22
TGLT
8.350
24-Sep-14
14,298
-1.18%
9.15%
-13.92%
2.45%
5.500
10.600
232.60
0.09
587.42
URBA
18.200
21-Dic-09
VALO
4,860,000Ex
8-Mar-12
2.62
89.47
889.38
889.38
587.42
PYMES
INAG
6.500Ex
23-Ene-14
10.29%
20.00%
5.287
6.500
1.80
63.14
-0.04
14.30
14.30
MERA
11.000
30-May-14
2.47%
2.47%
11.000
11.000
12.33
304.65
0.00
207.46
207.46
OVOP
9.800
24-Sep-14
6,860
0.41%
0.41%
9.05%
12.42%
8.727
9.800
38.74
294.25
0.00
130.48
130.48
Notas Aclaratorias:
(a) Las variaciones se calculan sobre precios ajustados por eventos corporativos.
(b) Los precios mnimos y mximos incluyen los valores alcanzados durante la rueda (intradiarios) En el caso del Burcap los datos de mnimos y mximos estn disponibles a partir del 09-09-08.
(c) Precio/Utilidades Netas x accin de los ltimos 12 meses (mayores a 0 y menores que 100), incluyendo resultados extraordinarios.
(d) COT/VL considera nulos los valores menores a 0.
(c) y (d) Para el clculo de estos indicadores se utiliza el ltimo dato de capital social informado por la empresa a la BCBA.
Los indicadores de P/E Y COT/VL de los ndices burstiles estn ponderados por el porcentaje diario de participacin de cada especie dentro del ndice respectivo.
(e) El clculo de volatilidades se realiza siempre que la especie cotice ms del 75% de las ltimas 40 ruedas.
(f) Para el clculo de este indicador se considera la cantidad de acciones ordinarias autorizadas a cotizar en la BCBA, las cuales pueden diferir respecto del nmero total de acciones que surge
del ltimo dato de capital social informado por la empresa. Las sociedades mencionadas a continuacin poseen un monto autorizado a cotizar que difiere al de su capital social: ALPA, AUSO, GBAN,
GGAL, GCLA, INVJ, METR, MVIA y TRAN.
(g) Para el clculo de este indicador se considera el ltimo dato sobre la composicin del capital social informado por la empresa a la BCBA.
(h) Capitalizacin burstil al da anterior, calculada por BCBA, considerando solo las acciones ordinarias admitidas a cotizar en bolsa.
(S) Cotizacin suspendida (RR) Rueda Reducida
(t) El precio $0,01 se debe a un ajuste por un dividendo en efectivo por un monto superior al ltimo precio de cierre registrado ($2,70). No se informar ningn indicador hasta tanto la especie
no registre una nueva cotizacin.
Pg.3
Cdigo
Bolsa
Cdigo
Divisa
Cotizacin
ADR
(a)
Volumen
Nominal
Volumen
Efectivo
Variacin
diaria
Var. dde.
29-Ago-14
Var. dde.
31-Dic-13
Mn.
Max.
52 semanas
(b)
Ratio
Volatil.
lt. 40r
(c)
(d)
NASDAQ
USD
21.4901
471
10,122
0.99%
-0.49%
2.04%
15.12
23.75
52.46%
NYSE
USD
13.0600
83,824
1,094,741
1.56%
23.32%
87.89%
5.48
14.85
57.76%
3.00
NYSE
USD
40.0000
7,558
302,320
-0.67%
14.51%
64.81%
16.47
48.30
43.10%
10.00
NYSE
USD
9.7500
1,282,904
12,508,314
0.52%
-1.71%
14.54%
7.35
10.54
17.60%
1.00
NYSE
USD
84.9600
60,155
5,110,769
0.62%
0.37%
4.28%
72.57
86.53
13.08%
1.00
NASDAQ
USD
10.7500
57,616
619,372
-1.38%
-3.67%
6.44%
8.26
14.35
29.18%
10.00
4.00
NYSE
USD
11.6000
10,997
127,565
-2.77%
12.40%
129.25%
3.55
17.50
61.24%
20.00
NASDAQ
USD
14.1650
295,203
4,181,551
0.60%
11.71%
35.95%
7.28
18.50
44.36%
10.00
NYSE
USD
13.9000
17,400
241,860
-2.52%
-2.66%
15.59%
7.71
17.77
29.86%
10.00
NYSE
USD
22.4900
591
13,292
0.09%
5.79%
16.09%
15.45
26.05
29.57%
0.50
NYSE
USD
10.4900
15,277
160,256
-0.29%
17.87%
100.19%
3.98
11.58
42.69%
25.00
NYSE
USD
6.6000
53,363
352,196
1.38%
2.33%
18.92%
4.09
7.39
32.22%
10.00
NYSE
USD
16.0500
5,288,903
84,886,893
0.82%
-17.99%
20.37%
9.90
20.94
51.90%
2.00
NYSE
USD
3.1200
11,563
36,077
-2.19%
13.45%
43.78%
1.72
3.50
34.01%
5.00
NYSE
USD
20.2600
67,993
1,377,538
-0.88%
9.53%
21.74%
13.50
25.08
27.97%
5.00
NYSE
USD
46.1200
215,952
9,959,706
1.21%
4.11%
7.05%
40.06
48.45
17.21%
2.00
NYSE
USD
25.0700
9,072
227,435
-0.71%
-4.06%
-17.81%
23.11
31.86
19.67%
10.00
NYSE
USD
37.1700
143,460
5,332,408
0.92%
12.50%
13.25%
19.71
41.74
34.69%
1.00
16.5100
20.00
7.7500
11,000
85,250
-3.13%
-8.93%
30.81%
3.46
9.30
2.00
Cdigo BCBA
Cotizacin BCBA
en $ (2)
Diferencia en $
(3)-(2)
APSA
5.3725
73.000
45.277
- 27.72
FRAN
4.3533
62.200
36.688
- 25.51
STD
9.7500
143.000
82.168
- 60.83
BMA
4.0000
58.000
33.710
- 24.29
ADR BUNGE
84.9600
716.000
ADR Cresud
CRES
1.0750
16.000
9.060
- 6.94
ADR Edenor
EDN
0.5800
8.480
4.888
- 3.59
GGAL
1.4165
20.450
11.938
- 8.51
ADR IRSA
IRSA
1.3900
20.050
11.714
- 8.34
NORT6
44.9800
379.069
PAMP
0.4196
6.140
3.536
- 2.60
PESA
0.6600
9.640
5.562
- 4.08
APBR
8.0250
117.400
67.631
- 49.77
TGSU2
0.6240
9.350
5.259
- 4.09
TECO2
4.0520
59.000
34.148
- 24.85
ADR Tenaris
TS
23.0600
334.500
194.338
- 140.16
ADR Ternium
2.5070
21.128
YPFD
37.1700
536.500
313.250
- 223.25
ADR YPF
BDR Bco. Patagonia
BPAT
18.000
GDR GrupoClarn
GCLA
3.8750
56.000
32.657
- 23.34
(3) Cotizacin convertida a $ de acuerdo al valor del Dlar Mayorista Bancos informada por Reuters.
Pg. 4
Bono
Cdigo
(S.I.B)
Vencimiento
Amortizacin
Cupn de
Renta
Prximo
Vencimiento
VR
(en %)
Cotizacin
c/100 v.n.
en Pesos
(a)
Fecha
ltima
cotizacin
Renta
Anual
(en %)
Cupn Corriente
Yield
Intereses
Anual
Corridos
(en %)
c/100 v.n.
Valor
Tcnico
c/100
v.n.
Volatilidad
40r. (b)
(en %)
Paridad
(en%)
TIR
Anual
PPV
(en aos)
DM
PARP
PARA
PARY
31-Dic-38
31-Dic-38
31-Dic-38
Sem.
Sem.
Sem.
Sem.
Sem.
Sem.
30-Sep-14
30-Sep-14
30-Sep-14
R
R
R
100.00
100.00
100.00
87.500
805.000
775.000
24-Sep-14
24-Sep-14
24-Sep-14
Fija=1.18
Fija=2.5
Fija=2.5
1.69
1.24
1.24
3.96
2.65
2.76
289.61
101.24
101.24
30.21
94.35
90.83
31.32
38.19
30.13
9.95%
4.12%
4.39%
12.97
13.99
13.86
17.54
16.15
16.15
DICP
DICA
DICY
31-Dic-33
31-Dic-33
31-Dic-33
Sem.
Sem.
Sem.
Sem.
Sem.
Sem.
31-Dic-14
31-Dic-14
31-Dic-14
R
R
R
100.00
100.00
100.00
247.500
1706.000
1695.000
24-Sep-14
24-Sep-14
24-Sep-14
Fija=5.83
Fija=8.28
Fija=8.28
5.32
2.87
2.87
8.88
5.82
5.86
374.17
143.07
143.07
66.15
141.49
140.58
13.17
35.29
42.45
10.84%
4.33%
4.41%
7.87
9.21
9.19
11.34
10.74
10.74
CUAP
31-Dic-45
Sem.
Sem.
31-Dic-14
100.00
152.000
24-Sep-14
Fija=3.31
3.30
8.98
406.61
37.38
10.61%
10.64
20.45
15-Dic-35
15-Dic-35
15-Dic-35
15-Dic-35
100.00
100.00
100.00
100.00
102.800
6.400
108.500
135.000
24-Sep-14
24-Sep-14
24-Sep-14
24-Sep-14
34.36
33.11
36.14
31.20
CUASIPAR en $
TVPA
TVPP
TVPY
TVPE
PAP0
PAA0
PAY0
31-Dic-38
31-Dic-38
31-Dic-38
Sem.
Sem.
Sem.
Sem.
Sem.
Sem.
30-Sep-14
30-Sep-14
30-Sep-14
R
R
R
100.00
100.00
100.00
84.000
760.000
720.000
08-Sep-14
24-Sep-14
24-Sep-14
Fija=1.18
Fija=2.5
Fija=2.5
1.69
1.24
1.24
4.13
2.81
2.97
289.61
101.24
101.24
29.00
89.07
84.39
41.04
-
10.28%
4.54%
4.93%
12.81
13.79
13.59
17.54
16.15
16.15
DIP0
DIA0
DIY0
31-Dic-33
31-Dic-33
31-Dic-33
Sem.
Sem.
Sem.
Sem.
Sem.
Sem.
31-Dic-14
31-Dic-14
31-Dic-14
R
R
R
100.00
100.00
100.00
240.000
1670.000
1670.000
23-Sep-14
24-Sep-14
24-Sep-14
Fija=5.83
Fija=8.28
Fija=8.28
5.32
2.87
2.87
9.16
5.94
5.94
374.17
143.07
143.07
64.14
138.50
138.50
34.42
11.25%
4.57%
4.57%
7.76
9.14
9.14
11.34
10.74
10.74
GJ17
2-Jun-17
Al vto.
Sem.
02-Dic-14
100.00
1270.000
24-Sep-14
Fija=8.75
2.84
5.92
102.84
146.53
32.93
-7.02%
2.59
2.42
15-Dic-35
100.00
106.500
24-Sep-14
32.31
TVY0
Divisas
Dlar Bancos
$8.4200
$8.4275
Notas Aclaratorias:
(*) Todos los indicadores de cada bono se refieren al da de la fecha. Los indicadores de los bonos emitidos en dlares se calculan en esa misma divisa, para ello se convierte su cotizacin en $ por el dlar bancos vendedor.
(**) En el caso de los bonos pesificados y ajustables por el CER (Decreto 471/02) el clculo de indicadores se realiza considerando el C.E.R. correspondiente a 10 das hbiles anteriores a la fecha de vencimiento del pximo cupn.
(***) TIR mayor a 500%.
(a) Los precios corresponde
A los efectos de hacer comparables las distintas tasas de rendimiento, se debe convertirlas a una tasa real en pesos teniendo en cuenta las siguientes equivalencias:
donde:
(A)
(B)
pg. 5
Bono
Cdigo
(S.I.B)
Vencimiento
Amortizacin
Cupn de
Renta
Prximo
Vencimiento
VR
(en %)
Cotizacin
c/100 v.n.
en Pesos
(a)
Fecha
ltima
cotizacin
Renta
Anual
(en %)
Cupn Corriente
Yield
Intereses
Anual
Corridos
(en %)
c/100 v.n.
Valor
Tcnico
c/100 v.n.
Paridad
(en %)
Volatilidad
40 r. (b)
(en %)
TIR
Anual
DM
PPV
(en aos)
Bocon Prov. 4 en $
Bocon Cons. 7
Bocon Cons. 8
PRO7
PR14
PR15
1-Ene-16
4-Ene-16
4-Oct-22
120 Mens.
4 - Trim.
14 - Trim.
Mens.
Trim.
Trim.
1-Oct-14
6-Oct-14
6-Oct-14
A+R
R
R
12.64
100.00
100.00
12.700
102.000
159.100
19-Sep-14
24-Sep-14
24-Sep-14
Var.=0.2494
Var.=23.22
Var.=23.22
0.00
5.54
9.43
0.29
24.07
27.22
14.77
105.54
184.90
86.00
96.65
86.05
6.67
9.93
30.66%
27.47%
31.39%
0.54
0.73
2.83
0.59
0.81
4.60
Bocon Prov. 4 2%
Bocon Cons. 6 2%
BOGAR 2018
BOGAR 2020
PR12
PR13
NF18
NO20
3-Ene-16
15-Mar-24
4-Feb-18
4-Oct-20
120 Mens.
120 Mens.
156 Mens.
156 Mens.
Mens.
Mens.
Mens.
Mens.
3-Oct-14
15-Oct-14
4-Oct-14
4-Oct-14
A+R
A+R
A+R
A+R
12.64
95.02
40.34
62.20
55.000
236.500
152.400
191.175EX
24-Sep-14
24-Sep-14
24-Sep-14
1-Sep-14
Fija=2
Fija=2
Fija=2
Fija=2
0.08
0.26
0.24
0.36
2.09
2.83
2.26
2.79
57.42
333.99
172.19
266.67
95.78
70.81
88.51
71.69
22.27
11.63
10.51
-
9.81%
10.80%
10.04%
13.85%
0.57
3.79
1.56
2.84
0.59
4.63
1.69
3.30
RO15
AA17
AN18
AY24
3-Oct-15
17-Abr-17
29-Nov-18
7-May-24
Al vto.
Al vto.
Al Vto.
6 Anual
Sem.
Sem.
Sem.
Sem.
3-Oct-14
17-Oct-14
29-Nov-14
7-Nov-14
R
R
R
R
100.00
100.00
100.00
100.00
1397.000
1288.000
1405.000
1322.450
24-Sep-14
24-Sep-14
24-Sep-14
24-Sep-14
Fija=7
Fija=7
Fija=9
Fija=8.75
3.42
3.15
3.00
3.45
4.31
4.68
5.50
5.70
103.42
103.15
103.00
103.45
160.28
148.17
161.86
151.69
24.93
25.46
19.45
30.97
- 34.16%
- 9.46%
- 4.61%
1.17%
1.16
2.45
3.68
5.63
0.96
2.33
3.59
5.74
BODEN Y BONAR
I. Ttulos emitidos en Dlares
BODEN 2015
BONAR X
BONAR 2018 en U$S
BONAR 2024
BODEN 2014
RS14
30-Sep-14
Sem.
Sem.
30-Sep-14
A+R
12.50
34.000
16-Sep-14
Fija=2
0.34
2.03
34.85
97.56
***
AS15
AM17
AMX9
10-Sep-15
28-Mar-17
11-Mar-19
Sem.
Al Vto.
Al Vto.
Trim.
Trim.
Trim.
10-Dic-14
29-Dic-14
11-Dic-14
R
R
R
33.36
100.00
100.00
41.400
95.500
96.200
24-Sep-14
24-Sep-14
23-Sep-14
Var.=23.24
Var.=22.1302
Var.=22.7308
0.40
0.00
1.12
18.92
23.17
23.91
41.65
100.00
101.12
99.41
95.50
95.13
8.16
-
26.80%
26.95%
26.79%
0.57
1.85
2.66
0.67
2.10
3.38
BONAR 2015
BONAR 2017
BONAR 2019
Divisas
Dlar Bancos
$8.4200
$8.4275
Notas Aclaratorias:
(*) Todos los indicadores de cada bono se refieren al da de la fecha. Los indicadores de los bonos emitidos en dlares se calculan en esa misma divisa, para ello se convierte su cotizacin en $ por el dlar bancos vendedor.
En el caso de ttulos ajustables por CER el clculo de indicadores considera el coeficiente aplicable de acuerdo a las condiciones de emisin.
(a) Los precios corresponden a la ltima operacin registrada en el mercado de concurrencia e incluyen los intereses corridos ('precio sucio')
(b) El clculo de volatilidades se realiza siempre que la especie cotice ms de 75% de las ltimas 40 ruedas, dentro del mercado considerado.
(c) Se estima la tasa del prximo periodo de renta que se utilizar para los flujos de renta futuros.
A los efectos de hacer comparables las distintas tasas de rendimiento, se debe convertirlas a una tasa real en pesos teniendo en cuenta las siguientes equivalencias:
donde:
(A)
(B)
(A) Utilizarla para convertir la TIR de los bonos emitidos en pesos (moneda original $)
(B) Utilizarla para convertir la TIR de los bonos emitidos en dlares
pg. 6
Bono
Cdigo
(S.I.B.)
Fecha
ltima
cotizacin
Cupn Corriente
Renta
Intereses
Yield
Anual
Corridos
Anual
(en %)
c/100 v.n. (en %)
12.900
15.218EX
24-Sep-14
27-Ago-14
CA=0.2494
CA=0.208
0.00
0.00
0.29
0.02
14.77
19.34
87.35
78.67
27.05%
46.12%
0.55
0.58
0.59
0.67
40.34
153.000
16-Sep-14
Fija=2
0.24
2.25
172.19
88.85
9.77%
1.57
1.67
A+R
40.34
397.000
24-Sep-14
Fija=2
0.58
2.14
424.25
93.58
6.26%
1.60
1.67
1-Oct-14
A+R
5.08
35.339EX
27-Ago-14
Fija=4
0.12
4.42
39.03
90.55
67.16%
0.19
0.22
Sem.
Mens.
Trim.
Sem.
Sem.
Sem.
Sem.
Sem.
Sem.
Mens.
Trim.
Trim.
Trim.
Trim.
Trim.
Trim.
Trim.
Sem.
8-Feb-15
4-Oct-14
21-Oct-14
9-Nov-14
27-Dic-14
15-Mar-15
17-Nov-14
20-Dic-14
28-Ene-15
7-Oct-14
6-Nov-14
27-Nov-14
28-Nov-14
30-Oct-14
18-Dic-14
12-Dic-14
28-Oct-14
5-Mar-15
A+R
A+R
R
R
R
R
R
R
R
A+R
A+R
A+R
A+R
A+R
A+R
A+R
R
A+R
100.00
12.78
100.00
100.00
100.00
100.00
100.00
100.00
100.00
40.63
89.00
75.00
77.78
100.00
100.00
77.78
100.00
10.00
914.000
125.000
970.000
980.000
925.000
962.000
950.000
875.000
889.000
439.000
785.000
662.000
727.000
865.000
860.000
755.000
960.000
86.500
24-Sep-14
18-Sep-14
24-Sep-14
18-Sep-14
17-Sep-14
24-Sep-14
24-Sep-14
24-Sep-14
24-Sep-14
24-Sep-14
24-Sep-14
15-Sep-14
24-Sep-14
24-Sep-14
24-Sep-14
24-Sep-14
24-Sep-14
17-Sep-14
Fija=4.24
Fija=4
Fija=4
Fija=4.75
Fija=2.48
Fija=3.98
Fija=3.98
Fija=1.95
Fija=1.95
Fija=12
Fija=4.8
Fija=5
Fija=3
Fija=2.75
Fija=2.75
Fija=3
Fija=3.9
L180=0.31
0.60
0.04
0.76
1.85
0.63
0.14
1.46
0.54
0.33
0.30
0.63
0.33
0.20
0.45
0.08
0.11
0.66
0.00
3.93
2.98
3.50
4.15
2.27
3.49
3.58
1.89
1.85
9.41
4.62
2.71
2.69
2.70
2.61
3.44
0.30
100.60
12.82
100.76
101.85
100.63
100.14
101.46
100.54
100.33
40.92
89.63
75.33
77.98
100.45
100.08
77.89
100.66
10.00
107.80
134.35
114.24
114.18
109.07
113.99
111.10
103.27
105.14
127.29
103.93
104.27
110.62
102.18
101.96
115.02
113.17
102.62
9.29
18.53
13.10
18.20
24.72
22.65
27.75
16.42
15.38
15.63
-
- 15.29%
- 38.29%
- 0.46%
- 3.81%
- 2.58%
- 1.09%
0.61%
1.10%
0.67%
- 4.22%
0.77%
3.80%
- 7.76%
1.68%
1.85%
- 11.00%
- 1.62%
- 3.41%
0.39
0.69
3.04
1.58
1.73
2.63
3.17
3.81
3.92
1.57
0.97
3.34
0.95
2.00
2.14
1.00
2.28
0.70
0.36
0.51
3.02
1.55
1.71
2.61
3.19
3.84
3.95
1.52
0.97
3.59
0.91
2.05
2.18
0.95
2.25
0.69
Al vto.
Al vto.
3 - Anual
Anual
10 - Sem.
6 - Sem.
30 - Sem.
26 - sem.
27 - Trim.
33 - Trim.
34 - Trim.
Sem.
Sem.
Sem.
Sem.
Sem.
Sem.
Sem.
Sem.
Trim.
Trim.
Trim.
5-Oct-14
14-Mar-15
26-Ene-15
18-Oct-14
15-Oct-14
1-Nov-14
15-Nov-14
4-Mar-15
18-Oct-14
26-Oct-14
16-Dic-14
R
R
R
R
A+R
R
R
A+R
A+R
A+R
A+R
100.00
100.00
100.00
100.00
60.00
100.00
100.00
38.55
3.80
82.00
88.24
1378.000
1295.000
1160.000
1278.000
870.000
980.000
850.000
450.000
34.992EX
1202.000
1158.000
23-Sep-14
23-Sep-14
8-Sep-14
24-Sep-14
24-Sep-14
24-Sep-14
24-Sep-14
19-Sep-14
15-Jul-14
23-Sep-14
18-Sep-14
Fija=11.75
Fija=9.38
Fija=10.88
Fija=9.625
Fija=9.25
Fija=3
Fija=4
Fija=5.5
Fija=8.656
Fija=7.88
Fija=9.5
5.68
0.39
1.90
4.30
2.53
1.23
1.49
0.15
0.06
1.13
0.30
7.44
6.12
8.01
6.53
5.51
2.61
4.03
3.98
8.05
4.56
6.11
105.68
100.39
101.90
104.30
62.53
101.23
101.49
38.70
3.86
83.13
88.54
154.73
153.07
135.07
145.39
165.10
114.87
99.38
137.98
107.43
171.57
155.19
26.59
29.21
-
- 31.86%
- 3.13%
3.48%
4.66%
- 25.35%
- 0.17%
4.10%
- 8.76%
- 72.50%
- 8.89%
- 3.53%
1.44
3.52
4.18
7.93
1.64
4.03
9.77
2.37
0.08
3.77
3.66
0.99
3.48
4.41
9.09
1.24
4.09
11.27
2.18
0.05
3.13
3.52
6 - Sem.
30 - Sem.
Sem.
Sem.
1-Nov-14
15-Nov-14
R
R
100.00
100.00
106.765EX
980.000
14-Abr-14
18-Sep-14
Fija=3
Fija=4
1.23
1.49
34.58
4.47
101.23
101.49
9.79
89.62
104.56%
5.19%
1.68
9.42
4.09
11.27
Al vto.
Mens.
30-Sep-14
100.00
151.022EX
5-Sep-14
Fija=5
0.88
0.00
243.41
62.04
Vencimiento
Amortizacin
Cupn de
Renta
Prximo
Vencimiento
VR
(en %)
1-Ene-16
30-Ene-16
120 Mens.
98 - mens.
Mens
Mens
1-Oct-14
30-Sep-14
A+R
A+R
12.64
17.35
4-Feb-18
156 - mens.
Mens.
4-Oct-14
A+R
4-Feb-18
156 - mens.
Mens.
4-Oct-14
1-Abr-15
Capitalizac.
Mens.
8-Feb-15
4-Nov-15
21-Oct-19
9-May-16
27-Jun-16
15-Mar-18
17-May-19
20-Dic-19
28-Ene-20
7-Dic-17
6-Ago-16
27-Feb-22
28-May-16
30-Oct-18
18-Dic-18
12-Jun-16
11-Oct-18
5-Sep-15
Al Vto.
Mens.
16 - Trim.
Al Vto.
Al Vto.
4 - Sem.
6 - Sem.
6 - Sem.
6 - Sem.
96 - Mens.
9 - Trim.
40 - trim.
9 - Trim.
17 - Trim.
17 - Trim.
9 - Trim.
14 - Trim.
20 - Sem.
BP15
BP18
BP21
BP28
BDED
BPMD
BPLD
BARX1
NRH1
NRH2
SARH
5-Oct-15
14-Sep-18
26-Ene-21
18-Abr-28
15-Abr-17
1-May-20
15-May-35
4-Sep-18
18-Oct-14
26-Abr-21
16-Mar-22
BPME
BPLE
1-May-20
15-May-35
Cotizacacin
c/100 v.n.
en Pesos
Valor
Tcnico
c/ 100 v.n.
Paridad
(en %)
Volatilidad
40 r. (b)
(en %)
TIR
Anual
DM
PPV
(en aos)
BCOR3
PB17
TUCS1
RNG21
CHACO
CCH1
PBF15
CHSG2
PUO19
BDC16
BD2C6
BDC18
BDC19
BD2C9
BDC20
CO17
ERG16
FORM3
PMY16
PMO18
PMD18
NDG1
NDG21
TUCS2
TPAG5
30-Ene-17
Notas Aclaratorias: (*) Todos los indicadores de cada bono se refieren al da de la fecha.
Los indicadores de los bonos emitidos en dlares se calculan en esta divisa, convirtindose su cotizacin en $ por el dlar bancos vendedor. En el caso de ajustables por CER y por CVS, el clculo de indicadores considera el coeficiente aplicable de acuerdo a las condiciones de emisin.
(a) Los precios corresponden a la ltima operacin registrada en el mercado de concurrencia e incluyen los intereses corridos ('precio sucio') (b) El clculo de volatilidades se realiza siempre que la especie cotice ms de 75% de las ltimas 40 ruedas, dentro del mercado considerado.
(c) Se estima la tasa del prximo periodo de renta que se utilizar para los flujos de renta futuros. Se utiliza la metodologa del Ministerio de Economa y se estima una tasa mensual en base al ndice de la Comunicacin "A1828" publicado diariamente por el BCRA. La TIR est expresada como TNA en pesos.
(e) El ttulo tiene una denominacin mnima de u$s100.000 y mltiplos enteros de u$s1.000. (f) El ttulo tiene una denominacin mnima de u$s150.000 y mltiplos enteros de u$s1.000.
(g) Fecha de registro o 'record date': estarn legitimados para el cobro aquellos tenedores registrados con una antelacin de 15 das corridos respecto a la fecha de vto. (h) El ttulo tiene una denominacin mnima de u$s10.000 y mltiplos enteros de u$s1.000.
(i) Los servicios de renta y amortizacin se pagan en pesos al tipo de cambio de referencia del bono, segn prospecto de emisin (j) El ttulo tiene una denominacin mnima de u$s1.000 y mltiplos enteros de u$s1.000.
pg. 7
Emisor
Cdigo
(S.I.B.)
Vencimiento
Amortizacin
Cupn
de
Renta
Prximo
Vencimiento.
VR
(en %)
Cotizacin
c/100 v.r. en
Pesos (a)
Fecha
ltima
cotizacin
Cupn Corriente
Renta
Anual
(en %)
Intereses
Corridos
c/100 v.n.
Yield
Anual
(en %)
Valor
Tcnico
c/100 v.n.
Paridad
(en %)
TIR
anual
PPV
DM
(en aos)
OIRX6
2-Feb-17
Al vto.
Sem.
2-Feb-15
100.00
1177.000
25-Ago-14
Fija=8.5
1.35
6.15
101.35
137.81
- 6.28%
2.22
2.17
OIRY7
20-Jul-20
Al vto.
Sem.
20-Ene-15
100.00
1019.630EX
16-Jul-14
Fija=11.5
2.20
9.68
102.20
118.38
7.59%
4.22
4.69
OHIY5
27-Abr-16
Al vto.
Sem.
27-Oct-14
100.00
865.995EX
23-Abr-14
Fija=9.75
4.12
9.88
104.12
98.70
10.98%
1.35
1.46
ONY13
28-Ene-17
3 - Anual
Al Vto.
28-Ene-15
A+R
100.00
1483.500
24-Sep-14
Fija=9
1.53
5.16
101.53
173.39
- 26.89%
1.71
1.30
OGBY1
4-May-18
Al vto.
Sem.
4-Nov-14
100.00
1255.000
19-Ago-14
Fija=8.75
3.52
6.02
103.52
143.85
- 3.06%
3.18
3.14
1.18
3. Energa Elctrica
TRANSENER Clase I Vto. 2016 (b)
OTRY8
15-Dic-16
4 - Anual
Sem.
15-Dic-14
A+R
75.00
634.592EX
11-Jun-14
Fija=8.875
1.92
9.07
76.92
97.89
11.15%
1.04
OCEY1
10-Mar-18
Al vto.
Sem.
10-Mar-15
100.00
1108.720
19-Sep-14
Fija=10
0.53
7.63
100.53
130.87
0.85%
3.00
3.06
ODNY9
25-Oct-22
Al vto.
Sem.
25-Oct-14
100.00
457.673EX
22-Abr-14
Fija=9.75
4.17
19.45
104.17
52.13
25.42%
3.81
6.26
OTY11
14-May-17
4 - Anual
Sem.
14-Nov-14
75.00
994.000
1-Sep-14
Fija=7.875
2.21
5.10
77.21
152.75
- 17.32%
1.81
1.55
YPCPO
15-Ago-18
17 - Trim.
Trim.
15-Nov-14
A+R
94.12
1245.000
29-Ago-14
Var.=7.763
0.90
4.98
95.02
155.48
- 13.64%
2.18
1.94
OPNY1
7-May-21
3 - Anual
Sem.
7-Nov-14
100.00
1477.000
16-Sep-14
Fija=7.875
3.11
4.57
103.11
169.98
- 3.56%
4.87
4.74
YPCUO
4-Abr-24
3 Anual
Sem.
4-Oct-14
100.00
1556.550
22-Sep-14
Var.=8.75
4.25
4.85
104.25
177.16
- 0.41%
6.78
6.73
ORAY3
16-Feb-17
2 - Anual
Sem.
16-Feb-15
100.00
248.646EX
15-Ago-14
Fija=8.5
0.92
29.74
100.92
29.23
131.46%
0.89
1.78
OAOY2
9-Nov-17
Al vto.
Sem.
9-Nov-14
100.00
1445.000
18-Sep-14
Fija=7.25
2.82
4.30
102.82
166.76
- 10.44%
2.98
2.81
OAEY1
1-Dic-20
40 - Trim.
Trim.
1-Dic-14
A+R
85.00
1288.250
19-Sep-14
Fija=10.75
0.71
6.01
85.71
178.35
- 8.60%
3.28
2.97
4. Petrleo y Gas
5. Otros
OCR13
22-May-15
2 - Sem.
Trim.
24-Nov-14
100.00
861.000
17-Sep-14
Fija=1.9
0.20
1.86
100.20
101.96
- 1.82%
0.52
0.52
OCR14
22-May-18
2 - Sem.
Trim.
22-Nov-14
100.00
790.000
27-Ago-14
Fija=1.5
0.16
1.60
100.16
93.59
3.68%
3.27
3.31
OMRP1
10-Nov-14
Al vto.
Trim.
10-Nov-14
A+R
100.00
855.000
27-Ago-14
Fija=4.99
0.71
4.95
100.71
100.74
- 1.43%
0.12
0.12
OMRP4
15-Ene-15
Al vto.
Trim.
15-Oct-14
100.00
855.000
22-Ago-14
Fija=3.7
0.77
3.67
100.77
100.68
1.39%
0.29
0.29
OYPF9
19-Oct-14
Al Vto.
Trim.
19-Oct-14
A+R
100.00
1000.000
24-Sep-14
Fija=5
0.99
4.25
100.99
117.50
- 94.46%
0.07
0.05
OYP15
7-Dic-14
2 - Sem.
Trim.
7-Dic-14
A+R
50.00
435.000
17-Sep-14
Fija=2.5
0.08
2.43
50.08
103.08
- 12.67%
0.20
0.19
OYP18
30-Abr-15
Al Vto.
Trim.
30-Oct-14
100.00
900.000
23-Sep-14
Fija=0.1
0.02
0.09
100.02
106.78
- 10.54%
0.60
0.58
OYPF0
19-Oct-16
2 - Sem.
Trim.
19-Oct-14
100.00
1200.000
24-Sep-14
Fija=6.25
1.23
4.43
101.23
140.66
- 12.78%
1.79
1.71
OYP19
30-Abr-17
Al Vto.
Trim.
30-Oct-14
100.00
895.000
17-Sep-14
Fija=1.29
0.22
1.22
100.22
105.97
- 0.99%
2.55
2.54
YPCNO
29-Jul-20
7 - Anual
Trim.
29-Oct-14
85.71
800.000
10-Sep-14
Fija=3.5
0.51
3.18
86.22
110.09
0.43%
3.18
3.20
2. Alimentos y Bebidas
3. Petrleo y Gas
4. Otros
IMPSA Clase IX Vto. 2014
OMPE9
26-Dic-14
4 - Trim.
Trim.
26-Dic-14
A+R
25.00
400.000
12-Sep-14
Fija=7
0.01
3.69
25.01
189.75
- 92.48%
0.31
0.24
OGCO1
30-Mar-15
4 - Sem.
Sem.
30-Mar-15
A+R
25.00
208.563EX
24-Sep-14
Fija=7
7.07
25.00
98.99
9.32%
0.48
0.50
Divisas
Dolar Bancos
$8.4200
$8.4275
Notas Aclaratorias:
(*) Todos los indicadores de cada obligacin negociable se refieren al dia de la fecha. Los indicadores de los ttulos emitidos en dlares se calculan en esa misma divisa, para ello se convierte su cotizacin en $ por el dlar bancos vendedor (Fuente: Reuters)
(a) Los precios corresponden a la ltima operacin registrada en el mercado de concurrencia e incluyen los intereses corridos ('precio sucio')
(b) El ttulo tine una denominacin mnima de u$s 2.000 y mltiplos enteros de u$s1.000
(c) El ttulo tine una denominacin mnima de u$s 150.000 y mltiplos enteros de u$s1.000 - (d) El ttulo tine una denominacin mnima de u$s 35.000 y mltiplos enteros de u$s 2.000
(f) El ttulo tine una denominacin mnima de u$s 500.000 y mltiplos enteros de u$s 500.000.
Pag. 8
Valor al
Variacin
Diaria al
Variacin
Semanal al
Variacin
Mensual al
Variacin
anual al
24-Sep-14
23-Sep-14
19-Sep-14
29-Ago-14
30-Dic-13
3,404.695
0.05%
0.03%
0.67%
30.28%
Ponderacin*
9.76%
2,196.593
0.28%
4.44%
14.59%
63.57%
33.61%
4,001.128
-0.22%
-0.16%
0.78%
28.91%
17.21%
4,728.702
0.90%
5.19%
22.83%
87.44%
39.42%
4,280.881
0.41%
3.51%
13.82%
66.14%
100.00%
(*)Composicion ndices: Subndice de Bonos Cortos emitidos en pesos (NF18, AS15, PR15, PR14), Subndice de Bonos Cortos emitidos en dlares (RO15, AA17,
GJ17), Subndice de Bonos Largos emitidos en pesos (PR13, DICP, PARP), Subndice de Bonos Largos emitidos en dlares (PARA, DICY, PARY, DICA, DIY0).
Valor al
Variacin
Diaria al
Variacin
Semanal al
Variacin
Mensual al
Variacin
Anual al
24-Sep-14
23-Sep-14
19-Sep-14
29-Ago-14
30-Dic-13
1,209.615
0.05%
0.03%
0.43%
0.98%
Ponderacin*
9.76%
280.731
0.28%
4.44%
14.32%
26.79%
33.61%
1,020.484
-0.22%
-0.16%
0.54%
-0.08%
17.21%
562.927
0.90%
5.19%
22.54%
45.29%
39.42%
509.240
0.41%
3.51%
13.55%
28.78%
100.00%
(*)Composicion ndices: Subndice de Bonos Cortos emitidos en pesos (NF18, AS15, PR15, PR14), Subndice de Bonos Cortos emitidos en dlares (RO15, AA17,
GJ17), Subndice de Bonos Largos emitidos en pesos (PR13, DICP, PARP), Subndice de Bonos Largos emitidos en dlares (PARA, DICY, PARY, DICA, DIY0).
Curvas de Rendimientos
Curva en Pesos + CER y en Dlares
0.33
Pg.9
MERCADOS INTERNACIONALES
24-Sep-14
Bolsas
Divisas
Hoy*
Variacin % Respecto
Euro
Libra Irlandesa **
Florin Holands **
Lira Italiana **
Hoy* (!)
Ant.
Sem.
Mes
0.782
0.50
0.35
2.72
0.79
2.20
1936.21
31/12/13
Indice (!)
Ayer
En U$S
Cierre
Ant.
Sem.
Mes 31/12/13
7.53
13.76
17,210.06
17,210.060
17,055.87
0.90
-0.40
0.65
3.82
Franco Belga **
40.34
1,998.82
1,998.820
1,982.77
0.81
-0.58
-0.23
8.14
Markka Finlands **
5.95
1,127.62
1,127.620
1,118.72
0.80
-1.68
-3.98
-3.10
4,555.22
4,555.221
4,508.69
1.03
-0.54
-0.55
9.07
Cheln Austraco **
Franco Francs **
6.56
Franco Luxemburgo **
40.34
NASDAQ (NASDAQ)
Marco Alemn **
1.96
Escudo Portugus **
200.48
CAC-40 (Euronext)
4,413.72
5,642.917
5,601.33
0.74
-1.41
-1.92
-4.45
9,661.97
12,352.775
12,328.66
0.20
-1.75
-0.68
-6.33
Peseta Espaola**
166.39
Libra Esterlina
0.612
0.30
-0.32
1.58
1.33
1,107.84
1,416.367
1,416.35
0.00
-1.64
-1.48
1.81
Dlar Canadiense
1.106
-0.20
0.88
1.64
4.08
6,706.27
10,959.390
10,942.78
0.15
-1.61
-3.19
-1.94
0.00
0.00
0.24
29.21
15,126.08
13,676.383
13,648.86
0.20
-1.77
-4.76
6.69
Real Brasileo
2.385
-1.12
0.71
6.65
0.97
Merval (BCBA)
12,257.08
1,454.415
1,430.79
1.65
5.84
24.56
75.97
Peso Chileno
597.210
-0.37
0.15
1.69
13.62
56,817.88
23,820.014
23,438.42
1.63
-2.37
-13.08
9.25
Peso Mexicano
13.281
-0.28
0.51
1.46
1.84
3,972.79
6.652
6.61
0.63
-1.19
-2.25
-5.32
Bolivar Venezolano
6.300
0.00
0.00
0.00
0.00
45,148.27
3,399.386
3,379.77
0.58
-1.84
-2.47
3.76
109.060
0.14
-0.02
4.76
3.54
2,950.95
468.405
448.02
4.55
6.20
12.52
7.83
Yen
Dlar Hong Kong
7.752
0.00
0.00
0.02
-0.02
16,167.45
148.244
148.88
-0.43
-0.92
0.05
-4.31
Ringgit Malayo
3.243
-0.08
0.29
2.85
-1.13
23,921.61
3,085.783
3,074.96
0.35
-1.59
-3.34
2.66
Peso Filipino
44.487
-0.16
-0.19
1.82
0.17
1,840.08
567.401
567.00
0.07
-0.80
-4.13
-0.32
Bath Tailands
32.240
-0.09
0.06
0.88
-1.47
7,355.29
165.336
163.19
1.32
1.17
2.45
24.64
Rupiah Indonesa
11,955.000
-0.17
-0.13
2.22
-1.85
1,591.89
49.376
49.28
0.20
0.38
1.05
24.93
Won Coreano
1,040.270
-0.01
-0.44
2.56
-1.51
5,174.01
0.433
0.43
-0.11
-0.90
-1.47
23.74
Rublo Ruso
38.173
-1.13
-0.69
2.98
16.03
2,035.64
1.957
1.95
0.34
-0.45
-4.04
2.76
Lira Turca
2.238
-0.08
0.13
3.41
4.28
75,193.02
33,592.307
34,222.61
-1.84
-2.38
-9.46
6.35
242.750
0.19
-0.07
1.13
11.99
18,092.86
74.533
75.35
-1.09
-1.66
0.63
-13.69
0.945
0.56
0.46
2.93
5.83
8,797.17
9,305.236
9,322.20
-0.18
-0.94
-1.29
0.76
Florint Hngaro
Franco Suizo
(F) Feriado. Las variaciones del ndice en dlares se deben a variaciones del tipo de cambio.
Commodities
Variacin % Respecto
Variacin % Respecto
Hoy* (!)
Ant.
Sem.
Mes
31/12/13
93.85
2.51
1.54
-4.26
-4.40
1,217.60
-0.46
0.07
-5.47
0.95
Plata
17.73
-0.62
-0.73
-9.22
-9.12
CRB
280.38
0.93
0.35
-4.22
0.08
Petrleo ("WTI")
Oro onza troy
31/12/13
Hoy* (!)
Ant.
Sem.
Trigo (u$s/Tn.)
252.20
0.29
-1.15
-6.53
-9.13
Maz (u$s/Tn.)
140.85
0.00
0.00
0.00
-14.39
344.42
0.05
-2.12
-14.02
-28.63
Azucar (#)
337.97
0.00
0.99
-9.50
-7.26
Mes
(*) Los precios son suministrados por Thomson Reuters y son los disponibles a la hora de cierre de la BCBA. (#) Precio en u$s/Tn. del dia anterior.
Nota: Las variaciones semanales surgen de la comparacin con el ltimo da de la semana y mes anterior respectivamente.
Pg. 10
MERCADOS INTERNACIONALES
24-Sep-14
Bonos Brady
Variacin % respecto
Hoy*(!)
Ant.
Sem.
Variacin en PB respecto
Mes.
31-Dic-13
Argentina
Hoy*(!)
Ant.
Sem.
Mes.
31-Dic-13
3 meses
0.02
-1
-5
43.000
0.00
0.00
0.00
0.00
6 meses
0.04
-1
-5
86.563
0.00
0.00
0.00
0.00
2 aos
0.59
10
21
5 aos
1.80
-2
17
10 aos
2.57
-1
22
-46
30 aos
3.28
-1
19
-69
Fed Funds
0.10
Peru
Bono PDI de Per
Bono FLI de Per
100.625
100.500
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
Polonia
Bono PAR de Polonia
83.000
0.00
0.00
0.00
0.00
Hoy*(!)
Ant.
Sem.
Mes.
31-Dic-13
2 aos
-0.05
-2
-25
5 aos
0.21
-72
10 aos
1.01
-4
12
-93
20 aos
1.74
-6
14
-96
30 aos
1.92
-4
19
-84
Ant.
Sem.
Mes.
31-Dic-13
3 meses
0.48
1 ao
0.57
20
2 aos
0.88
-2
31
5 aos
1.84
-4
13
-3
10 aos
2.48
-6
11
-55
20 aos
2.95
-1
-6
12
-56
30 aos
3.07
-1
-7
12
-60
0.33
-2
Ant.
Sem.
Mes.
31-Dic-13
3 meses
0.02
-1
-5
6 meses
0.02
-1
-5
1 ao
0.04
-1
-4
2 aos
0.06
-1
-1
-4
5 aos
0.17
-1
-8
10 aos
0.53
-1
-4
-22
20 aos
1.38
-2
-4
-21
(*) Los precios son suministrados por Thomson Reuters y son los disponibles a la hora de cierre de la BCBA.
Nota: Las variaciones semanales surgen de la comparacin con el ltimo da de la semana y mes anterior respectivamente.
Pg. 11
Cdigo de
Especie
LMT
JPM
MSFT
VZ
NKE
MRK
C
AAPL
IBM
CVX
CAT
MMM
BA
VALE
MON
XOM
GLW
WFC
KO
ABX
GOOGL
AA
HD
GE
BA.C
AIG
DD
GSK
MCD
PFE
MELI
WMT
PG
YHOO
UBS
IBN
BNG
INTC
JNJ
BBRY
BBV
Ratio
(CEDEAR/Accin)
1.00
10.00
5.00
2.00
3.00
10.00
30.00
10.00
10.00
8.00
5.00
5.00
3.00
2.00
5.00
5.00
4.00
5.00
5.00
1.00
29.00
6.00
4.00
5.00
2.00
5.00
5.00
2.00
4.00
2.00
2.00
3.00
5.00
9.00
1.00
1.00
5.00
5.00
5.00
3.00
1.00
TOTAL SEMANAL
Sector
Aeroespacio y Defensa
Actividades Financieras y Burstiles
Telecomunicaciones
Telecomunicaciones
Productos Personales
Qumicos
Actividades Financieras y Burstiles
Electrnica
Informtica
Petrleo
Maquinaria Industrial
Productos Industriales
Aeroespacio y Defensa
Minerales
Qumicos
Petrleo
Telecomunicaciones
Holding
Bebidas
Minerales
Informtica
Ind. Metalrgica y Siderrgica
Comercio
Distribucin de Energa Elctrica
Bancos
Seguros
Qumicos
Industria Farmacutica
Alimentos
Industria Farmacutica
Comercio
Comercio
Productos Personales
Informtica
Bancos
Bancos
Alimentos
Informtica
Qumicos
Informtica
Bancos
lt. Cierre
Semana
2,511.50
88.60
142.00
326.30
358.50
78.85
25.00
149.00
277.80
219.50
285.80
412.30
607.55
84.00
334.40
280.40
70.65
153.80
122.20
222.00
300.00
38.45
301.00
75.00
122.00
150.00
204.95
160.00
313.30
220.00
756.00
346.55
255.00
62.00
243.15
744.85
225.00
99.00
312.95
53.00
168.05
Fecha
lt. Cierre
Vol. Nominal
de la Semana
23/09/2014
22/09/2014
22/09/2014
18/09/2014
18/09/2014
18/09/2014
23/09/2014
23/09/2014
23/09/2014
22/09/2014
22/09/2014
22/09/2014
22/09/2014
23/09/2014
23/09/2014
23/09/2014
22/09/2014
22/09/2014
23/09/2014
22/09/2014
23/09/2014
23/09/2014
19/09/2014
23/09/2014
23/09/2014
18/09/2014
23/09/2014
18/09/2014
18/09/2014
23/09/2014
23/09/2014
18/09/2014
22/09/2014
18/09/2014
18/09/2014
18/09/2014
17/09/2014
18/09/2014
23/09/2014
19/09/2014
17/09/2014
5,245
157,910
99,105
36,800
33,480
152,000
313,830
39,110
16,230
18,656
14,020
9,710
6,585
45,826
4,050
2,245
7,800
3,260
3,145
1,477
1,102
8,130
832
3,040
1,448
1,070
755
800
360
248
60
114
115
405
102
33
100
200
40
204
34
989,676
Vol. Efectivo
de la Semana (*)
12,699,888
12,554,070
12,180,133
11,994,040
11,989,188
11,975,109
7,446,992
5,576,075
4,435,947
4,085,842
4,007,976
4,006,817
4,000,717
3,864,920
1,343,138
608,643
551,070
501,388
354,995
328,492
324,887
313,044
250,586
220,326
176,560
160,500
154,737
128,000
112,962
54,560
45,345
39,507
29,325
25,110
24,801
24,580
22,500
19,800
12,518
10,812
5,714
Ruedas Cot.
en la Semana
5
3
4
2
2
2
5
5
3
2
1
1
1
5
2
3
1
1
4
3
5
5
2
4
2
2
1
1
1
1
2
1
1
1
1
1
1
1
1
1
1
-
116,661,612
(*) Los precios y volmenes en u$s son convertidos a $ de acuerdo al valor del Dlar Mayorista Bancos informado por Reuters.
pg. 12
Anexo A
Anlisis de opciones
24/09/2014
Negociacin
Serie
ltimo precio
de la prima
Variacin
Mnimo
Mximo
Tericos(c/vol hist.)
Lotes
Volumen ($)
Prima terica
Delta
Implcitos
Efecto
Palanca
Volat.
Implcit
Delta
Opciones de Compra
Vencimiento Octubre - 17/10/2014 -
ALUA Cotizacin Subyacente: 8.790 Volatilidad Histrica del subyacente 40 ruedas: 43.81%
ALUC4.55OC
ALUC4.95OC
ALUC5.75OC
ALUC6.25OC
ALUC6.50OC
ALUC6.75OC
ALUC7.00OC
ALUC7.25OC
ALUC7.50OC
ALUC8.00OC
4.250
4.200
2.700
2.600
2.150
2.000
1.800
1.650
1.650
1.250
17.40%
29.23%
10.20%
23.81%
34.38%
29.03%
38.46%
50.00%
85.39%
-
4.000
3.700
2.650
2.200
2.150
2.000
1.450
1.250
1.150
1.000
4.250
4.200
2.700
2.600
2.150
2.000
1.800
1.650
1.650
1.250
85
11
369
450
59
118
174
136
431
88
34,125
4,120
99,335
104,130
12,685
23,600
27,270
18,600
63,190
10,000
48.35%
47.78%
30.72%
29.58%
24.46%
22.75%
20.48%
18.77%
18.77%
14.22%
4.280
3.883
3.091
2.595
2.348
2.101
1.857
1.616
1.381
0.948
1.000
1.000
1.000
0.999
0.998
0.994
0.986
0.970
0.942
0.838
2.05%
2.26%
2.84%
3.39%
3.74%
4.16%
4.67%
5.28%
5.99%
7.77%
0.00%
232.19%
0.00%
61.99%
0.00%
0.00%
0.00%
58.38%
97.63%
88.28%
1.000
0.901
1.000
0.990
1.000
1.000
1.000
0.925
0.789
0.717
32,415
34,600
132,500
42,570
28,290
30,000
8,500
22,810
95,134
1,600
27.73%
19.59%
16.61%
13.20%
11.07%
10.22%
7.67%
5.20%
3.79%
1.36%
31.865
20.745
17.403
14.335
11.586
9.185
6.254
4.079
2.555
0.894
0.984
0.902
0.849
0.782
0.705
0.620
0.487
0.363
0.256
0.110
3.63%
5.11%
5.73%
6.41%
7.14%
7.92%
9.15%
10.44%
11.77%
14.47%
88.25%
93.79%
86.49%
73.02%
73.79%
84.99%
83.43%
78.06%
78.89%
71.30%
0.937
0.816
0.781
0.750
0.681
0.606
0.511
0.409
0.323
0.156
13,970
25.85%
0.863
0.969
4.30%
127.69%
0.828
13,745
138,547
11,912
32.61%
20.38%
8.15%
1.202
0.722
0.332
0.997
0.936
0.682
3.05%
4.77%
7.56%
0.00%
76.54%
48.55%
1.000
0.885
0.706
3,000
42.55%
3.085
1.000
2.29%
0.00%
1.000
16,050
71,450
64,237
230,296
204,210
212,604
460,052
358,642
318,440
242,385
482,778
1,008,241
334,077
235,543
65,535
52.97%
49.50%
49.50%
40.10%
35.64%
30.45%
26.24%
21.78%
17.33%
14.36%
11.63%
9.16%
7.18%
5.94%
4.31%
1.128
1.029
0.930
0.831
0.732
0.633
0.535
0.440
0.350
0.268
0.197
0.139
0.094
0.061
0.038
1.000
1.000
1.000
1.000
0.999
0.995
0.983
0.955
0.901
0.817
0.707
0.579
0.450
0.331
0.231
1.79%
1.96%
2.17%
2.43%
2.76%
3.18%
3.71%
4.38%
5.20%
6.16%
7.24%
8.42%
9.68%
10.99%
12.33%
0.00%
0.00%
239.68%
0.00%
0.00%
0.00%
0.00%
59.17%
59.17%
74.25%
80.12%
82.18%
84.33%
89.78%
87.56%
1.000
1.000
0.907
1.000
1.000
1.000
1.000
0.955
0.901
0.775
0.673
0.577
0.486
0.411
0.331
2,520
8,000
7,675
89,976
1,462
92,194
37.15%
23.58%
15.33%
12.74%
8.25%
5.19%
2.979
1.994
1.431
1.089
0.659
0.441
1.000
0.983
0.926
0.848
0.670
0.528
2.85%
4.18%
5.49%
6.61%
8.62%
10.14%
152.66%
56.40%
0.00%
49.61%
56.65%
51.19%
0.906
0.974
1.000
0.855
0.659
0.528
6,993
15,235
19,102
22,850
154,580
136,628
241,670
187,450
178,760
134,790
146,202
214,731
35,804
540,839
80,609
321,891
49.85%
42.66%
40.42%
40.42%
38.92%
36.68%
32.19%
32.19%
29.94%
27.69%
24.70%
23.20%
19.46%
12.72%
8.98%
8.98%
3.488
3.042
2.894
2.745
2.596
2.448
2.299
2.150
2.002
1.854
1.608
1.366
1.132
0.710
0.533
0.386
1.000
1.000
1.000
1.000
1.000
1.000
1.000
0.999
0.998
0.997
0.989
0.972
0.939
0.802
0.699
0.582
1.92%
2.20%
2.31%
2.43%
2.57%
2.73%
2.91%
3.10%
3.33%
3.59%
4.11%
4.75%
5.54%
7.55%
8.76%
10.08%
0.00%
0.00%
0.00%
0.00%
84.00%
74.44%
0.00%
0.00%
0.00%
0.00%
79.12%
110.10%
95.29%
75.22%
59.62%
80.85%
1.000
1.000
1.000
1.000
0.992
0.994
1.000
1.000
1.000
1.000
0.930
0.830
0.809
0.726
0.673
0.575
6,250
14,800
9,040
29,750
263,000
852,097
919,150
30.56%
29.34%
26.65%
24.45%
23.47%
21.03%
19.07%
6.574
6.079
5.586
5.095
4.608
4.129
3.661
0.999
0.998
0.995
0.990
0.982
0.968
0.946
3.11%
3.36%
3.64%
3.98%
4.36%
4.79%
5.28%
0.00%
0.00%
0.00%
0.00%
83.38%
75.27%
76.77%
1.000
1.000
1.000
1.000
0.905
0.898
0.863
APBR Cotizacin Subyacente: 117.400 Volatilidad Histrica del subyacente 40 ruedas: 60.24%
PBRC86.4OC
PBRC98.4OC
PBRC102.4O
PBRC106.4O
PBRC110.4O
PBRC114.4O
PBRC120.4O
PBRC126.4O
PBRC132.4O
PBRC144.4O
32.550
23.000
19.500
15.500
13.000
12.000
9.000
6.100
4.450
1.600
-5.65%
12.20%
5.41%
0.00%
0.00%
20.00%
28.57%
10.91%
27.14%
6.67%
32.000
21.000
16.000
15.450
13.000
10.200
8.000
6.000
3.800
1.600
32.550
23.000
19.500
16.000
14.500
12.000
9.000
6.800
4.500
1.600
10
16
71
27
21
27
10
36
223
10
BHIP Cotizacin Subyacente: 3.830 Volatilidad Histrica del subyacente 40 ruedas: 55.65%
BHIC3.00OC
0.990
16.47%
0.800
1.000
152
CECO2 Cotizacin Subyacente: 3.680 Volatilidad Histrica del subyacente 40 ruedas: 58.32%
CECC2.50OC
CECC3.00OC
CECC3.50OC
1.200
0.750
0.300
22.45%
56.25%
66.67%
1.000
0.550
0.150
1.200
0.750
0.300
129
2,112
686
CELU Cotizacin Subyacente: 7.050 Volatilidad Histrica del subyacente 40 ruedas: 41.54%
CELC4.00OC
3.000
-6.25%
3.000
3.000
10
COME Cotizacin Subyacente: 2.020 Volatilidad Histrica del subyacente 40 ruedas: 59.16%
COMC0.90OC
COMC1.00OC
COMC1.10OC
COMC1.20OC
COMC1.30OC
COMC1.40OC
COMC1.50OC
COMC1.60OC
COMC1.70OC
COMC1.80OC
COMC1.90OC
COMC2.00OC
COMC2.10OC
COMC2.20OC
COMC2.30OC
1.070
1.000
1.000
0.810
0.720
0.615
0.530
0.440
0.350
0.290
0.235
0.185
0.145
0.120
0.087
10.31%
5.26%
17.65%
9.46%
10.77%
11.82%
17.78%
15.79%
20.69%
26.09%
27.03%
25.00%
26.09%
46.34%
-
1.070
0.940
0.870
0.740
0.660
0.560
0.450
0.380
0.300
0.230
0.190
0.150
0.116
0.080
0.068
1.070
1.000
1.000
0.820
0.735
0.640
0.530
0.460
0.370
0.300
0.250
0.200
0.160
0.120
0.087
150
750
713
2,980
2,906
3,577
9,311
8,671
9,384
9,050
23,154
57,781
24,352
23,375
8,602
EDN Cotizacin Subyacente: 8.480 Volatilidad Histrica del subyacente 40 ruedas: 51.35%
EDNC5.55OC
EDNC6.55OC
EDNC7.15OC
EDNC7.55OC
EDNC8.15OC
EDNC8.55OC
3.150
2.000
1.300
1.080
0.700
0.440
0.00%
-6.98%
-16.13%
-3.57%
-5.41%
-2.44%
3.150
2.000
1.250
1.080
0.451
0.295
3.150
2.000
1.300
1.140
0.700
0.460
8
40
61
829
28
2,368
ERAR Cotizacin Subyacente: 6.680 Volatilidad Histrica del subyacente 40 ruedas: 48.44%
ERAC3.22OC
ERAC3.67OC
ERAC3.82OC
ERAC3.97OC
ERAC4.12OC
ERAC4.27OC
ERAC4.42OC
ERAC4.57OC
ERAC4.72OC
ERAC4.87OC
ERAC5.12OC
ERAC5.37OC
ERAC5.62OC
ERAC6.12OC
ERAC6.37OC
ERAC6.62OC
3.330
2.850
2.700
2.700
2.600
2.450
2.150
2.150
2.000
1.850
1.650
1.550
1.300
0.850
0.600
0.600
18.93%
35.71%
18.42%
35.00%
28.71%
41.62%
24.28%
38.71%
37.93%
37.04%
65.00%
82.35%
109.68%
88.89%
140.00%
-
3.330
2.740
2.660
2.470
2.300
2.100
1.960
1.800
1.570
1.350
1.350
0.890
0.700
0.470
0.300
0.250
3.330
2.850
2.700
2.700
2.600
2.450
2.150
2.150
2.000
1.850
1.650
1.550
1.300
0.900
0.600
0.660
21
55
71
90
651
622
1,187
955
1,055
832
1,012
1,835
367
8,616
1,912
7,812
GGAL Cotizacin Subyacente: 20.450 Volatilidad Histrica del subyacente 40 ruedas: 49.59%
GFGC14.0OC
GFGC14.5OC
GFGC15.0OC
GFGC15.5OC
GFGC16.0OC
GFGC16.5OC
GFGC17.0OC
6.250
6.000
5.450
5.000
4.800
4.300
3.900
-0.79%
0.84%
0.00%
1.01%
2.13%
2.63%
8.33%
6.250
5.800
5.000
4.450
4.150
3.610
3.000
6.250
6.000
5.450
5.000
4.800
4.300
3.900
10
25
17
65
595
2,188
2,744
A-1
Anexo A
Anlisis de opciones
24/09/2014
Negociacin
Serie
GFGC17.5OC
GFGC18.0OC
GFGC18.5OC
GFGC19.0OC
GFGC20.0OC
GFGC20.5OC
GFGC21.0OC
GFGC22.0OC
GFGC23.0OC
GFGC24.0OC
GFGC25.0OC
ltimo precio
de la prima
3.400
3.100
2.600
2.247
1.650
1.410
1.180
0.820
0.600
0.400
0.300
Variacin
7.77%
13.76%
10.64%
8.03%
13.01%
13.25%
13.46%
9.33%
12.57%
14.29%
19.52%
Mnimo
Mximo
2.600
2.400
2.030
1.700
1.230
1.000
0.850
0.620
0.400
0.330
0.230
3.400
3.100
2.600
2.300
1.700
1.490
1.290
0.880
0.650
0.410
0.300
Tericos(c/vol hist.)
Lotes
Volumen ($)
2,585
2,615
1,260
10,649
13,648
8,059
29,218
14,960
7,691
1,106
2,660
Prima terica
Delta
Implcitos
Efecto
Palanca
Volat.
Implcit
Delta
779,985
684,542
290,380
2,003,763
1,928,002
1,018,025
3,013,107
1,118,158
411,954
43,360
66,080
16.63%
15.16%
12.71%
10.99%
8.07%
6.89%
5.77%
4.01%
2.93%
1.96%
1.47%
3.208
2.776
2.370
1.994
1.350
1.085
0.858
0.513
0.288
0.153
0.077
0.916
0.875
0.825
0.764
0.622
0.545
0.469
0.326
0.211
0.126
0.071
5.84%
6.45%
7.11%
7.84%
9.42%
10.27%
11.16%
13.02%
14.93%
16.90%
18.91%
68.39%
74.51%
65.33%
64.70%
64.78%
65.44%
65.20%
65.57%
68.42%
68.39%
71.53%
0.850
0.793
0.771
0.721
0.607
0.548
0.490
0.380
0.294
0.215
0.166
15,260
9,500
33.46%
18.70%
1.809
1.082
0.999
0.950
2.80%
4.46%
0.00%
0.00%
1.000
1.000
10,615
23,960
14,260
42,835
28,587
13,480
79,620
11,280
34,905
24,195
32,640
35.02%
29.32%
26.87%
23.62%
20.85%
17.92%
13.84%
8.14%
7.33%
5.86%
4.56%
2.136
1.839
1.642
1.448
1.257
1.073
0.898
0.590
0.462
0.354
0.264
0.999
0.997
0.992
0.981
0.961
0.928
0.880
0.738
0.648
0.553
0.457
2.87%
3.33%
3.71%
4.16%
4.69%
5.31%
6.02%
7.67%
8.61%
9.60%
10.64%
91.65%
0.00%
65.46%
55.78%
65.92%
63.71%
28.71%
33.32%
50.78%
53.95%
55.52%
0.975
1.000
0.975
0.975
0.925
0.892
0.981
0.828
0.652
0.553
0.462
5,600
10,050
4,400
2,925
5,250
8,500
26,200
16,020
7,500
29.05%
23.86%
22.82%
17.63%
15.56%
13.49%
9.34%
7.26%
5.19%
2.808
2.411
2.214
1.765
1.572
1.384
0.863
0.713
0.458
1.000
0.999
0.997
0.984
0.971
0.950
0.820
0.753
0.594
3.43%
3.99%
4.34%
5.38%
5.95%
6.62%
9.16%
10.19%
12.49%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
43.42%
36.25%
42.30%
1.000
1.000
1.000
1.000
1.000
1.000
0.792
0.762
0.589
21,780
11,000
45.98%
12.64%
7.488
1.926
1.000
0.761
2.32%
6.87%
210.87%
76.85%
0.907
0.717
20
800
11.14%
0.445
0.873
7.04%
0.00%
1.000
100
106
168
117
23,000
19,860
27,880
19,422
51.80%
47.30%
40.54%
37.39%
2.557
2.160
1.962
1.764
1.000
1.000
1.000
1.000
1.74%
2.06%
2.26%
2.52%
0.00%
0.00%
0.00%
0.00%
1.000
1.000
1.000
1.000
18,900
140,600
38,400
6,500
71,800
232,800
317,730
156,050
89,950
45,680
45,010
28.10%
28.70%
23.32%
19.43%
14.95%
14.95%
12.56%
9.27%
7.47%
4.19%
2.69%
104.538
96.608
80.751
64.920
57.052
49.275
41.678
29.227
18.621
10.611
5.346
1.000
1.000
1.000
0.996
0.990
0.977
0.951
0.861
0.706
0.509
0.317
3.20%
3.46%
4.14%
5.13%
5.81%
6.63%
7.63%
9.85%
12.68%
16.03%
19.81%
0.00%
0.00%
0.00%
37.48%
0.00%
41.95%
35.51%
40.64%
53.08%
42.26%
43.94%
1.000
1.000
1.000
0.990
1.000
0.939
0.934
0.810
0.645
0.515
0.373
36,000
14,000
12,000
115,040
113,700
37,900
396,960
312,090
218,731
86,510
23,760
700
33.55%
26.10%
22.37%
18.64%
17.15%
14.17%
10.81%
8.95%
5.78%
4.29%
2.24%
1.30%
179.663
140.059
120.374
100.975
82.206
64.581
48.699
35.097
24.124
15.765
9.815
5.818
1.000
0.998
0.991
0.974
0.938
0.874
0.781
0.663
0.530
0.400
0.283
0.189
2.99%
3.82%
4.42%
5.17%
6.12%
7.26%
8.61%
10.13%
11.79%
13.59%
15.47%
17.41%
71.85%
0.00%
0.00%
0.00%
78.78%
75.07%
64.83%
68.94%
56.24%
57.16%
48.17%
46.62%
0.990
1.000
1.000
1.000
0.820
0.767
0.714
0.624
0.535
0.435
0.306
0.207
10
2
60,000
9,000
8.59%
6.80%
120.752
88.893
0.875
0.774
10.12%
12.16%
24.07%
29.49%
0.882
0.742
70
264
222
1,000
3,850
6,225
1,998
5,000
15.63%
6.25%
2.81%
1.56%
0.985
0.252
0.139
0.010
0.952
0.511
0.338
0.039
6.19%
12.95%
15.63%
25.43%
39.46%
51.96%
38.78%
58.61%
0.922
0.526
0.367
0.175
METR Cotizacin Subyacente: 5.080 Volatilidad Histrica del subyacente 40 ruedas: 59.23%
METC3.30OC
METC4.05OC
1.700
0.950
21.43%
26.67%
1.600
0.950
1.700
0.950
91
100
PAMP Cotizacin Subyacente: 6.140 Volatilidad Histrica del subyacente 40 ruedas: 52.91%
PAMC4.04OC
PAMC4.34OC
PAMC4.54OC
PAMC4.74OC
PAMC4.94OC
PAMC5.14OC
PAMC5.34OC
PAMC5.74OC
PAMC5.94OC
PAMC6.14OC
PAMC6.34OC
2.150
1.800
1.650
1.450
1.280
1.100
0.850
0.500
0.450
0.360
0.280
11.98%
0.00%
3.13%
7.41%
6.67%
0.00%
6.25%
-5.66%
0.00%
5.88%
27.27%
2.000
1.700
1.570
1.300
1.160
1.000
0.800
0.500
0.430
0.310
0.200
2.150
1.800
1.650
1.450
1.280
1.100
0.850
0.520
0.450
0.360
0.280
53
138
88
321
236
130
984
220
789
723
1,390
PESA Cotizacin Subyacente: 9.640 Volatilidad Histrica del subyacente 40 ruedas: 37.90%
PSAC6.893O
PSAC7.293O
PSAC7.493O
PSAC7.95OC
PSAC8.15OC
PSAC8.35OC
PSAC8.95OC
PSAC9.15OC
PSAC9.55OC
2.800
2.300
2.200
1.700
1.500
1.300
0.900
0.700
0.500
7.69%
2.22%
10.00%
9.68%
15.38%
13.04%
20.00%
16.67%
66.67%
2.800
2.100
2.200
1.550
1.500
1.200
0.700
0.600
0.500
2.800
2.300
2.200
1.700
1.500
1.300
0.900
0.700
0.500
20
45
20
18
35
70
335
247
150
PETR Cotizacin Subyacente: 17.400 Volatilidad Histrica del subyacente 40 ruedas: 57.72%
PETC10.0OC
PETC16.0OC
8.000
2.200
5.26%
-20.00%
7.350
2.200
8.000
2.200
28
50
TGNO4 Cotizacin Subyacente: 3.590 Volatilidad Histrica del subyacente 40 ruedas: 45.17%
TGNC3.20OC
0.400
60.00%
0.400
0.400
TRAN Cotizacin Subyacente: 4.440 Volatilidad Histrica del subyacente 40 ruedas: 56.20%
TRAC1.90OC
TRAC2.30OC
TRAC2.50OC
TRAC2.70OC
2.300
2.100
1.800
1.660
43.75%
23.53%
24.14%
29.69%
2.300
1.800
1.600
1.660
2.300
2.100
1.800
1.660
TS.C232.OC
TS.C240.OC
TS.C256.OC
TS.C272.OC
TS.C280.OC
TS.C288.OC
TS.C296.OC
TS.C310.OC
TS.C324.OC
TS.C338.OC
TS.C352.OC
94.000
96.000
78.000
65.000
50.000
50.000
42.000
31.000
25.000
14.000
9.000
-4.08%
3.23%
2.63%
8.33%
-7.41%
13.64%
13.51%
26.53%
31.58%
16.67%
12.50%
94.000
93.000
76.000
65.000
50.000
41.000
37.000
24.000
18.500
12.500
7.600
95.000
97.000
78.000
65.000
52.000
50.000
43.000
31.000
25.000
15.000
10.000
2
15
5
1
14
50
79
60
42
35
51
YPFD Cotizacin Subyacente: 536.500 Volatilidad Histrica del subyacente 40 ruedas: 43.49%
YPFC360.OC
YPFC400.OC
YPFC420.OC
YPFC440.OC
YPFC460.OC
YPFC480.OC
YPFC500.OC
YPFC520.OC
YPFC540.OC
YPFC560.OC
YPFC580.OC
YPFC600.OC
180.000
140.000
120.000
100.000
92.000
76.000
58.000
48.000
31.000
23.000
12.000
7.000
2.86%
0.00%
9.09%
-5.66%
5.75%
7.04%
9.43%
9.09%
14.81%
15.00%
0.00%
0.00%
180.000
140.000
120.000
93.600
77.000
75.500
40.050
35.000
20.050
16.000
11.000
7.000
180.000
140.000
120.000
100.000
92.000
76.000
58.000
48.000
31.000
23.000
12.000
7.000
2
1
1
12
13
5
84
77
86
46
20
1
RO15 Cotizacin Subyacente: 1,397.000 Volatilidad Histrica del subyacente 40 ruedas: 24.93%
R15C1300.O
R15C1340.O
120.000
95.000
20.00%
-13.64%
120.000
85.000
120.000
95.000
TVPP Cotizacin Subyacente: 6.400 Volatilidad Histrica del subyacente 40 ruedas: 33.11%
TPPC5.50OC
TPPC6.50OC
TPPC6.80OC
TPPC7.80OC
1.000
0.400
0.180
0.100
-51.22%
-76.47%
0.00%
1.000
0.400
0.180
0.100
1.350
0.500
0.180
0.100
A-2
Anexo A
Anlisis de opciones
24/09/2014
Negociacin
Serie
ltimo precio
de la prima
Variacin
Mnimo
Mximo
Tericos(c/vol hist.)
Lotes
Volumen ($)
Prima terica
Delta
Implcitos
Efecto
Palanca
Volat.
Implcit
Delta
ALUA Cotizacin Subyacente: 8.790 Volatilidad Histrica del subyacente 40 ruedas: 43.81%
ALUC4.75DI
4.500
45.16%
4.200
4.500
36
15,720
51.19%
4.195
0.999
2.09%
128.93%
0.911
11
31,300
23.85%
23.857
0.765
3.77%
82.83%
0.733
50
375
10,000
43,125
52.22%
30.03%
1.896
1.000
0.996
0.876
2.01%
3.36%
124.32%
88.13%
0.923
0.805
12,000
28.24%
2.493
0.921
3.14%
0.00%
1.000
2,160
19.57%
0.620
0.704
4.18%
74.20%
0.688
3,600
31,700
50,580
63,240
39,350
61,088
44.55%
39.60%
33.66%
33.66%
25.74%
19.31%
0.864
0.772
0.684
0.600
0.449
0.272
0.980
0.963
0.937
0.901
0.804
0.615
2.29%
2.52%
2.77%
3.04%
3.62%
4.56%
95.89%
82.73%
56.14%
95.67%
83.51%
90.45%
0.922
0.915
0.945
0.827
0.760
0.625
20
2,300
13.56%
0.853
0.553
5.49%
69.51%
0.569
79
226
100
816
1,929
22,650
51,450
22,500
154,684
243,767
44.91%
37.43%
33.68%
31.14%
20.96%
2.986
2.418
2.279
1.793
1.048
0.996
0.977
0.969
0.916
0.735
2.23%
2.70%
2.84%
3.41%
4.68%
63.18%
73.24%
0.00%
88.23%
79.90%
0.981
0.923
1.000
0.818
0.693
30,580
960
39,500
55,760
27,510
6,500
29.34%
23.47%
23.47%
14.67%
10.27%
6.36%
5.654
4.834
4.448
2.518
1.622
1.281
0.919
0.873
0.846
0.636
0.482
0.410
3.33%
3.70%
3.89%
5.17%
6.08%
6.55%
68.08%
47.92%
63.23%
62.39%
61.58%
50.09%
0.864
0.880
0.805
0.631
0.507
0.412
41,940
12,015
40.27%
30.20%
1.576
1.216
0.978
0.928
2.77%
3.41%
111.21%
77.45%
0.857
0.841
32,000
25.59%
1.291
0.851
3.35%
60.75%
0.847
5,100
8.52%
17.582
0.518
5.88%
47.96%
0.516
15
574
42
5
2,580
68,110
3,890
200
28.01%
21.99%
15.47%
6.51%
1.809
1.192
0.828
0.726
0.923
0.787
0.650
0.601
3.13%
4.05%
4.82%
5.09%
0.00%
70.11%
63.89%
24.60%
1.000
0.750
0.643
0.631
7,735
5,500
600
12.97%
11.41%
6.22%
1.412
1.146
0.812
0.786
0.710
0.583
5.37%
5.97%
6.92%
24.46%
35.00%
26.37%
0.874
0.720
0.592
28
2,750
26.46%
0.751
0.858
4.10%
85.93%
0.763
100
12,500
28.15%
1.183
0.880
3.30%
70.04%
0.842
14,400
100,100
13,500
6,400
21.52%
12.86%
5.98%
4.19%
58.765
32.531
18.277
13.185
0.892
0.688
0.486
0.388
5.08%
7.08%
8.89%
9.85%
63.45%
49.83%
34.86%
33.51%
0.772
0.651
0.492
0.395
1
10
12,500
66,500
23.30%
13.05%
117.893
52.175
0.884
0.591
4.02%
6.08%
55.66%
61.00%
0.838
0.594
88
25,915
33.56%
2.353
0.875
3.27%
84.30%
0.787
11
38,600
30.66%
28.776
0.756
3.08%
89.84%
0.734
37
4,995
35.25%
1.127
0.846
2.88%
89.42%
0.792
197,179
2,100
130,733
56.93%
51.98%
39.60%
1.080
0.903
0.664
0.986
0.956
0.869
1.84%
2.14%
2.65%
113.52%
125.88%
100.99%
0.920
0.868
0.808
APBR Cotizacin Subyacente: 117.400 Volatilidad Histrica del subyacente 40 ruedas: 60.24%
PBRC102.4D
28.000
16.67%
28.000
28.500
BHIP Cotizacin Subyacente: 3.830 Volatilidad Histrica del subyacente 40 ruedas: 55.65%
BHIC2.00DI
BHIC3.00DI
2.000
1.150
5.82%
4.55%
2.000
1.150
2.000
1.150
CAPX Cotizacin Subyacente: 8.500 Volatilidad Histrica del subyacente 40 ruedas: 53.18%
CAPC6.30DI
2.400
2.400
2.400
50
CECO2 Cotizacin Subyacente: 3.680 Volatilidad Histrica del subyacente 40 ruedas: 58.32%
CECC3.40DI
0.720
0.720
0.720
30
COME Cotizacin Subyacente: 2.020 Volatilidad Histrica del subyacente 40 ruedas: 59.16%
COMC1.20DI
COMC1.30DI
COMC1.40DI
COMC1.50DI
COMC1.70DI
COMC2.00DI
0.900
0.800
0.680
0.680
0.520
0.390
5.88%
3.90%
4.62%
13.33%
48.57%
7.73%
0.900
0.770
0.680
0.630
0.500
0.345
0.900
0.800
0.740
0.700
0.600
0.400
40
400
705
917
760
1,680
EDN Cotizacin Subyacente: 8.480 Volatilidad Histrica del subyacente 40 ruedas: 51.35%
EDNC8.75DI
1.150
0.00%
1.150
1.150
ERAR Cotizacin Subyacente: 6.680 Volatilidad Histrica del subyacente 40 ruedas: 48.44%
ERAC3.82DI
ERAC4.42DI
ERAC4.57DI
ERAC5.12DI
ERAC6.12DI
3.000
2.500
2.250
2.080
1.400
42.86%
21.95%
33.33%
59.09%
2.500
2.150
2.250
1.800
1.000
3.000
2.500
2.250
2.080
1.500
GGAL Cotizacin Subyacente: 20.450 Volatilidad Histrica del subyacente 40 ruedas: 49.59%
GFGC15.5DI
GFGC16.5DI
GFGC17.0DI
GFGC20.0DI
GFGC22.0DI
GFGC23.0DI
6.000
4.800
4.800
3.000
2.100
1.300
0.00%
152.63%
24.68%
11.11%
5.00%
-7.14%
5.800
4.800
4.600
2.600
2.100
1.300
6.000
4.800
4.800
3.000
2.100
1.300
51
2
85
202
131
50
INDU Cotizacin Subyacente: 4.470 Volatilidad Histrica del subyacente 40 ruedas: 46.60%
INDC3.00DI
INDC3.40DI
1.800
1.350
7.14%
0.00%
1.800
1.350
1.800
1.350
233
89
METR Cotizacin Subyacente: 5.080 Volatilidad Histrica del subyacente 40 ruedas: 59.23%
METC4.05DI
1.300
8.33%
1.250
1.300
250
MIRG Cotizacin Subyacente: 199.500 Volatilidad Histrica del subyacente 40 ruedas: 49.45%
MIRC210.DI
17.000
-15.00%
17.000
17.000
PAMP Cotizacin Subyacente: 6.140 Volatilidad Histrica del subyacente 40 ruedas: 52.91%
PAMC4.54DI
PAMC5.34DI
PAMC5.94DI
PAMC6.14DI
1.720
1.350
0.950
0.400
4.24%
12.50%
0.00%
1.720
1.150
0.900
0.400
1.720
1.350
0.950
0.400
PESA Cotizacin Subyacente: 9.640 Volatilidad Histrica del subyacente 40 ruedas: 37.90%
PSAC8.75DI
PSAC9.15DI
PSAC9.75DI
1.250
1.100
0.600
-7.41%
-7.56%
0.00%
1.180
1.100
0.600
1.250
1.100
0.600
63
50
10
TGNO4 Cotizacin Subyacente: 3.590 Volatilidad Histrica del subyacente 40 ruedas: 45.17%
TGNC3.00DI
0.950
46.15%
0.950
1.000
TRAN Cotizacin Subyacente: 4.440 Volatilidad Histrica del subyacente 40 ruedas: 56.20%
TRAC3.45DI
1.250
56.25%
1.250
1.250
TS.C288.DI
TS.C324.DI
TS.C352.DI
TS.C366.DI
72.000
43.000
20.000
14.000
28.57%
19.44%
5.26%
-
72.000
38.000
20.000
12.000
72.000
43.000
24.000
14.000
2
25
6
5
YPFD Cotizacin Subyacente: 536.500 Volatilidad Histrica del subyacente 40 ruedas: 43.49%
YPFC440.DI
YPFC540.DI
125.000
70.000
4.17%
7.69%
125.000
60.000
125.000
70.000
ALUC7.00FE
2.950
11.32%
2.860
2.950
APBR Cotizacin Subyacente: 117.400 Volatilidad Histrica del subyacente 40 ruedas: 60.24%
PBRC102.4F
36.000
35.000
36.000
BHIP Cotizacin Subyacente: 3.830 Volatilidad Histrica del subyacente 40 ruedas: 55.65%
BHIC3.00FE
1.350
-3.57%
1.350
1.350
COME Cotizacin Subyacente: 2.020 Volatilidad Histrica del subyacente 40 ruedas: 59.16%
COMC1.00FE
COMC1.20FE
COMC1.50FE
1.150
1.050
0.800
3.60%
5.00%
9.59%
1.080
1.050
0.745
1.250
1.050
0.800
1,745
20
1,700
A-3
Anexo A
Anlisis de opciones
24/09/2014
Negociacin
Serie
ltimo precio
de la prima
Variacin
Mnimo
Mximo
Tericos(c/vol hist.)
Lotes
Volumen ($)
Prima terica
Delta
Implcitos
Efecto
Palanca
Volat.
Implcit
Delta
ERAR Cotizacin Subyacente: 6.680 Volatilidad Histrica del subyacente 40 ruedas: 48.44%
ERAC6.37FE
1.500
1.500
1.500
202
30,300
22.46%
1.161
0.688
3.96%
70.48%
0.676
4,500
22.00%
3.349
0.658
4.02%
73.35%
0.657
7,900
39.60%
61.650
0.892
2.89%
103.83%
0.801
129,100
55,600
40.07%
34.67%
199.063
165.004
0.962
0.918
2.59%
2.99%
74.71%
72.80%
0.883
0.837
GGAL Cotizacin Subyacente: 20.450 Volatilidad Histrica del subyacente 40 ruedas: 49.59%
GFGC20.0FE
4.500
4.500
4.500
10
MIRG Cotizacin Subyacente: 199.500 Volatilidad Histrica del subyacente 40 ruedas: 49.45%
MIRC150.FE
79.000
0.00%
79.000
79.000
YPFD Cotizacin Subyacente: 536.500 Volatilidad Histrica del subyacente 40 ruedas: 43.49%
YPFC360.FE
YPFC400.FE
215.000
186.000
-4.44%
-
215.000
185.000
216.000
186.000
6
3
Opciones de Venta
Vencimiento Octubre - 17/10/2014 -
EDN Cotizacin Subyacente: 8.480 Volatilidad Histrica del subyacente 40 ruedas: 51.35%
EDNV7.55OC
0.350
75.00%
0.320
0.350
90
3,015
4.13%
0.092
-0.152
13.96%
92.84%
-0.258
200
350
87
800
2,050
435
0.60%
0.75%
0.75%
0.000
0.003
0.009
-0.002
-0.011
-0.028
23.21%
20.48%
94.66%
81.25%
70.15%
-0.054
-0.075
-0.085
1,976
328
17,758
14,744
118,389
69,470
0.20%
0.39%
0.93%
0.98%
2.44%
4.40%
0.000
0.002
0.061
0.168
0.377
0.724
0.000
-0.002
-0.054
-0.125
-0.236
-0.378
26.78%
17.98%
15.20%
12.78%
10.68%
124.75%
85.64%
66.22%
52.51%
57.09%
58.51%
-0.016
-0.041
-0.107
-0.137
-0.260
-0.388
1,330
234
0.81%
2.93%
0.002
0.051
-0.008
-0.120
21.73%
14.33%
91.42%
85.62%
-0.072
-0.214
1,575
1,200
1.71%
9.77%
0.089
0.435
-0.104
-0.350
7.23%
4.95%
55.84%
67.71%
-0.114
-0.358
450
3,750
1.56%
7.78%
0.359
0.605
-0.290
-0.417
7.79%
6.64%
24.15%
45.76%
-0.218
-0.417
ERAR Cotizacin Subyacente: 6.680 Volatilidad Histrica del subyacente 40 ruedas: 48.44%
ERAV4.72OC
ERAV5.12OC
ERAV5.37OC
0.040
0.050
0.050
14.29%
-37.50%
-75.00%
0.040
0.050
0.050
0.040
0.080
0.050
GGAL Cotizacin Subyacente: 20.450 Volatilidad Histrica del subyacente 40 ruedas: 49.59%
GFGV11.0OC
GFGV14.5OC
GFGV17.0OC
GFGV18.0OC
GFGV19.0OC
GFGV20.0OC
0.040
0.080
0.190
0.200
0.500
0.900
14.29%
14.29%
26.67%
-20.00%
-9.09%
-2.17%
0.040
0.080
0.120
0.170
0.450
0.900
0.040
0.080
0.190
0.270
0.700
1.000
494
41
1,401
682
2,277
740
PAMP Cotizacin Subyacente: 6.140 Volatilidad Histrica del subyacente 40 ruedas: 52.91%
PAMV4.54OC
PAMV5.34OC
0.050
0.180
66.67%
20.00%
0.050
0.180
0.050
0.180
266
13
PAMP Cotizacin Subyacente: 6.140 Volatilidad Histrica del subyacente 40 ruedas: 52.91%
PAMV4.74DI
PAMV5.94DI
0.105
0.600
-47.50%
20.00%
0.105
0.600
0.105
0.600
150
20
PESA Cotizacin Subyacente: 9.640 Volatilidad Histrica del subyacente 40 ruedas: 37.90%
PSAV9.15DI
PSAV9.75DI
0.150
0.750
-78.57%
-
0.150
0.750
0.150
0.750
30
50
Notas:
1 - Variacin con respecto al cierre anterior.
2 - Los indicadores se calculan utilizando el modelo de Black & Scholes.
3 - Delta=variacin cierre de la prima / variacin cotizacin del subyacente
4 - Efecto Palanca = variacin porcentual cierre de la prima / variacin porcentual cotizacin del subyacente
= Delta x (cotizacin del subyacente / cierre de la prima)
5 - No se informan volatilidades implcitas >= 200% por considerarlas poco significativas para el anlisis.
El Glosario con la explicacin detallada de cada uino de los indicadores est disponible en internet(http://www.iamc.sba.com.ar/informes/glosarioOpciones.pdf)
A-4
Anexo B
Especie
Serie
cubiertas
opuestas
cruzadas
descubiertas
total
Variacin c/ da anterior
Opciones de Compra
ALUA
APBR
BHIP
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
ALUC3.15OC
ALUC3.75OC
ALUC4.15OC
ALUC4.35OC
ALUC4.55OC
ALUC4.75OC
ALUC4.95OC
ALUC5.15OC
ALUC5.75OC
ALUC6.25OC
ALUC6.50OC
ALUC6.75OC
ALUC7.00OC
ALUC7.25OC
ALUC7.50OC
16
17
18
19
20
21
ALUC3.75DI
ALUC4.15DI
ALUC4.75DI
ALUC4.95DI
ALUC5.15DI
ALUC6.75DI
Total Call Diciembre
22
ALUC7.00FE
Total Call Febrero
12,000
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
PBRC102.4O
PBRC106.4O
PBRC110.4O
PBRC114.4O
PBRC120.4O
PBRC126.4O
PBRC132.4O
PBRC138.4O
PBRC144.4O
PBRC150.4O
PBRC82.4OC
PBRC86.4OC
PBRC90.4OC
PBRC94.4OC
PBRC98.4OC
18,600
38,900
27,900
50,800
21,300
9,900
60,300
3,700
14,400
10,400
4,100
16,600
2,700
18,300
32,900
900
2,352
32,816
17,800
6,100
4,000
22,284
2,200
3,900
1,100
0
0
500
748
0
7,042
2,048
3,288
1,900
3,000
21,639
6,214
78
0
5,300
0
800
500
2,952
2,323
330,800
94,700
57,084
16
17
18
19
20
PBRC102.4D
PBRC114.4D
PBRC126.4D
PBRC94.4DI
PBRC98.4DI
200
0
1,200
1,000
1,200
0
0
500
0
0
0
0
400
0
0
3,600
500
400
1,400
5,900
1
2
3
4
5
6
7
BHIC1.80OC
BHIC2.00OC
BHIC2.20OC
BHIC2.50OC
BHIC2.80OC
BHIC3.00OC
BHIC3.40OC
6,000
246,200
41,400
72,400
20,000
324,200
0
0
0
0
12,100
0
21,400
15,200
0
9,051
0
600
0
24,700
3,000
0
43,049
0
26,200
2,300
37,800
6,800
6,000
298,300
41,400
111,300
22,300
408,100
25,000
0
0
0
0
0
0
10,000
912,400
109,700
40,100
71,200
10,000
200,000
32,000
20,000
109,800
331,000
166,200
244,000
26,400
220,700
105,700
51,800
114,600
142,200
26,200
48,500
0
0
10,000
24,500
21,400
95,400
19,200
17,000
30,600
20,300
75,500
40,000
63,900
83,500
50,032
0
0
0
10,447
0
20,072
17,000
0
0
10,000
4,000
7,600
0
0
68
0
0
10,000
14,553
6,200
26,528
25,100
0
11,700
4,000
19,000
18,000
87,100
20,600
15,900
200,000
32,000
40,000
159,300
358,600
308,200
305,300
43,400
263,000
140,000
150,300
180,200
293,200
130,300
114,500
0
0
0
-5,000
-11,800
-18,200
-5,100
0
-4,600
-9,000
0
-14,500
-4,500
-7,300
37,100
1,839,100
551,332
69,187
258,681
2,718,300
-42,900
16,500
35,400
131,200
13,000
12,000
47,400
0
7,300
25,500
0
22,800
0
0
0
0
0
0
0
2,800
2,000
101,700
0
5,200
6,000
19,300
44,700
258,400
13,000
40,000
53,400
0
2,000
0
0
0
0
255,500
55,600
428,800
0
0
117,700
12,000
12,000
2,000
12,000
12,000
12,000
3,558
1,600
5,396
8,600
10,400
11,961
42,602
1,222
3,700
4,000
200
700
0
100
1,977
30,100
44,900
69,400
79,100
40,800
47,500
131,400
7,200
22,000
20,800
4,300
18,100
3,700
22,100
37,200
3,500
1,800
2,200
2,600
3,900
13,100
800
700
1,200
0
0
0
0
0
0
96,016
578,600
29,800
0
100
100
0
1,200
200
100
2,200
1,000
2,400
0
0
0
0
0
37,351
116,149
BHIC2.00DI
BHIC2.20DI
BHIC3.00DI
710,200
104,600
29,300
49,200
48,700
8
9
10
0
0
0
0
0
0
5,100
10,800
22,000
183,100
BHIC2.20FE
BHIC3.00FE
35,000
0
0
0
0
0
0
0
37,900
23,300
4,000
221,000
11
12
58,300
4,000
0
0
4,000
0
0
0
35,000
27,300
62,300
4,000
1
2
3
4
5
BMAC30.0OC
BMAC34.0OC
BMAC38.0OC
BMAC40.0OC
BMAC44.0OC
1,100
1,000
400
10,800
0
100
900
0
0
1,700
0
0
0
0
0
4,700
100
0
0
0
5,900
2,000
400
10,800
1,700
0
0
0
0
0
13,300
2,700
20,800
BMAC34.0DI
600
0
0
4,800
600
0
0
600
600
1
2
CITC14797O
CITC16.0OC
210
90
0
0
0
0
0
0
210
90
0
0
CADO
CADC5.316O
BMA
300
300
90,000
90,000
-10,000
B-1
Anexo B
Especie
Serie
cubiertas
Total Call Octubre
CAPX
CECO2
CELU
CEPU2
COME
EDN
ERAR
opuestas
cruzadas
descubiertas
total
Variacin c/ da anterior
90,000
90,000
-10,000
CAPC6.30OC
5,000
5,000
5,000
5,000
CAPC6.30FE
2,000
2,000
0
0
2,000
2,000
1
2
3
CECC2.50OC
CECC3.00OC
CECC3.50OC
153,500
186,800
74,200
0
5,000
0
7,689
45,300
148,000
15,211
136,600
69,700
176,400
373,700
291,900
0
-3,000
0
414,500
5,000
200,989
221,511
842,000
-3,000
CECC3.20DI
5,000
5,000
5,000
5,000
1
2
3
CELC4.00OC
CELC4.50OC
CELC5.50OC
9,700
0
21,000
0
0
0
0
0
0
0
5,000
0
9,700
5,000
21,000
0
0
-2,000
30,700
-2,000
2,000
45,000
2,000
2,000
0
0
0
0
0
35,700
CELC5.00DI
CELC5.25DI
CELC5.50DI
CELC6.50DI
0
0
0
0
0
5,000
4
5
6
7
0
0
0
0
2,000
45,000
2,000
2,000
0
0
0
0
51,000
51,000
CEPC52.0FE
2,000
2,000
2,000
2,000
2,000
2,000
144,800
1,111,600
2,372,000
3,247,500
5,007,000
3,643,800
3,689,100
2,102,500
2,314,700
4,114,900
2,694,900
4,555,800
5,286,100
750,400
1,049,100
500
140,010
208,900
288,170
442,400
1,541,870
1,497,430
1,899,800
3,263,600
3,242,810
3,478,800
3,081,110
7,665,500
1,010,400
2,076,100
0
63,490
138,530
18,330
84,120
316,030
59,270
262,500
195,200
498,320
191,000
268,810
42,660
54,100
69,900
300
1,400
150,170
22,900
75,880
223,100
64,300
157,000
328,500
330,970
435,900
544,380
1,770,840
550,300
799,000
145,600
1,316,500
2,869,600
3,576,900
5,609,400
5,724,800
5,310,100
4,421,800
6,102,000
8,187,000
6,800,600
8,450,100
14,765,100
2,365,200
3,994,100
0
0
-11,500
-31,300
-88,100
-55,500
-108,700
-109,500
-285,100
-192,200
34,100
-18,200
870,700
113,500
176,700
42,084,200
29,837,400
2,262,260
5,454,940
79,638,800
294,900
687,400
2,000
720,800
571,700
561,100
114,000
81,400
75,100
576,600
6,400
10,300
17,900
50,800
187,600
35,000
84,000
19,400
219,000
22,670
0
0
7,300
11,400
0
0
0
24,300
21,330
0
68,500
49,500
369,800
30,000
0
0
320,200
737,800
12,300
807,200
679,300
1,129,900
179,000
165,400
94,500
1,140,100
0
0
0
21,100
9,000
80,000
0
0
195,700
3,390,100
630,400
65,670
859,330
4,945,500
305,800
148,000
100,000
58,300
517,700
13,000
0
0
118,000
0
0
0
0
35,000
0
0
217,100
196,000
100,000
58,300
852,800
0
0
0
34,800
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
COMC0.70OC
COMC0.90OC
COMC1.00OC
COMC1.10OC
COMC1.20OC
COMC1.30OC
COMC1.40OC
COMC1.50OC
COMC1.60OC
COMC1.70OC
COMC1.80OC
COMC1.90OC
COMC2.00OC
COMC2.10OC
COMC2.20OC
16
17
18
19
20
21
22
23
24
COMC0.90DI
COMC1.00DI
COMC1.20DI
COMC1.30DI
COMC1.40DI
COMC1.50DI
COMC1.70DI
COMC1.90DI
COMC2.00DI
25
26
27
28
COMC1.00FE
COMC1.20FE
COMC1.30FE
COMC1.50FE
Total Call Febrero
824,000
131,000
252,100
1,207,100
34,800
1
2
3
4
5
6
7
EDNC5.55OC
EDNC6.55OC
EDNC7.15OC
EDNC7.55OC
EDNC8.15OC
EDNC8.55OC
EDNC8.95OC
109,200
81,100
194,200
378,200
120,100
642,400
0
16,300
54,000
3,600
37,300
92,700
122,500
12,500
0
0
0
66,685
19,581
30,000
0
0
11,900
84,900
120,015
23,619
367,200
5,000
125,500
147,000
282,700
602,200
256,000
1,162,100
17,500
0
0
-8,200
-3,400
1,200
-5,000
0
1,525,200
338,900
116,266
612,634
2,593,000
-15,400
EDNC8.75DI
1,500
15,000
16,500
1,500
15,000
16,500
440,000
1,187,300
21,300
638,600
274,000
305,700
479,100
1,695,300
801,700
894,500
380,800
322,500
0
68,700
0
8,443
1,000
43,300
58,465
189,819
121,500
100,900
150,900
194,850
0
54,600
0
11,557
0
4,442
13,135
341,518
36,700
24,000
0
51,202
0
38,200
0
23,200
24,000
23,658
9,200
349,563
12,100
29,800
10,000
93,748
440,000
1,348,800
21,300
681,800
299,000
377,100
559,900
2,576,200
972,000
1,049,200
541,700
662,300
0
-5,000
0
-10,000
0
-5,000
0
-62,200
5,600
-53,500
5,800
-10,000
1
2
3
4
5
6
7
8
9
10
11
12
ERAC2.92OC
ERAC3.22OC
ERAC3.37OC
ERAC3.52OC
ERAC3.67OC
ERAC3.82OC
ERAC3.97OC
ERAC4.12OC
ERAC4.27OC
ERAC4.42OC
ERAC4.57OC
ERAC4.72OC
B-2
Anexo B
Especie
Serie
cubiertas
opuestas
cruzadas
descubiertas
total
Variacin c/ da anterior
13
14
15
16
17
18
ERAC4.87OC
ERAC5.12OC
ERAC5.37OC
ERAC5.62OC
ERAC6.12OC
ERAC6.37OC
9,789,500
2,245,411
1,144,767
1,287,422
14,467,100
74,900
19
20
21
22
ERAC3.82DI
ERAC4.42DI
ERAC5.12DI
ERAC6.12DI
78,500
202,700
163,000
531,300
1,000
0
7,300
19,300
0
1,622
0
95,830
20,500
94,378
59,600
142,170
100,000
298,700
229,900
788,600
0
143,700
99,700
100,300
975,500
27,600
97,452
316,648
1,417,200
343,700
FIPC1.50OC
25,000
25,000
25,000
25,000
1
2
3
4
5
FRAC27946O
FRAC30.0OC
FRAC32.0OC
FRAC34.0OC
FRAC36.0OC
41,100
72,700
18,700
8,200
0
0
0
500
0
2,600
1,300
0
19,527
103
0
0
0
27,173
197
0
42,400
72,700
65,900
8,500
2,600
0
0
0
0
0
140,700
3,100
20,930
27,370
192,100
FRAC38.0DI
6,000
6,000
0
0
GCLA
1
2
GCLC27.0OC
GCLC35.0OC
72,000
72,000
GGAL
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
GFGC11.0OC
GFGC12.0OC
GFGC13.0OC
GFGC13.5OC
GFGC14.0OC
GFGC14.5OC
GFGC15.0OC
GFGC15.5OC
GFGC16.0OC
GFGC16.5OC
GFGC17.0OC
GFGC17.5OC
GFGC18.0OC
GFGC18.5OC
GFGC19.0OC
GFGC20.0OC
GFGC20.5OC
GFGC21.0OC
GFGC22.0OC
GFGC23.0OC
GFGC24.0OC
GFGC25.0OC
101,900
8,300
11,200
0
289,200
180,900
811,000
405,100
914,200
632,500
1,121,300
1,392,300
512,400
240,800
816,500
1,071,400
228,300
570,500
486,500
172,700
0
0
20,600
12,200
112,800
32,200
222,500
111,230
281,100
161,900
422,386
937,035
1,259,000
1,212,500
2,764,028
1,041,159
2,561,123
3,246,848
1,375,299
2,373,261
1,563,983
479,400
0
0
0
0
2,307
0
18,000
50,570
5,591
4,771
141,354
85,908
45,346
434,612
93,152
23,641
38,340
107,956
24,979
142,633
250,627
0
0
0
1,000
0
17,793
0
9,500
0
35,209
19,829
144,160
30,657
262,754
342,088
248,020
197,900
166,237
705,696
491,622
745,906
977,090
428,600
18,900
196,900
123,500
20,500
144,100
32,200
539,200
342,700
1,132,900
591,600
1,622,100
1,686,100
2,688,400
3,381,500
3,617,600
1,503,500
3,582,200
5,131,900
2,120,200
3,832,300
3,278,200
1,080,700
18,900
196,900
0
0
-300
0
-1,800
0
-17,000
-7,000
-44,800
-35,200
-86,300
-193,600
-89,900
-33,200
29,400
-254,000
-81,200
168,900
803,000
341,400
0
101,000
9,967,000
20,190,552
1,469,787
5,039,861
36,667,200
599,400
23
GFGC23.0NO
10,000
10,000
10,000
10,000
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
GFGC13.0DI
GFGC14.0DI
GFGC15.5DI
GFGC16.0DI
GFGC16.5DI
GFGC17.0DI
GFGC17.5DI
GFGC18.0DI
GFGC18.5DI
GFGC19.0DI
GFGC20.0DI
GFGC21.0DI
GFGC22.0DI
GFGC23.0DI
GFGC24.0DI
GFGC25.0DI
9,100
40,000
11,700
2,200
10,000
89,900
5,000
6,500
0
27,000
207,600
23,000
4,800
77,800
5,000
0
0
0
200
0
0
0
0
19,900
500
9,600
119,519
48,100
40,600
33,000
10,000
15,000
0
0
0
0
0
20,480
0
0
0
0
25,981
0
0
0
0
0
11,100
0
10,700
8,800
0
38,720
10,000
23,800
14,500
15,800
122,800
34,100
31,100
10,200
0
0
20,200
40,000
22,600
11,000
10,000
149,100
15,000
50,200
15,000
52,400
475,900
105,200
76,500
121,000
15,000
15,000
0
0
0
0
0
0
6,000
0
0
0
0
69,600
12,000
-300
0
0
15,000
519,600
296,419
46,461
331,620
1,194,100
102,300
1
2
3
4
5
6
INDC2.40OC
INDC2.80OC
INDC3.00OC
INDC3.20OC
INDC3.40OC
INDC4.00OC
9,000
0
119,100
3,000
10,000
8,900
0
8,000
7,000
0
0
5,000
0
0
0
0
0
0
0
0
19,100
0
0
11,500
9,000
8,000
145,200
3,000
10,000
25,400
0
0
0
0
0
0
0
0
3,603
30,600
INDC3.00DI
INDC3.40DI
150,000
194,600
17,200
20,000
7
8
200,600
196,300
29,100
0
1,700
0
FIPL
FRAN
INDU
483,400
362,500
520,900
101,800
832,900
47,200
96,595
162,442
329,300
89,900
544,297
85,000
58,261
52,639
106,524
8,000
333,589
48,600
68,144
89,019
98,776
59,700
302,614
55,700
706,400
666,600
1,055,500
259,400
2,013,400
236,500
-14,100
-31,400
-262,600
-2,300
318,100
201,500
6,000
6,000
50,000
22,000
0
0
0
0
0
0
50,000
22,000
0
0
0
6,297
1,700
2,000
B-3
Anexo B
Especie
Serie
cubiertas
LEDE
METR
MIRG
MOLI
PAMP
PATY
PESA
opuestas
cruzadas
descubiertas
total
Variacin c/ da anterior
INDC4.40DI
10
INDC3.00FE
81,400
81,400
4,000
5,700
91,100
1,500
1
2
LEDC4.886O
LEDC5.886O
7,000
2,000
0
0
0
0
0
0
7,000
2,000
0
0
1
2
3
METC3.00OC
METC3.30OC
METC4.05OC
4
5
METC3.00DI
METC4.05DI
Total Call Diciembre
METC3.00FE
Total Call Febrero
2,500
2,500
2,500
214,300
6,297
3,603
3,700
227,900
4,000
5,700
91,100
4,200
1,500
9,000
9,000
39,000
99,700
86,900
0
2,000
5,000
0
0
0
0
1,200
1,500
39,000
102,900
93,400
-1,000
0
0
225,600
7,000
235,300
-1,000
0
0
0
0
0
2,700
67,500
27,000
0
12,000
67,500
39,000
0
17,000
94,500
0
0
0
0
12,000
106,500
17,000
2,000
2,000
2,000
2,000
1
2
3
4
5
MIRC101.OC
MIRC150.OC
MIRC170.OC
MIRC180.OC
MIRC210.OC
3,000
2,600
10,100
900
5,300
0
0
100
0
200
0
0
200
600
1,207
0
0
500
0
1,093
3,000
2,600
10,900
1,500
7,800
0
0
100
0
0
21,900
300
2,007
1,593
25,800
100
6
7
8
9
MIRC160.DI
MIRC170.DI
MIRC180.DI
MIRC210.DI
1,000
2,200
300
2,200
0
0
0
0
0
0
0
0
0
0
0
0
1,000
2,200
300
2,200
0
0
0
300
5,700
0
0
0
100
300
MIRC150.FE
0
0
5,700
10
100
100
100
1
2
MOLC22.0OC
MOLC30.0OC
10,000
4,600
0
0
0
0
0
300
10,000
4,900
0
100
14,600
300
14,900
100
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
PAMC3.54OC
PAMC3.74OC
PAMC3.94OC
PAMC4.04OC
PAMC4.34OC
PAMC4.54OC
PAMC4.74OC
PAMC4.94OC
PAMC5.14OC
PAMC5.34OC
PAMC5.54OC
PAMC5.74OC
PAMC5.94OC
PAMC6.14OC
PAMC6.34OC
0
0
0
163,600
343,600
299,100
581,300
467,100
411,000
152,000
134,600
160,200
106,100
118,000
0
0
0
5,000
37,000
97,500
371,200
421,566
48,623
98,577
136,300
162,000
309,813
126,634
317,953
5,987
0
0
0
88,000
0
17,000
18,334
29,877
30,789
47,400
231,800
44,287
12,900
97,163
0
19,900
200
14,000
41,100
87,900
206,700
143,100
30,000
71,434
58,900
133,300
57,300
68,566
413,684
17,513
19,900
200
19,000
329,700
529,000
894,000
1,164,300
575,600
611,800
394,600
661,700
571,600
314,200
946,800
23,500
0
0
0
0
-8,000
-67,900
-43,000
-20,500
-89,500
-39,800
-61,300
-9,400
21,500
120,900
23,500
2,936,600
2,138,153
617,550
1,363,597
7,055,900
-173,500
16
17
18
19
20
21
PAMC4.54DI
PAMC4.74DI
PAMC4.94DI
PAMC5.34DI
PAMC5.54DI
PAMC6.14DI
37,500
2,000
7,500
22,500
0
0
0
10,000
0
7,947
0
0
13,000
3,000
300
106,388
0
0
12,100
24,900
0
178,965
4,500
1,300
62,600
39,900
7,800
315,800
4,500
1,300
0
0
0
110,600
0
1,300
69,500
17,947
122,688
221,765
431,900
111,900
PATC11.0OC
900
900
900
900
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
PSAC5.043O
PSAC5.193O
PSAC5.643O
PSAC5.943O
PSAC6.693O
PSAC6.893O
PSAC7.093O
PSAC7.293O
PSAC7.493O
PSAC7.75OC
PSAC7.95OC
PSAC8.15OC
PSAC8.35OC
PSAC8.75OC
PSAC8.95OC
PSAC9.15OC
PSAC9.35OC
PSAC9.55OC
5,000
231,000
1,000
119,400
37,500
134,400
103,100
101,000
572,200
102,900
58,200
111,400
24,800
7,100
57,800
193,000
28,600
32,600
0
0
0
17,600
45,945
9,400
0
10,100
67,600
3,500
9,800
5,100
6,000
60,200
181,955
118,400
20,400
20,000
0
0
0
0
9,255
0
0
0
22,000
0
0
0
0
0
10,000
58,200
0
9,500
0
0
0
0
5,300
22,200
0
21,600
18,700
0
16,200
21,800
22,200
5,700
10,145
11,300
5,000
23,700
5,000
231,000
1,000
137,000
98,000
166,000
103,100
132,700
680,500
106,400
84,200
138,300
53,000
73,000
259,900
380,900
54,000
85,800
0
0
0
0
-9,000
-4,000
-6,000
-7,100
-8,000
0
500
0
-2,000
-1,000
1,400
-17,800
-5,000
27,200
B-4
Anexo B
Especie
Serie
cubiertas
opuestas
cruzadas
descubiertas
total
Variacin c/ da anterior
19
PSAC9.75OC
20
21
22
23
24
PSAC7.15DI
PSAC8.15DI
PSAC8.75DI
PSAC9.15DI
PSAC9.75DI
8,000
1,800
0
18,400
20,000
0
0
700
0
0
0
0
0
0
0
0
0
9,800
16,600
1,000
8,000
1,800
10,500
35,000
21,000
0
0
-1,000
0
1,000
48,200
700
76,300
PSAC6.55FE
PSAC7.15FE
1,000
2,000
0
0
0
0
0
27,400
25
26
0
0
1,000
2,000
0
0
0
3,000
3,000
PETR
1
2
3
4
5
6
PETC10.0OC
PETC12.0OC
PETC13.0OC
PETC14.0OC
PETC15.0OC
PETC16.0OC
27,200
2,600
12,500
1,500
17,200
5,000
0
4,000
0
0
0
1,000
0
0
0
0
0
0
6,700
900
1,000
1,000
0
0
33,900
7,500
13,500
2,500
17,200
6,000
2,000
0
1,000
0
0
6,000
66,000
5,000
9,600
80,600
9,000
POLL
POLC0.50OC
201,134
46,766
247,900
201,134
46,766
247,900
1
2
3
4
5
R15C1040.S
R15C1140.S
R15C1220.S
R15C1300.S
R15C980.SE
15,000
25,000
0
0
20,000
0
5,000
5,000
0
5,000
539
0
0
0
4,945
9,461
0
10,000
25,000
10,055
25,000
30,000
15,000
25,000
40,000
0
0
0
0
-25,000
60,000
15,000
5,484
-25,000
R15C1040.O
R15C1140.O
R15C1220.O
R15C1300.O
R15C1340.O
R15C980.OC
5,000
75,000
30,000
75,000
0
0
0
0
0
30,000
0
0
0
6,312
0
33,319
0
0
54,516
30,000
18,688
0
166,681
10,000
10,000
135,000
6
7
8
9
10
11
35,000
100,000
30,000
305,000
10,000
10,000
0
0
0
0
0
0
185,000
30,000
39,631
235,369
490,000
12
R15C1300.N
25,000
25,000
0
0
RO15
TECO2
TGNO4
TRAN
TS
26,900
3,000
29,900
1,947,900
576,000
111,955
183,845
2,819,700
-30,800
25,000
25,000
5,500
0
0
0
0
755
0
1,745
5,500
2,500
0
0
5,500
14,200
0
0
755
643
1,745
TECC41.98D
757
8,000
15,600
0
0
14,200
0
0
643
757
15,600
3,000
0
0
1
2
TECC45.98O
TECC58.6OC
3
4
TECC41.98F
3,000
3,000
TGNC3.20OC
14,000
14,000
14,000
TGNC3.00DI
14,000
21,000
0
0
0
0
0
0
14,000
21,000
14,000
21,000
21,000
5,000
3,000
5,000
1
2
3
4
5
6
7
8
9
10
TRAC1.90OC
TRAC2.10OC
TRAC2.30OC
TRAC2.40OC
TRAC2.50OC
TRAC2.60OC
TRAC2.70OC
TRAC3.00OC
TRAC3.15OC
TRAC3.30OC
69,600
164,600
52,500
0
227,200
0
175,200
0
3,000
10,000
4,600
4,000
7,000
600
56,700
5,000
63,400
6,000
0
17,300
0
0
0
0
0
0
0
0
0
0
0
1,000
1,600
0
0
0
1,100
0
2,500
5,700
74,200
169,600
61,100
600
283,900
5,000
239,700
6,000
5,500
33,000
0
0
0
0
-10,000
0
-13,300
0
0
0
702,100
164,600
20,000
11,900
10,000
-23,300
TRAC3.45DI
0
0
878,600
11
30,000
10,000
20,000
10,000
30,000
10,000
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
TS.C19758O
TS.C208.OC
TS.C216.OC
TS.C232.OC
TS.C240.OC
TS.C248.OC
TS.C256.OC
TS.C272.OC
TS.C280.OC
TS.C288.OC
TS.C296.OC
TS.C310.OC
TS.C324.OC
TS.C338.OC
TS.C352.OC
1,000
400
7,700
3,500
9,200
4,600
18,000
11,500
5,500
32,800
31,800
11,600
16,300
14,500
600
0
500
100
1,100
2,900
1,300
400
2,500
2,800
6,100
14,592
18,000
15,000
17,743
1,100
0
0
0
0
0
307
0
0
545
898
9,663
0
0
149
0
0
0
0
600
500
693
200
2,800
1,055
2,002
10,445
1,800
3,400
13,108
1,300
1,000
900
7,800
5,200
12,600
6,900
18,600
16,800
9,900
41,800
66,500
31,400
34,700
45,500
3,000
0
0
0
0
0
-1,200
0
0
0
-500
-600
-1,200
700
5,200
700
169,000
84,135
11,562
37,903
302,600
3,100
B-5
Anexo B
Especie
Serie
cubiertas
16
17
18
19
20
TVPP
YPFD
opuestas
cruzadas
descubiertas
TS.C272.DI
TS.C288.DI
TS.C296.DI
TS.C324.DI
TS.C352.DI
1,300
4,200
1,000
10,000
4,200
0
0
0
6,133
100
0
454
0
2,358
949
total
0
2,046
400
4,909
1,751
Variacin c/ da anterior
1,300
6,700
1,400
23,400
7,000
0
0
0
2,600
0
20,700
6,233
3,761
9,106
39,800
2,600
TPPC11.8SE
1,500,000
1,500,000
1,500,000
1,500,000
2
3
4
5
TPPC5.00OC
TPPC5.50OC
TPPC6.50OC
TPPC7.80OC
500,000
905,000
0
510,000
0
0
0
0
0
38,598
1,500,000
0
500,000
406,402
0
0
1,000,000
1,350,000
1,500,000
510,000
0
0
0
0
0
1,915,000
1,538,598
906,402
4,360,000
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
YPFC27882O
YPFC29882O
YPFC320.OC
YPFC340.OC
YPFC360.OC
YPFC380.OC
YPFC400.OC
YPFC420.OC
YPFC440.OC
YPFC460.OC
YPFC480.OC
YPFC500.OC
YPFC520.OC
YPFC540.OC
YPFC560.OC
YPFC580.OC
YPFC600.OC
7,600
14,100
1,500
8,000
11,600
11,100
46,000
19,100
21,700
17,700
10,800
18,500
12,000
7,300
300
1,200
0
200
2,300
3,100
3,700
14,600
3,900
5,500
12,100
5,303
3,480
6,101
10,448
14,097
3,400
2,326
3,200
0
300
164
0
757
2,700
6,853
6,474
6,921
1,600
1,766
929
3,724
1,728
7,841
574
0
100
500
336
0
743
900
247
4,026
4,479
2,897
7,954
4,670
4,728
3,275
7,459
500
1,000
0
8,600
16,900
4,600
13,200
29,800
22,100
62,000
42,600
31,500
30,900
22,500
37,400
31,100
26,000
3,700
5,400
100
0
0
0
0
-300
0
-800
0
0
-300
-2,300
-800
-500
2,200
2,800
5,400
100
208,500
93,755
42,431
43,714
388,400
5,500
18
19
20
21
22
23
YPFC340.DI
YPFC360.DI
YPFC400.DI
YPFC420.DI
YPFC440.DI
YPFC540.DI
100
200
1,700
200
2,300
1,300
0
0
0
0
1,000
300
0
0
0
0
1,200
700
0
0
2,100
0
1,200
1,100
100
200
3,800
200
5,700
3,400
0
0
1,100
0
0
600
5,800
1,300
1,900
1,700
YPFC360.FE
900
200
200
4,400
1,600
13,400
24
2,900
900
200
200
1,600
2,900
82,539,800
57,635,934
8,296,506
19,835,460
168,307,700
Opciones de Venta
ALUA
ALUV6.50OC
14,000
70,500
84,500
32,000
14,000
70,500
84,500
32,000
ALUV6.75DI
5,400
82,200
87,600
5,400
82,200
87,600
APBR
PBRV114.4O
1,800
1,800
1,800
1,800
BMA
BMAV40.0OC
10,800
10,800
10,800
10,800
CADO
CADV5.316O
114,400
114,400
114,400
114,400
EDN
1
2
3
EDNV6.55OC
EDNV7.15OC
EDNV7.55OC
0
0
0
15,400
36,900
34,800
0
0
0
34,700
33,000
36,700
50,100
69,900
71,500
0
0
12,400
87,100
104,400
191,500
12,400
ERAR
1
2
3
4
5
ERAV3.67OC
ERAV4.57OC
ERAV4.72OC
ERAV5.12OC
ERAV5.37OC
0
0
0
0
0
16,800
2,700
96,019
55,500
13,700
0
0
0
0
0
149,000
32,300
195,981
38,000
0
165,800
35,000
292,000
93,500
13,700
-24,800
0
-33,400
0
0
184,719
415,281
600,000
-58,200
GGAL
1
2
3
4
5
6
7
8
9
10
11
12
GFGV11.0OC
GFGV12.5OC
GFGV13.0OC
GFGV14.5OC
GFGV15.0OC
GFGV15.5OC
GFGV16.0OC
GFGV16.5OC
GFGV17.0OC
GFGV18.0OC
GFGV19.0OC
GFGV20.0OC
0
0
0
0
0
0
0
0
0
0
0
0
489,800
14,500
4,900
368,200
73,857
52,900
122,204
900
112,120
100,000
384,395
128,400
0
0
0
0
0
0
0
0
0
0
0
0
1,004,100
238,500
15,100
262,600
195,843
105,400
695,996
0
120,680
174,300
146,105
42,000
1,493,900
253,000
20,000
630,800
269,700
158,300
818,200
900
232,800
274,300
530,500
170,400
20,000
0
0
-20,100
0
0
0
900
0
0
6,000
10,000
B-6
Anexo B
Especie
Serie
cubiertas
Total Put Octubre
PAMP
PESA
opuestas
0
0
0
0
cruzadas
1,852,176
total
Variacin c/ da anterior
0
0
0
0
3,000,624
4,852,800
16,800
40,000
1,500
25,400
46,000
10,500
55,400
0
0
0
45,000
66,900
111,900
29,000
73,300
200
15,000
0
38,800
108,800
10,000
68,900
8,500
0
0
0
0
0
0
0
0
0
0
1,000
21,500
5,800
18,800
20,000
19,000
95,200
4,000
44,500
0
30,000
94,800
6,000
33,800
20,000
57,800
204,000
14,000
113,400
8,500
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
229,800
582,300
5,000
0
0
0
22,700
15,000
14,000
8,000
0
0
0
-10,000
8,000
54,700
5,000
59,700
-2,000
4,100
0
4,900
2,000
2,000
4,000
2,000
4,000
0
0
0
0
0
0
0
0
0
2,000
5,100
500
400
0
1,000
0
4,100
2,000
10,000
2,500
2,400
4,000
3,000
4,000
0
0
0
0
0
0
0
0
0
0
0
23,000
0
0
0
9,000
32,000
0
0
9,900
4,000
0
0
4,000
13
14
15
GFGV15.5DI
GFGV19.0DI
GFGV20.0DI
Total Put Diciembre
1
2
3
4
5
6
7
8
9
10
PAMV3.64OC
PAMV3.74OC
PAMV3.84OC
PAMV4.04OC
PAMV4.14OC
PAMV4.34OC
PAMV4.54OC
PAMV4.94OC
PAMV5.34OC
PAMV5.54OC
0
0
0
0
0
0
0
0
0
0
PAMV4.54DI
PAMV4.74DI
PAMV5.34DI
PAMV5.94DI
0
0
0
0
0
352,500
11
12
13
14
PSAV6.55OC
PSAV6.693O
PSAV6.893O
PSAV7.093O
PSAV7.293O
PSAV7.493O
PSAV8.35OC
PSAV9.15OC
0
0
0
0
0
0
0
0
1
2
3
4
5
6
7
8
descubiertas
6,000
9,000
30,000
17,700
15,000
14,000
8,000
9
10
PSAV9.15DI
PSAV9.55DI
Total Put Diciembre
13,900
13,900
4,000
RO15
1
2
3
R15V1100.O
R15V1140.O
R15V1300.O
0
0
0
0
0
10,000
0
0
0
95,000
10,000
25,000
95,000
10,000
35,000
0
0
0
10,000
130,000
140,000
TRAN
TRAV2.10OC
4,000
4,000
4,000
4,000
1
2
3
4
5
6
TS.V22158O
TS.V240.OC
TS.V256.OC
TS.V272.OC
TS.V288.OC
TS.V296.OC
0
0
0
0
0
0
400
200
1,600
500
0
500
0
0
0
0
0
0
1,300
0
0
0
100
0
1,700
200
1,600
500
100
500
0
0
0
0
0
0
TS.V272.DI
TS.V310.DI
0
0
0
3,200
7
8
0
0
0
1,400
4,200
900
4,600
5,000
1,800
0
0
1,000
1,700
5,100
6,800
1,000
TVPP
1
2
TPPV11.8OC
TPPV5.50OC
0
0
0
0
0
0
75,000
175,000
75,000
175,000
0
0
250,000
250,000
YPFD
1
2
3
4
5
YPFV340.OC
YPFV400.OC
YPFV420.OC
YPFV460.OC
YPFV480.OC
0
0
0
0
0
0
1,500
200
400
300
0
0
0
0
0
1,600
4,400
1,200
2,300
300
1,600
5,900
1,400
2,700
600
0
0
0
0
0
2,400
9,800
12,200
2,649,795
4,511,005
7,160,800
TS
9,900
4,000
800
900
Lanzador cubierto: Es el sujeto que se obliga a cumplir con el derecho que la opcin le otorga al titular depositando como garanta el activo subyacente. Esta figura slo es aplicable a las opciones de compra.
Lanzador descubierto: Es el sujeto que se obliga a cumplir con el derecho que la opcin le otorga al titular, sin depositar el activo subyacente. Esta figura es aplicable optativamente a las opciones de compra e indefectiblemente a las opciones de venta.
Posiciones Opuestas: Las posiciones opuestas acreditan las siguientes condiciones: a) opciones del mismo tipo (compra o venta) y de naturaleza inversa (titular, lanzador) sobre un mismo activo subyacente y b)identicas cantidades de lotes lanzados y titulares en diferentes series
Posiciones Cruzadas: Combinan opciones con operaciones a plazo autorizadas que impliquen posiciones inversas, efectuadas para un comitente en la misma firma de agente o sociedad de bolsa, por la
misma cantidad y sobre el mismo activo subyacente.
(!): Informacin tomada de Reuters
B-7