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i3gambler

Author: i3gambler   |   Latest post: Sat, 15 Feb 2020, 12:09 PM

 

Buy SUNWAY-WB instead of SUNWAY mother share.

Author:   |    Publish date:


 

We can download the above calculator from www.bursamalaysia.com.

INPUTS:

1) Dividend Yield:

The latest dividend for the last 12 months are 3 cents and 2 cents, Dividend Yield is 5/169 = 3%. However, there are 2 times of 1:100 treasury distribution, equivalent to 2%, so I input Dividend Yield of 3%+2% = 5%.

Note: Higher dividend yield will make the fair value lower.

 

2) Interest Rate (i.e. Return if to buy mother share):

Make reference to i3investor.com, the following are the target prices given by investment banks:

a) AffinHwang: 2.05

b) Aminvest: 1.98

c) HLG: 2.17

d) Kenanga: 1.60

e) MIDF: 1.55

Take average, (2.05+1.98+2.17+1.60+1.55) / 5 = 1.87, the room = 1.87 / 1.69 - 1 = 10.65%

Note: Target prices is understood as 12 months target net of dividend. Therefore the expected return for people who buy mother share will be 5%+10.65% = 15.65%. However, I normally limit it to 8% for input to the calculator.

 

3) Volatility:

Calculate from the last 90 trading days, the Volatility of the mother share is 17.70%.

 

4) Underlying:

Mother share at yesterday close was 1.69.

 

5) Exercise Price:

The exercise price is quite rare and special for SUNWAY-WB, it is stepping down 7 cents every year, the exercise prices for the 7 years life span of SUNWAY-WB are 1.86,1.79, 1.72, 1.65, 1.58, 1.51 and 1.44 respectively. Of course people will wait until the final year only then to convert SUNWAY-WB to mother share. So the input to calculator should be 1.44.

 

6) Valuation Date:

Today.

 

7) Exercise Date (i.e. Expiry):

The actual expiry is on 3rd October 2024. However, make reference to records and we can expect there will be dividend ex-dated in the month of September, it is better to convert SUNWAY-WB before that ex-date to enjoy the dividend. So for calculation purpose we should input expiry date earlier, say 3 months earlier on 3rd july 2024.

 

OUTPUTS:

8) The fair value for SUNWAY-WB is 40.2 cents, very much cheaper than the market price of 34.5 cents, or 34.5 / 40.2 = 14% discount.

 

ADDITION VALUATION:

9) Input the market price = 34.5 cents, we get the Implied Volatility = 9.7%. This 9.7% is much lower than the historical volatility = 17.7%, it is another way of telling that SUNWAY-WB is cheap.

 

REMARK:

10) Trade at your own risk.

 

 

 

 

 

 

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gbk5566 谢谢分享。
22/09/2019 7:55 PM
gbk5566 请问,您对 FKLI 0910 的spreads 有什么看法?谢谢。
22/09/2019 9:39 PM
i3gambler 目前CIMB的股息除权日还没有确定在在哪个月,看来应该在10月,以此计算,是应该买在-0.5点,不过9月只剩下几天而已,如果你的水钱不便宜的话,那就不要。
23/09/2019 8:34 AM
gbk5566 谢谢。

Kenanga,CIMB 和 The Edge 每天都有Roll FV 的报道。资料来自bloomberg。

Futures Fair Value KLIBOR Bloomberg Est FV
Contract Exp.Date Index Pt Div Idx Pt (Gross)
SEP 19 30/09/19 1.54 7.75 -6.21
OCT 19 31/10/19 5.87 9.23 -3.36
Roll FV 2.85

根据BLOOMBERG 于 19/09/2019的预测,FKLI 0910的FV 大概是-2.85。

我的计划是在-3.0 开始分批买进。现在看来有很多Buyers排在-2.5以下。

谢谢您的建议。
23/09/2019 1:13 PM
gbk5566 我之前排列平均。After comment 就不平均了。

Futures Fair Value

Contract /Exp.Date/ KLIBOR Index / Bloomberg Est Div Idx Pt (Gross) / FV
SEP 19 / 30/09/19 / 1.54 / 7.75 / -6.21
OCT 19 / 31/10/19 / 5.87 / 9.23 / -3.36
Roll FV 2.85
23/09/2019 1:17 PM
i3gambler 你蛮Resourceful的,能找到如此的资料。

我是估算10月将会有约5.02点的除权,然后从中算出SEP/OCT Spread的合理价,至于Bloomberg是怎样算,我不清楚。
23/09/2019 2:23 PM
gbk5566 朋友在chatgroup分享的。我是Spreads的菜鸟。之前看到您的文章,觉的有很多可以学习的点子。非常感谢您的分享。
23/09/2019 3:12 PM
i3gambler 以今天母股是1.68,而WB已经涨到0.390,应该套利了啦。。
14/10/2019 5:58 PM


 

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