Analysis of Meituan Call Warrant Market Based on Strike Price Range: Street Inventory Concentration and Liquidity

1. Establishment of Technical CoordinatesTake $MEITUAN-W (03690.HK)$With the current price at HKD 88.3 as the benchmark, combined with the support level of HKD 85.6 and the resistance level of HKD 94.3 provided by technical analysis, a reasonable activity range is established between HKD 85.6 to HKD 94.3. The downside testing area at HKD 82.1 and the upside target at HKD 102.9 represent potential breakout ranges. Accordingly, call warrants with strike prices within the HKD 85.6 to HKD 94.3 range are considered reasonable operational tools within the technical scope, while call warrants with strike prices below HKD 82.1 or above HKD 102.9 are categorized as pre-emptive betting products.

2. Division of Strike Price Structural RangesBased on the relationship between the current price and technical levels, the market's call warrants are divided into six structural ranges: Deep In-The-Money range (strike price below HKD 82.1) includes approximately 15 products primarily used for trend tracking or as alternatives to the underlying stock; Main In-The-Money range (HKD 82.1 to HKD 87.4) has around 28 products serving as primary tools for daily wave trading; Mildly In-The-Money range (HKD 87.4 to HKD 90) contains roughly 22 products offering a balance of efficiency and flexibility; Near At-The-Money range (HKD 90 to HKD 94.3) consists of about 35 products acting as core areas for breakout speculation; Mid Out-of-The-Money range (HKD 94.3 to HKD 102.9) features around 40 products used for target position betting; Far Out-of-The-Money range (above HKD 102.9) includes approximately 31 products reflecting market sentiment and tail risk preferences.

3. Street Inventory Distribution AnalysisThe current total street inventory is significantly concentrated in the In-The-Money Main Interval and Near-At-The-Money Interval, accounting for 32% and 28% of total street inventory respectively. The In-The-Money Main Interval shows an over-concentration in a single interval, which happens to be near the technical support level of 85.6 yuan, indicating that the market is betting that the underlying stock can hold the key support and rebound. This concentrated distribution poses a structural risk; if the underlying stock fails to hold the 85.6 yuan support, the call warrants in this interval will face significant time value erosion pressure.

4. Trading Distribution AnalysisThe most active trading interval is the Near-At-The-Money Interval (90 to 94.3 yuan), accounting for 35% of total trading volume, indicating that operational funds are mainly concentrated in the technical activity interval for breakout trading. Although the In-The-Money Main Interval has high street inventory, its trading volume is relatively low, accounting for only 18% of total turnover, representing 'waiting-type street inventory,' showing that funds in this interval are mostly scenario-based bets rather than proactive operations. The Mid-Out-of-The-Money Interval accounts for 22% of trading volume, indicating that some funds are pre-positioning for a breakout.

5. Terms Competitiveness AnalysisFrom a structural efficiency perspective, the Slightly In-The-Money Interval performs best in terms of premium control and actual leverage, with an average implied volatility of 42% and 6-8 times actual leverage, showing higher compatibility with technical space. Although the Near-At-The-Money Interval achieves 8-10 times actual leverage, the average implied volatility rises to 46%, reducing the cost-to-technical space match. The Mid-Out-of-The-Money Interval offers high leverage of 10-12 times but with implied volatility exceeding 50%, making it less cost-efficient and suitable only for investors with high confidence in a breakout.

6. Representative Products by IntervalThe representative product in the In-The-Money Main Interval is UBS Group 24993 (strike price 114.9 yuan), with the advantage of sufficient liquidity and dispersed street inventory, but the limitation is that the strike price is relatively high compared to the current price. If the underlying stock fails to break through the 94.3 yuan resistance, time value erosion will be more noticeable. The Near-At-The-Money Interval is represented by JPMorgan 24957 (strike price 108.6 yuan), providing higher leverage and reasonable liquidity, but the risk lies in higher implied volatility, making it sensitive to changes in volatility.

7. Summary of structural risksThe current maximum structural risk is concentrated in the in-the-money main range, where street-level positions are overly concentrated and close to technical support levels. If the underlying stock fails to hold above the support level of 85.6 yuan and moves downward to test the 82.1 yuan region, call warrants in this range will face dual pressures: reduction in intrinsic value and accelerated time decay. Additionally, although street-level positions in the out-of-the-money middle range are relatively dispersed, if the underlying stock fails to break through the resistance level at 94.3 yuan, products in this range will almost completely lose their time value.

8. Summary of market conditionsThe market focus remains on the in-the-money main range awaiting a technical rebound; while breakout speculation is active, cost efficiency decreases as the strike price rises, with structural risks accumulating near support levels.

Selected call warrants:

J.P. Morgan 24957 $JPMTUAN@EC2605B.C (24957.HK)$

Strike Price: 108.6 yuan

Expiration Date: 2026-05-26

Actual Leverage: 8.1x

Implied Volatility: 43.6%

Reason for recommendation: High trading volume, relatively low implied volatility, moderate leverage, balanced technical terms.

Fahsing 25799$SGMTUAN@EC2608A.C (25799.HK)$

Strike price: 106.1 yuan

Expiration date: 2026-08-03

Effective leverage: 5.7x

Implied volatility: 44.18%

Reason for recommendation: Relatively lower strike price, sufficient liquidity, no over-the-counter pressure.

National Monarch 22815$GJMTUAN@EC2604A.C (22815.HK)$

Strike price: 100.1 yuan

Expiration date: 2026-04-23

Actual leverage: 9.8x

Implied volatility: 39.7%

Reason for recommendation: Lowest implied volatility across the entire market, highest actual leverage, strike price close to current price, optimal cost efficiency.

Risk Warning

Call warrants are high-risk derivative financial products whose value can rise or fall and may become completely worthless. Investors should fully understand the associated risks before investing. This article is for reference only and does not constitute any investment advice. Market data, opinions, and analysis contained herein may change at any time without prior notice. We are not responsible for any losses or damages caused by reliance on the information in this article. Technical analysis only shows whether certain technical conditions are met; asset performance should be comprehensively evaluated with other data. Trading decisions should not be made solely based on this article. Please note that past performance is not indicative of future results.

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