Insight into Xiaomi Group Warrants Market Structure: Over 96% Concentration in Deep Out-of-the-Money Products Poses Risks

$XIAOMI-W (01810.HK)$ The current stock price of the underlying is 37.22 yuan. Technical analysis shows that the main support level is at 34.4 yuan, with a downward testing range of 33 yuan, while the key resistance level stands at 37.3 yuan, with an upside target of 38.6 yuan. The reasonable trading range is defined between 34.4 yuan and 37.3 yuan, with a breakout range of 37.3 yuan to 38.6 yuan. Exercise prices below 37.3 yuan fall within technical range operations, while those above this level represent early bets on a breakout scenario.

Exercise Price Range Segmentation

Among the 242 Xiaomi Group warrants currently available in the market, far out-of-the-money products (sentiment/tail risk) dominate overwhelmingly, with 227 products having exercise prices ranging from 39.98 yuan to 100.18 yuan. Near at-the-money products (core for breakout speculation) consist of 12 products with exercise prices concentrated between 37.08 yuan and 37.15 yuan. Slightly in-the-money products (efficiency and flexibility) comprise only 2 products, with exercise prices of 35.88 yuan to 35.90 yuan. Deep in-the-money products (trend/substitution for the underlying stock) have just one product, with an exercise price of 32 yuan.

Distribution of Street Inventory and Market Consensus

Total street inventory reached 6,085 million shares, with 96.78% concentrated in deep out-of-the-money ranges, indicating extreme market consensus skewed towards emotional betting. Although only 12 products are near the at-the-money range, they account for 3.04% of street inventory, averaging 15.41 million shares per product, showing significant market attention on breakout trading. The deep in-the-money range holds only 0.13% of street inventory, reflecting limited investor interest in alternative stock strategies.

Trading Distribution and Capital Behavior

Of the total turnover of 56,141 thousand dollars, 85.62% came from the deep out-of-the-money range, but the turnover to open interest ratio in this range was only 0.82%, indicating that trading activity relative to the scale of open interest is severely insufficient. The proportion of trading near the at-the-money range accounted for 14.10%, with a turnover to open interest ratio of 4.28%, showing relatively higher trading activity. The turnover to open interest ratio in the slightly in-the-money range was 3.90%, demonstrating good capital efficiency. In the deep out-of-the-money range, the average turnover per million shares of open interest was only 8,161 dollars, while it reached 42,828 dollars near the at-the-money range, suggesting that funds clearly prefer trading opportunities within the technical range.

Competitiveness analysis of terms

The average implied volatility near the at-the-money range is 41.98%, with an actual leverage of 3.74 times, indicating relatively reasonable terms. For deep out-of-the-money ranges, the average implied volatility is 46.47%, with an actual leverage of 6.36 times; although leverage is higher, cost and technical alignment are poor. The implied volatility of 39.13% in the deep in-the-money range offers some cost advantages, but product choices are extremely limited.

Examples of Representative Products by Range

HSBC 22791 represents the near at-the-money range, with an exercise price of HK$37.12, implied volatility of 40.22%, actual leverage of 3.9 times, and street inventory of 29.05 million shares. In the deep out-of-the-money range, Citic 24746 serves as an example, with an exercise price of HK$39.98, implied volatility of 40.95%, and actual leverage of 7.5 times. It should be emphasized that these are merely examples of market structure and not investment advice.

Structural Risk Summary

The current greatest structural risk lies in the deep out-of-the-money range, where street inventory concentration reaches 96.78%, including 74 high-risk products characterized by high street inventory and low trading volume. If the underlying stock fails to break through the resistance level of HK$37.3, these deep out-of-the-money warrants will face significant time decay risks. Particularly for products with exercise prices above HK$50, the gap from the actual stock price is too large, making tail risks especially prominent.

Market Condition SummaryExtreme concentration of deep out-of-the-money street inventory but sparse trading indicates a clear divergence between market sentiment-driven bets and technical factors, with notable attention on breakout trading but without forming capital consensus.

Selected call warrants:

Bank of China 24845$BIXIAMI@EC2607C.C (24845.HK)$

Strike Price: 43.88 yuan

Expiration Date: 2026-07-30

Effective Leverage: 6.2x

Implied Volatility: 41.85%

Recommendation Reason: Moderate leverage, relatively reasonable volatility, trading volume indicates certain market attention

HSBC 24943 $HSXIAMI@EC2605D.C (24943.HK)$

Strike Price: 40.00 yuan

Expiration Date: 2026-05-18

Effective Leverage: 7.9x

Implied Volatility: 38.96%

Reason for recommendation: Strike price is close to the support level, with higher leverage and relatively lower volatility, offering better cost efficiency.

摩利 24249$MSXIAMI@EC2605D.C (24249.HK)$

Strike Price: 40.02 yuan

Expiration Date: 2026-05-18

Actual Leverage: 8.1x

Implied Volatility: 38.49%

Reason for recommendation: High leverage coupled with low volatility, technically reasonable strike price position; open interest of 12.60 million contracts indicates market approval.

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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