Insight into the Structure of SMIC Call Warrants: Nearly 70% Concentration in Out-of-the-Money Positions, Technical Positioning Game Hides Liquidity Trap

Technical Coordinates Reveal Rational Boundaries

Based on the current price of HK$69.6, technical analysis defines a clear range of activity: major support at HK$68.3 and a testing zone at HK$62.7 form the downside defense line, while major resistance at HK$75.2 and an upside target of HK$80.4 delineate the upside potential. Within this framework, the strike price range of HK$62.7 to HK$75.2 falls within the technically reasonable range, but the current market structure shows a significant deviation from rational boundaries.

Strike Price Distribution Highlights Structural Imbalance

The market currently has 145 call warrants showing clear structural differentiation: 30 products in the deep in-the-money range (41.50-62.93) providing stock alternatives, 8 products in the in-the-money core range (68.88-69.04) serving as daily trading tools, 12 products in the slightly out-of-the-money range (72.81-75.88) balancing efficiency and flexibility, 15 products in the moderately out-of-the-money range (77.77-80.05) targeting specific levels, and 80 products (55% of total) in the far out-of-the-money range (81.81-168.88), exposing signs of irrational market exuberance.

Street Inventory Concentration Warns of Liquidity Risk

Of the total street inventory of 1,923.69 million shares, the far out-of-the-money range alone accounts for 1,438.46 million shares (74.78%), creating an over-concentration in a single range. This concentration appears above the technical resistance level of 75.2 yuan, reflecting the market's collective bet on a breakout but ignoring the risk of liquidity shortages. If the underlying stock fails to break through resistance, products in this range will face collective selling pressure, with street density as high as 17.98 million shares per product further exacerbating the liquidity crisis.

Trading distribution confirms speculative mentality

Of the total daily turnover of HK$243,367 thousand, the deep out-of-the-money range accounted for HK$112,840 thousand (46.37%), while the mid out-of-the-money range contributed HK$56,909 thousand (23.38%). Combined, 69.75% of the trading volume was concentrated above the technical resistance level, indicating excessive capital focus on breakout speculation.

Competitiveness of terms reveals structural efficiency gaps

The mid out-of-the-money range shows relatively better risk-return characteristics, with an average implied volatility of 53.90%, combined with 4.76x leverage, offering a more reasonable balance. Although the main in-the-money range has the efficiency advantage of 52.68% implied volatility and 3.39x leverage, the availability of only 8 products limits operational flexibility. The far out-of-the-money range, while having a superficial advantage of 5.35x leverage, suffers from an implied volatility as high as 59.11%, raising holding costs, coupled with insufficient liquidity, indicating a serious mismatch between cost and expected return.

Market structure implies systemic risks

In-depth analysis shows that multiple far out-of-the-money products exhibit a 'zero-trading-high-street-inventory' characteristic; for instance, a product with an exercise price of 88.93 yuan has a street inventory of 105.40 million shares but zero trading, making it difficult for investors to close positions at reasonable prices.

Rational Layout Recommendation

Investors should focus on products within the technical range. The at-the-money main range and slightly out-of-the-money range offer better terms efficiency and liquidity assurance. The medium out-of-the-money range, while having breakout speculation value, requires strict position control. The far out-of-the-money range has a severely imbalanced risk-reward ratio; it is recommended to cautiously avoid it.

Selected products:

UBS Group Call Warrant 23775 $UB-SMIC@EC2605B.C (23775.HK)$

Exercise Price: 72.86 yuan

Expiration Date: May 20, 2026

Recommendation Reason: The exercise price is relatively close to the current price, implied volatility of 50.86% is moderate, leverage of 5.5 times balances risk and return, longer remaining time provides greater time value

Bank of China Call Warrant 20316 $BI-SMIC@EC2604B.C (20316.HK)$

Exercise Price: 73.85 yuan

Expiration Date: April 28, 2026

Recommendation Reason: Implied volatility of 49.03% is relatively reasonable, leverage of 6.6 times offers operational flexibility, street volume of 3.04% remains at a moderate level

HSBC Call Warrant 20460 $HS-SMIC@EC2604A.C (20460.HK)$

Exercise Price: 73.85 yuan

Expiry Date: April 27, 2026

Recommendation Reason: Implied volatility of 48.6% is the lowest among products with the same exercise price, leverage of 6.7 times is relatively high in the same range, and technically located in a slightly out-of-the-money range.

The price of a warrant is affected by factors such as the underlying stock price, implied volatility, market interest rates, time decay, and market supply and demand. Investors may lose their entire investment. 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 shall not be liable for any loss or damage resulting from reliance on the information in this article. Technical analysis only shows whether some technical conditions are met; asset performance should be evaluated comprehensively with other information, and trading decisions should not be made solely based on this article. Note that past performance is not indicative of future results.

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