21
21 2557 Advance short term trading Derivative Warrant #42 ก, CFA, FRM ก ก ก () ก () * กก 1 : Call DW , Put DW Call DW : CPAL42C1404A Put DW : CPAL42P1404A CPALL

Advance short term trading Derivative Warrant #42...2014/04/21  · fin DW advanc short term trading 21 Apr 2014 Author k1538 Created Date 4/18/2014 10:03:49 AM Keywords ()

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Page 1: Advance short term trading Derivative Warrant #42...2014/04/21  · fin DW advanc short term trading 21 Apr 2014 Author k1538 Created Date 4/18/2014 10:03:49 AM Keywords ()

������ 21 �� �� 2557

Advance short term trading Derivative Warrant #42

���

������ ���ก��, CFA, FRM !" ��# $ #���%��&' (#����)��ก�#�%�' ��'*(+ก' ก���,+ (.#/�01��) 34 ก�� (�) 5�)

* �������� ���� �ก������������������������ก���� ก!" �#$������%&"'�(�&")����"� �ก���*

1

�ก�+�%,"���� : .����"��#�� �� Call DW � ��, .����"��#��� Put DW � ��

Call DW : CPAL42C1404A Put DW : CPAL42P1404A

CPALL

Page 2: Advance short term trading Derivative Warrant #42...2014/04/21  · fin DW advanc short term trading 21 Apr 2014 Author k1538 Created Date 4/18/2014 10:03:49 AM Keywords ()

2

�ก�+�%,"���� : Effective Gearing %�� ก"���"�H���I'�• Effective Gearing %�� %J"��I�ก,J" DW �(�������$�ก�� % ������"%" .����"��#�������� 1%

3

�ก�+�%,"���� : �L"�( Call DW : OTM, ATM, ITM

• # � )�8� > # � :58$��&�• Call .=� In-the-Money

(ITM) • 3/�� Gearing . �ก� +• �� �$���+. �ก� +

�,�"

�"%" .����"��#�

�"%"�Q��#R#��� Call

�"%"

�,�"

�"%" .����"��#�

�"%"�Q��#R#��� Call

�"%"

�,�"�"%" .����"��#�

�"%"�Q��#R#��� Call

�"%"

• # � )�8� = # � :58$��&�• Call .=� At-the-Money

(ATM) • 3/�� Gearing $L+

• �� �$���+$L+

• # � )�8� < # � :58$��&�• Call .=� Out of-the-Money

(OTM) • 3/�� Gearing $L+� ก• �� �$���+$L+� ก

Page 3: Advance short term trading Derivative Warrant #42...2014/04/21  · fin DW advanc short term trading 21 Apr 2014 Author k1538 Created Date 4/18/2014 10:03:49 AM Keywords ()

4

�ก�+�%,"���� : �L"�( Put DW : OTM, ATM, ITM

• # � )�8� > # � :58$��&�• Put .=� Out of-the-Money

(OTM) • 3/�� Gearing $L+� ก• �� �$���+$L+� ก

�,�"

�"%" .����"��#�

�"%"�Q��#R#��� Put

�"%"

�,�"

�"%" .����"��#�

�"%"�Q��#R#��� Put

�"%"

�,�"

�"%" .����"��#�

�"%"�Q��#R#��� Put

�"%"

• # � )�8� = # � :58$��&�• Put .=� At-the-Money

(ATM) • 3/�� Gearing $L+• �� �$���+$L+

• # � )�8� < # � :58$��&�• Put .=� In-the-Money

(ITM) • 3/�� Gearing . �ก� +• �� �$���+. �ก� +

5

ก#,��� �#L8 : %� � �) 3�+)�/R8 STU� DW กX�����)�8�*�X3/���+*#+Y

• L�"��.�)��� DW �ก��.���"ก� � .����"��#� ,#��'��S '�(��+,S ���"(L�" .����"��#�,#��� ��$ก�'�(�����,�"�����"ก �(&"� � H���I'���� DW ����"กS

• Z)��:3$4 ��[R�+ก #�#� DW\ %�� ��"$�J$��%&"� �L �,J"�"%" .����"��#��(����,#��(�.�"%"�Q��#R#����$� ���"(��"�"�"�L&"ก&"$�$����,�ก"�������������IS ��� .����"��#�,#��������IS$�

ITD = 5.40 I"ITD42C1404A = 0.60 I"�(�(�,�"%�� ��� 203 ,�

ก#����� 1 : �� ]X �1. 10 ���ก&"$� .����"��#� =(6-5.4)/5.4 = 11%ก&"$� DW = (0.72-0.6)/0.6 = 20%

8̀ �� ���:581.�8��ก�X DW ก4 1#$L+ก�X

�"%"

�"%"�Q��#R# 4 I"

ITD = 6.0 I"ITD42C1404A = 0.72 I"�(�(�,�"%�� ��� 193 ,�

ITD = 6.0 I"ITD42C1404A = 0.70 I"�(�(�,�"%�� ��� 183 ,�

ก#����� 2 : �� ]X �1. 20 ���ก&"$� .����"��#� =(6-5.4)/5.4 = 11%ก&"$� DW = (0.7-0.6)/0.6 = 16.7%

�,�"�,�"%�� ���

203 ,��,�"%�� ���

193 ,��,�"%�� ���

183 ,�

Page 4: Advance short term trading Derivative Warrant #42...2014/04/21  · fin DW advanc short term trading 21 Apr 2014 Author k1538 Created Date 4/18/2014 10:03:49 AM Keywords ()

6

BANPU : BANP42C1406A

7

-4.5%26.5Support 2

-2.7%27Support 1

27.75Last Price

+3.6%28.75Resistance 1

+7.2%29.75Resistance 2

%PriceBANPU

9.1 ,� "ก .��'�J�"%"�J"��#� DW �(��i�������%J"$� 0.01 I" j"���ก��,�

0.0011 I"Time Value Decay �J� 1 ,�

3.7%�"%" DW 0.01 I" %#�����ก�� % ����"%" DW

��(�"�ก"�BANP42C1406A

Page 5: Advance short term trading Derivative Warrant #42...2014/04/21  · fin DW advanc short term trading 21 Apr 2014 Author k1538 Created Date 4/18/2014 10:03:49 AM Keywords ()

8

BJC : BJC42C1406A

9

-4.0%47.5Support 2

-2.0%48.5Support 1

49.5Last Price

+3.0%51Resistance 1

+10.1%54.5Resistance 2

%PriceBJC

4.2 ,� "ก .��'�J�"%"�J"��#� DW �(��i�������%J"$� 0.01 I" j"���ก��,�

0.0024 I"Time Value Decay �J� 1 ,�

1.7%�"%" DW 0.01 I" %#�����ก�� % ����"%" DW

��(�"�ก"�BJC42C1406A

Page 6: Advance short term trading Derivative Warrant #42...2014/04/21  · fin DW advanc short term trading 21 Apr 2014 Author k1538 Created Date 4/18/2014 10:03:49 AM Keywords ()

10

CENTEL : CENT42C1406A

11

-12.5%26.25Support 2

-1.7%29.5Support 1

30Last Price

+3.3%31Resistance 1

+5.8%31.75Resistance 2

%PriceCENTEL

6.25 ,� "ก .��'�J�"%"�J"��#� DW �(��i�������%J"$� 0.01 I" j"���ก��,�

0.0016 I"Time Value Decay �J� 1 ,�

6.25%�"%" DW 0.01 I" %#�����ก�� % ����"%" DW

��(�"�ก"�CENT42C1406A

Page 7: Advance short term trading Derivative Warrant #42...2014/04/21  · fin DW advanc short term trading 21 Apr 2014 Author k1538 Created Date 4/18/2014 10:03:49 AM Keywords ()

12

GLOBAL : GLOB42C1406A

13

-12.9%12.2Support 2

-2.9%13.6Support 1

14Last Price

+5.0%14.7Resistance 1

+8.6%15.2Resistance 2

%PriceGLOBAL

5 ,� "ก .��'�J�"%"�J"��#� DW �(��i�������%J"$� 0.01 I" j"���ก��,�

0.0020 I"Time Value Decay �J� 1 ,�

3.7%�"%" DW 0.01 I" %#�����ก�� % ����"%" DW

��(�"�ก"�GLOB42C1406A

Page 8: Advance short term trading Derivative Warrant #42...2014/04/21  · fin DW advanc short term trading 21 Apr 2014 Author k1538 Created Date 4/18/2014 10:03:49 AM Keywords ()

14

HMPRO : HMPR42C1406A

15

-5.9%9.5Support 2

-2.9%9.8Support 1

10.1Last Price

+2.9%10.4Resistance 1

+9.9%11.1Resistance 2

%PriceHMPRO

7.7 ,� "ก .��'�J�"%"�J"��#� DW �(��i�������%J"$� 0.01 I" j"���ก��,�

0.0013 I"Time Value Decay �J� 1 ,�

5.3%�"%" DW 0.01 I" %#�����ก�� % ����"%" DW

��(�"�ก"�HMPR42C1406A

Page 9: Advance short term trading Derivative Warrant #42...2014/04/21  · fin DW advanc short term trading 21 Apr 2014 Author k1538 Created Date 4/18/2014 10:03:49 AM Keywords ()

16

JAS : JAS42C1406A

17

-6.1%7.65Support 2

-1.8%8Support 1

8.15Last Price

+3.1%8.4Resistance 1

+10.4%9Resistance 2

%PriceJAS

5.9 ,� "ก .��'�J�"%"�J"��#� DW �(��i�������%J"$� 0.01 I" j"���ก��,�

0.0017 I"Time Value Decay �J� 1 ,�

1.8%�"%" DW 0.01 I" %#�����ก�� % ����"%" DW

��(�"�ก"�JAS42C1406A

Page 10: Advance short term trading Derivative Warrant #42...2014/04/21  · fin DW advanc short term trading 21 Apr 2014 Author k1538 Created Date 4/18/2014 10:03:49 AM Keywords ()

18

KKP : KKP42C1406A

19

-9.2%42Support 2

-6.5%43.25Support 1

46.25Last Price

+1.6%47Resistance 1

+10.3%51Resistance 2

%PriceKKP

7.7 ,� "ก .��'�J�"%"�J"��#� DW �(��i�������%J"$� 0.01 I" j"���ก��,�

0.0013 I"Time Value Decay �J� 1 ,�

1.7%�"%" DW 0.01 I" %#�����ก�� % ����"%" DW

��(�"�ก"�KKP42C1406A

Page 11: Advance short term trading Derivative Warrant #42...2014/04/21  · fin DW advanc short term trading 21 Apr 2014 Author k1538 Created Date 4/18/2014 10:03:49 AM Keywords ()

20

PTTGC : PTTG42C1406A

21

-3.2%68.5Support 2

-1.0%70Support 1

70.75Last Price

+3.2%73Resistance 1

+5.7%74.75Resistance 2

%PricePTTGC

3.6 ,� "ก .��'�J�"%"�J"��#� DW �(��i�������%J"$� 0.01 I" j"���ก��,�

0.0028 I"Time Value Decay �J� 1 ,�

1.8%�"%" DW 0.01 I" %#�����ก�� % ����"%" DW

��(�"�ก"�PTTG42C1406A

Page 12: Advance short term trading Derivative Warrant #42...2014/04/21  · fin DW advanc short term trading 21 Apr 2014 Author k1538 Created Date 4/18/2014 10:03:49 AM Keywords ()

22

SAMART : SAMA42C1406A

23

-10.2%17.7Support 2

-5.1%18.7Support 1

19.7Last Price

+5.1%20.7Resistance 1

+30.5%25.7Resistance 2

%PriceSAMART

4.5 ,� "ก .��'�J�"%"�J"��#� DW �(��i�������%J"$� 0.01 I" j"���ก��,�

0.0022 I"Time Value Decay �J� 1 ,�

1.4%�"%" DW 0.01 I" %#�����ก�� % ����"%" DW

��(�"�ก"�SAMA42C1406A

Page 13: Advance short term trading Derivative Warrant #42...2014/04/21  · fin DW advanc short term trading 21 Apr 2014 Author k1538 Created Date 4/18/2014 10:03:49 AM Keywords ()

24

STA : STA42C1406A

25

-7.3%13.9Support 2

-2.6%14.6Support 1

15Last Price

+6.7%16Resistance 1

+15.3%17.3Resistance 2

%PriceSTA

8.3 ,� "ก .��'�J�"%"�J"��#� DW �(��i�������%J"$� 0.01 I" j"���ก��,�

0.0012 I"Time Value Decay �J� 1 ,�

2.2%�"%" DW 0.01 I" %#�����ก�� % ����"%" DW

��(�"�ก"�STA42C1406A

Page 14: Advance short term trading Derivative Warrant #42...2014/04/21  · fin DW advanc short term trading 21 Apr 2014 Author k1538 Created Date 4/18/2014 10:03:49 AM Keywords ()

26

TRUE : TRUE42C1406A

27

-7.2%6.4Support 2

-4.3%6.6Support 1

6.9Last Price

+7.9%7.45Resistance 1

+10.1%7.6Resistance 2

%PriceTRUE

4.5 ,� "ก .��'�J�"%"�J"��#� DW �(��i�������%J"$� 0.01 I" j"���ก��,�

0.0022 I"Time Value Decay �J� 1 ,�

3.7%�"%" DW 0.01 I" %#�����ก�� % ����"%" DW

��(�"�ก"�TRUE42C1406A

Page 15: Advance short term trading Derivative Warrant #42...2014/04/21  · fin DW advanc short term trading 21 Apr 2014 Author k1538 Created Date 4/18/2014 10:03:49 AM Keywords ()

28

TTA : TTA42C1406A

29

-12%17.6Support 2

-8%18.4Support 1

20Last Price

+3%20.6Resistance 1

+12.5%22.5Resistance 2

%PriceTTA

7.7 ,� "ก .��'�J�"%"�J"��#� DW �(��i�������%J"$� 0.01 I" j"���ก��,�

0.0013 I"Time Value Decay �J� 1 ,�

1%�"%" DW 0.01 I" %#�����ก�� % ����"%" DW

��(�"�ก"�TTA42C1406A

Page 16: Advance short term trading Derivative Warrant #42...2014/04/21  · fin DW advanc short term trading 21 Apr 2014 Author k1538 Created Date 4/18/2014 10:03:49 AM Keywords ()

30

TTCL : TTCL42C1406A

31

-5.9%35.75Support 2

-2.6%37Support 1

38Last Price

+5.3%40Resistance 1

+7.2%40.75Resistance 2

%PriceTTCL

5 ,� "ก .��'�J�"%"�J"��#� DW �(��i�������%J"$� 0.01 I" j"���ก��,�

0.0020 I"Time Value Decay �J� 1 ,�

2%�"%" DW 0.01 I" %#�����ก�� % ����"%" DW

��(�"�ก"�TTCL42C1406A

Page 17: Advance short term trading Derivative Warrant #42...2014/04/21  · fin DW advanc short term trading 21 Apr 2014 Author k1538 Created Date 4/18/2014 10:03:49 AM Keywords ()

32

TUF : TUF42C1406A

33

-7.6%64Support 2

-5.1%65.75Support 1

69.25Last Price

+3.6%71.75Resistance 1

+11.2%77Resistance 2

%PriceTUF

7.1 ,� "ก .��'�J�"%"�J"��#� DW �(��i�������%J"$� 0.01 I" j"���ก��,�

0.0014 I"Time Value Decay �J� 1 ,�

0.97%�"%" DW 0.01 I" %#�����ก�� % ����"%" DW

��(�"�ก"�TUF42C1406A

Page 18: Advance short term trading Derivative Warrant #42...2014/04/21  · fin DW advanc short term trading 21 Apr 2014 Author k1538 Created Date 4/18/2014 10:03:49 AM Keywords ()

34

VGI : VGI42C1406A

35

-5.3%10.7Support 2

-1.8%11.1Support 1

11.3Last Price

+3.5%11.7Resistance 1

+15%13Resistance 2

%PriceVGI

6.6 ,� "ก .��'�J�"%"�J"��#� DW �(��i�������%J"$� 0.01 I" j"���ก��,�

0.0015 I"Time Value Decay �J� 1 ,�

3.6%�"%" DW 0.01 I" %#�����ก�� % ����"%" DW

��(�"�ก"�VGI42C1406A

Page 19: Advance short term trading Derivative Warrant #42...2014/04/21  · fin DW advanc short term trading 21 Apr 2014 Author k1538 Created Date 4/18/2014 10:03:49 AM Keywords ()

36

ITD : ITD42P1406A

37

-3.2%3.56Support 2

-1.1%3.64Support 1

3.68Last Price

+8.6%4Resistance 1

+10.8%4.08Resistance 2

%PriceITD

20 ,� "ก .��'�J�"%"�J"��#� DW �(��i�������%J"$� 0.01 I" j"���ก��,�

0.0005 I"Time Value Decay �J� 1 ,�

0.76%�"%" DW 0.01 I" %#�����ก�� % ����"%" DW

��(�"�ก"�ITD42P1406A

Page 20: Advance short term trading Derivative Warrant #42...2014/04/21  · fin DW advanc short term trading 21 Apr 2014 Author k1538 Created Date 4/18/2014 10:03:49 AM Keywords ()

38

Call DW

Put DW

������ � 17 ��.�. 2557

39

ก#,��� �#L8 : DW 54 #/$X���X +�8��+��$� 1�X��ก #$X+��()�8�3#�+

Call DW Z+��$�$X���X +\ = Max(0, # � .d�)�8� � ���STU�R ����$���8 �R�+ DW - # � :58$��&�) * ���# :58$��&�

�,��J"� : ����# Call DW �"%"�Q��#R# 80 I" ���"ก"��Q��#R# 0.05

"ก�"%"�r� .�� � ,�)����"�,��.��"���� DW = 90 I" �($�� s��#����J,��J"�t = Max(0, 90 - 80) * 0.05 = 0.50 I"

"ก�"%"�r� .�� � ,�)����"�,��.��"���� DW = 70 I" �($�� s��#����J,��J"�t = Max(0, 70 - 80) * 0.05 = 0.00 I"

Put DW Z+��$�$X���X +\ = Max(0, # � :58$��&� - # � .d�)�8� � ���STU�R ����$���8 �R�+ DW) * ���# :58$��&�

�,��J"� : ����# Put DW �"%"�Q��#R# 220 I" ���"ก"��Q��#R# 0.0125

"ก�"%"�r� .�� � ,�)����"�,��.��"���� DW = 190 I" �($�� s��#����J,��J"�t = Max(0, 220 v 190) * 0.0125 = 0.375 I"

"ก�"%"�r� .�� � ,�)����"�,��.��"���� DW = 225 I" �($�� s��#����J,��J"�t = Max(0, 220 - 225) * 0.0125 = 0.00 I"

• "กH����.�L�� DW $������,�)����"��.��"� (T) '��, DW Issuer �(%&"�,�ก"��Q��#R#��w���#� � L�"��ก"��Q��#R#�ก#�� �� H����.��($���I s��#����J,��J"�t ���"IiQ� e-dividend ��,��� T+9 ( ��� "ก��ก%�"$�J�� e-dividend �(�J������Q+%� ���,��� T+9 ) '�(�����&" s��#����J,��J"�t $��,������"�$�� 40(8) ���������j"!���(�&"�y •`8 �Lก�8 # ��X��1�X�8�+ก #��f #/f �� �8�+R � DW ��U+:��� �กX���� �.d�:����STU�R �$���8 �R�+ DW

Page 21: Advance short term trading Derivative Warrant #42...2014/04/21  · fin DW advanc short term trading 21 Apr 2014 Author k1538 Created Date 4/18/2014 10:03:49 AM Keywords ()

40

ก#,��� �#L8 : $X��.#/ก�(R�+# � Call DW# � Call DW = Intrinsic Value + Time Value

Intrinsic Value = Max(0, # � �� �)�8��8 +��+ - # � :58$��&�)*���# ก #:58$��&�

Time Value = # � Offer Call DW l Intrinsic Value

41

ก#,��� �#L8 : $X��.#/ก�(R�+# � Put DW

# � Put DW = Intrinsic Value + Time Value

Intrinsic Value = Max(0, # � :58$��&� l # � �� �)�8��8 +��+)*���# ก #:58$��&�

Time Value = # � Offer Put DW l Intrinsic Value