������ 21 �� �� 2557
Advance short term trading Derivative Warrant #42
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������ ���ก��, CFA, FRM !" ��# $ #���%��&' (#����)��ก�#�%�' ��'*(+ก' ก���,+ (.#/�01��) 34 ก�� (�) 5�)
* �������� ���� �ก������������������������ก���� ก!" �#$������%&"'�(�&")����"� �ก���*
1
�ก�+�%,"���� : .����"��#�� �� Call DW � ��, .����"��#��� Put DW � ��
Call DW : CPAL42C1404A Put DW : CPAL42P1404A
CPALL
2
�ก�+�%,"���� : Effective Gearing %�� ก"���"�H���I'�• Effective Gearing %�� %J"��I�ก,J" DW �(�������$�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 $L+� ก• �� �$���+$L+� ก
4
�ก�+�%,"���� : �L"�( Put DW : OTM, ATM, ITM
• # � )�8� > # � :58$��&�• 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 ,�
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"$� 0.01 I" j"���ก��,�
0.0011 I"Time Value Decay �J� 1 ,�
3.7%�"%" DW 0.01 I" %#�����ก�� % ����"%" DW
��(�"�ก"�BANP42C1406A
8
BJC : BJC42C1406A
9
-4.0%47.5Support 2
-2.0%48.5Support 1
49.5Last Price
+3.0%51Resistance 1
+10.1%54.5Resistance 2
%PriceBJC
4.2 ,� "ก .��'�J�"%"�J"��#� DW �(��i�������%J"$� 0.01 I" j"���ก��,�
0.0024 I"Time Value Decay �J� 1 ,�
1.7%�"%" DW 0.01 I" %#�����ก�� % ����"%" DW
��(�"�ก"�BJC42C1406A
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"$� 0.01 I" j"���ก��,�
0.0016 I"Time Value Decay �J� 1 ,�
6.25%�"%" DW 0.01 I" %#�����ก�� % ����"%" DW
��(�"�ก"�CENT42C1406A
12
GLOBAL : GLOB42C1406A
13
-12.9%12.2Support 2
-2.9%13.6Support 1
14Last Price
+5.0%14.7Resistance 1
+8.6%15.2Resistance 2
%PriceGLOBAL
5 ,� "ก .��'�J�"%"�J"��#� DW �(��i�������%J"$� 0.01 I" j"���ก��,�
0.0020 I"Time Value Decay �J� 1 ,�
3.7%�"%" DW 0.01 I" %#�����ก�� % ����"%" DW
��(�"�ก"�GLOB42C1406A
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"$� 0.01 I" j"���ก��,�
0.0013 I"Time Value Decay �J� 1 ,�
5.3%�"%" DW 0.01 I" %#�����ก�� % ����"%" DW
��(�"�ก"�HMPR42C1406A
16
JAS : JAS42C1406A
17
-6.1%7.65Support 2
-1.8%8Support 1
8.15Last Price
+3.1%8.4Resistance 1
+10.4%9Resistance 2
%PriceJAS
5.9 ,� "ก .��'�J�"%"�J"��#� DW �(��i�������%J"$� 0.01 I" j"���ก��,�
0.0017 I"Time Value Decay �J� 1 ,�
1.8%�"%" DW 0.01 I" %#�����ก�� % ����"%" DW
��(�"�ก"�JAS42C1406A
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"$� 0.01 I" j"���ก��,�
0.0013 I"Time Value Decay �J� 1 ,�
1.7%�"%" DW 0.01 I" %#�����ก�� % ����"%" DW
��(�"�ก"�KKP42C1406A
20
PTTGC : PTTG42C1406A
21
-3.2%68.5Support 2
-1.0%70Support 1
70.75Last Price
+3.2%73Resistance 1
+5.7%74.75Resistance 2
%PricePTTGC
3.6 ,� "ก .��'�J�"%"�J"��#� DW �(��i�������%J"$� 0.01 I" j"���ก��,�
0.0028 I"Time Value Decay �J� 1 ,�
1.8%�"%" DW 0.01 I" %#�����ก�� % ����"%" DW
��(�"�ก"�PTTG42C1406A
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"$� 0.01 I" j"���ก��,�
0.0022 I"Time Value Decay �J� 1 ,�
1.4%�"%" DW 0.01 I" %#�����ก�� % ����"%" DW
��(�"�ก"�SAMA42C1406A
24
STA : STA42C1406A
25
-7.3%13.9Support 2
-2.6%14.6Support 1
15Last Price
+6.7%16Resistance 1
+15.3%17.3Resistance 2
%PriceSTA
8.3 ,� "ก .��'�J�"%"�J"��#� DW �(��i�������%J"$� 0.01 I" j"���ก��,�
0.0012 I"Time Value Decay �J� 1 ,�
2.2%�"%" DW 0.01 I" %#�����ก�� % ����"%" DW
��(�"�ก"�STA42C1406A
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"$� 0.01 I" j"���ก��,�
0.0022 I"Time Value Decay �J� 1 ,�
3.7%�"%" DW 0.01 I" %#�����ก�� % ����"%" DW
��(�"�ก"�TRUE42C1406A
28
TTA : TTA42C1406A
29
-12%17.6Support 2
-8%18.4Support 1
20Last Price
+3%20.6Resistance 1
+12.5%22.5Resistance 2
%PriceTTA
7.7 ,� "ก .��'�J�"%"�J"��#� DW �(��i�������%J"$� 0.01 I" j"���ก��,�
0.0013 I"Time Value Decay �J� 1 ,�
1%�"%" DW 0.01 I" %#�����ก�� % ����"%" DW
��(�"�ก"�TTA42C1406A
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"$� 0.01 I" j"���ก��,�
0.0020 I"Time Value Decay �J� 1 ,�
2%�"%" DW 0.01 I" %#�����ก�� % ����"%" DW
��(�"�ก"�TTCL42C1406A
32
TUF : TUF42C1406A
33
-7.6%64Support 2
-5.1%65.75Support 1
69.25Last Price
+3.6%71.75Resistance 1
+11.2%77Resistance 2
%PriceTUF
7.1 ,� "ก .��'�J�"%"�J"��#� DW �(��i�������%J"$� 0.01 I" j"���ก��,�
0.0014 I"Time Value Decay �J� 1 ,�
0.97%�"%" DW 0.01 I" %#�����ก�� % ����"%" DW
��(�"�ก"�TUF42C1406A
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"$� 0.01 I" j"���ก��,�
0.0015 I"Time Value Decay �J� 1 ,�
3.6%�"%" DW 0.01 I" %#�����ก�� % ����"%" DW
��(�"�ก"�VGI42C1406A
36
ITD : ITD42P1406A
37
-3.2%3.56Support 2
-1.1%3.64Support 1
3.68Last Price
+8.6%4Resistance 1
+10.8%4.08Resistance 2
%PriceITD
20 ,� "ก .��'�J�"%"�J"��#� DW �(��i�������%J"$� 0.01 I" j"���ก��,�
0.0005 I"Time Value Decay �J� 1 ,�
0.76%�"%" DW 0.01 I" %#�����ก�� % ����"%" DW
��(�"�ก"�ITD42P1406A
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
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