Options

1.

       SET50 Index Futures

SET50 Index Options

2.

3.
4.

5.

6.

  

 - 
3 - 

  
 2

2
+    
 


   leverage
leverage   
 /
set50  1000 10   1%
  11400  10
2000
 17%  1%


    
 
  
VI   etc.

 

 10   Enter 



Page 1 of 59

 A
 

 





SET50 SET50 Index Futures

5
efin efin

2

Set50
 2 s50m15




2 

    

108 1009 

 timeframe 


   
timeframe time frame


 timeframe 

Page 2 of 59

 
   
timeframe time frame


timeframe timeframe
 timeframe  
5



timeframe  
  


(worry)
 (Hedging)
  Set50 Index 

   2
SET50
S50M15

 www.tfex.co.th Set 50 Index Futures
 Set50, Set 50 Index Options  Set50

 
 2
1 Set 50 Index Futures
2 Set 50 Index Options
2 
2   50
Set50 Index
 

Page 3 of 59

  

1.Set 50 Index Futures 
S50H15, S50M15, S50U15, S50Z15
S50
 Set50
H15 2015
M15
2015
U15 2015
Z15 2015

  S50M15

 ..
 S50J15 
 Set50
 4  H M U Z
  3
  M 

  FUTURES, OPTIONS LONG l
 FUTURES, OPTIONS SHORT s
 200
  1 200 200
80 80

100 100
   FUTURES OPTIONS 200 1

 FUTURES(lf)  1000 lf   1001
CALL OPTION (sc)  1025 30 sc   29
 FUTURES 
1. Set 50 Index Futures 2  Long(lf) Short(sf)

A   1020 B
A   Long Futures  lf  1021
-  lf    lf 200

Page 4 of 59

  lf 200
B  Short Futures  sf  1019
 sf
   sf 200
  sf 200
  1040
A B (1040 - 1020) * 200 = 4000 200 3800
  1020 1040 20
B A (1020 - 1040) * 200 = 4000 200 4200

  1005
A B (1005 - 1020) * 200 = 3000 200 3200
B A (1020 - 1005) * 200 = 3000 200 2800


11400
  7980   7980 (Call
Margin)


Q: 1. B  Short Futures  sf
 1019

1021
A:

1020
1 200
 1019
  1020 200

1020 1021
Q: A B OI
A: 1 oi

Page 5 of 59


A: oi (oi = open interest)

Q: OI

Q: future
  
  100
A: 1
 

Q: margin  contract 
A:   http://www.tfex.co.th/files/MarginRate_20150122_th.pdf
Q:   A B

A:

Q: io


efin

+
add indicator to new to active panel

data
Open Interest
 oi
a lf b sf 1000
 oi 1
1 a b
 1010
a  C
a sf
C lf
 oi 1
 b c

Page 6 of 59

Q:  call margin 15,000 sf  1020  1040



A: 
http://www.tfex.co.th/files/MarginRate_20150122_th.pdf

 maintenance magin  7980

1020 1040 20 *200 4000
15,000 110,000

 maintenance magin  
Outright Spread  Outright
Q: OI

A: oi
Q:  Clearing House Margin
A:  Individual

Q:  Outright Spread

A: 22 58

.RATT    21:37 .
(
  19 2557) ... 

 22 2558

Page 7 of 59

Q: add OI s50m15 0.00

A: OI 
TF day

Q:  
A: 2 
Q:
A: 
- 1000-1020

 lf1000
1020
 lf 
 20
 sf  1020
 1010  sf 
 10


Page 8 of 59

Q: set50 future 
vol

A:

=============== 26/03/2015 ===============

set50
set50   1000
 1 1000

SET50 1000 * 1000 = 1,000,000
1  set50
 set50

set50 1
s   200
s 5
 
set50 1% 10
1 
1 
 



 




Streaming  
 

Page 9 of 59

  
  SET TFEX

 
 sf (short tfex)
OPEN
   m s50m15
Short

 s
pin enter
 

Close / long / s50m15 / / /
 TFEX 


1  set50
set50
 set50 set50
 


s

 s
Q: 

 1000 s 
990
1000 
990

Page 10 of 59

 streaming
https://www.settrade.com/StaticPage/products/manual/Manual_StreamingPro.pdf

 



Q:  long tfex
A: lf sf open 
-

lf  sf
sf  lf
lf OPEN LONG
lf CLOSE SHORT

 long open  s50m15   980

cond type mp  short close
Q: intial margin maintance margin   1 contract

 2 contract intial margin 2

A: 2
Q: 2
A: spread 2 
-

sf s50m15

lf s50u15
-   u m
- m u

Q: sf lf m
A:
Q: spread 
A:
-

************ Futures ************

Page 11 of 59

************  Options ************

Set 50 Index Options

  TFEX
---- Options ---- .Set50 Index Options Jun 15
Jun 
http://www.tfex.co.th/th/products/set50options-mktdata.html
 Options
  
Options 2 Call Put
 Call   call   call
Set50  992.82
  strike price 1000
OTM Call
 992.82 
OTM Put  992.82
ATM = 992.82
ITM Call 
992.82
ITM Put  992.82 

Q:
A:
Q: strike price  25 FIX
A: 

Q:  1000

992

A: ATM = 992.82 = SET50

 ATM 

Page 12 of 59

  TFEX
---- Options ---- .Set50 Index Options Jun 15
Jun 
http://www.tfex.co.th/th/products/set50options-mktdata.html

  Options
 ITM 
1. lc sc  OTM

 Set50  987
A 
B   2 
- A  call B  strike price 1000 15
- A lc1000 15 B sc1000 15
ATM = 987
OTM Call  987 

Page 13 of 59

OTM Put  987

ITM Call  987
ITM Put  987 
strike price 1000 call OTM
-

A B   Call Options (15*200) = 3000 

200  lc A  16 3200
B A  Call Options (15*200) = 3000 
200  B sc  14 2800

 Options :
 1048.5 C1000  ITM A B 
- A   : 1048.5 () 1000 (
 1000 ) 16 ( lc  ) = 32.5 * 200 = 6500
- B   : 1000(  1000
) - 1048.5() + 14( sc  ) = -34.5 * 200 = -6900
 999.9 C1000  OTM Call Options  
- A 3200  lc  1000
- B  A 2800 A 
1000
******* *******

Q: Call
A: call   otm
Q: 999

 b
 a
A:

Q:  ATM SET50

A: ATM set50 
 ATM
Q:
997 A
A:   a b
Q  1000

Page 14 of 59

  997

 997 
 600
Q:


A: strike price
Q:
1005  option
A: a b


 

a b

1000
b
Q: 15
A:


a b
b a 
 
b a 15
b buffer  15

15   b a
Q: 1003

A: 1000
 a

Q


Page 15 of 59

 
<<<
 1048.5 C1000  ITM A B 
A   : 1048.5() - 1000(
 1000 ) - 16( lc  ) = 32.5 * 200 = 6500
B   : 1000(  1000
) - 1048.5() + 14( sc  ) = -34.5 * 200 = -6900
>>>  1048.5 1003
A lc1000 1
 5  1003 3 15+1 13 x 200 2600

B sc1000  15  1003 3 15-1 11 x 200 = 2200

=============== 30/03/2015 ===============

lc sc otm
 itm
2. lc sc  ITM


 Set50  987 A  B 
 2 
- A  call B  strike price 900 90
- A lc900 90 B sc900 90
ATM = 987
OTM Call  987 
OTM Put  987
ITM Call  987
ITM Put  987 
strike price 900 call ITM
-

A B   Call Options (90*200) = 18000 

200  lc A  91 18200

Page 16 of 59

B A  Call Options (90*200) = 18000 

200  B sc  89 17800

 Options :
 1074.5 C900  ITM A B 
- A   : 1074.5() - 900(
 900 ) - 91( lc  ) = 83.5 * 200 = 16700
- B   : 900(
  900
) - 1074.5() + 89( sc  ) = -85.5 * 200 = -17100
 899.9 C900  OTM Call Options  
- A 18200  lc  900
- B  A 17800 A 
900
*** lc sc itm ***

call put put call

Q: option dw
A: dw option

Page 17 of 59

Q: 83.5
A: A   : 1074.5() - 900(

 900 ) - 91( lc  ) = 83.5 * 200 = 16700

Q:  A 18200 option 16700
A: a

put
3. lp sp  OTM
 Set50  987 A B  2

- A  put B  strike price 900 4
- A lp900 4 B sp900 4
ATM = 987
OTM Call  987 
OTM Put  987
ITM Call  987
ITM Put  987 
strike price 900 put OTM
-

A B   Put Options (4*200) = 800 

200  lp A  5 1000
B A  Put Options (4*200) = 800 
200  B sp  3 600

 Options :
 895 P900  ITM A B 
- A : 900( 900 ) - 895() - 5( lp  ) = 0
* 200 = 0
- B : 895() - 900( 900 ) + 3( sp  ) = -2
* 200 = -400
 902 P900  OTM Put Options  

Page 18 of 59

 A 1000  lp 900
- B  A 600 A
900
*** lp sp otm ***
-

Q: A premium  91 

 Piyapat  call 
a 91  a
a b 900 ( 200  )
 1074.5
b a 1074.5-900 =83.5
 a
4. lp sp  ITM

 Set50  987 A B 
  2 
- A  put B  strike price 1075 90
- A lp1075 90 B sp1075 90
ATM = 987
OTM Call  987 
OTM Put  987
ITM Call  987
ITM Put  987 
strike price 1075 put ITM
-

A B   Put Options (90*200) = 18000 

200  lp A  91 18200
B A  Put Options (90*200) = 18000 
200  B sp  89 17800

 Options :
 1025 P1075  ITM A B 

Page 19 of 59

 A : 1075( 1075 ) - 1025() - 91( lp) =

-41 * 200 = -8200
- B : 1025() - 1075( 1075 ) + 89(
sp) = 39 * 200 = 7800
 1075 P1075  ATM Put Options  
- A 18200  lp 1075
- B  A 17800 A
1075
*** lp sp itm ***
-

lc sc lp sp 

Q:  ??
A:

 



  Breakeven (be)

lc lp sc sp  otm itm

Q:  unrealize p/l
A:   
Q:
A: call put

Q:
 

A:  
Q: OTM ITM  ATM
A:   lc sc  OTM

Page 20 of 59

"  Set50
 987 A  B 

 2 "
  a b  

Q:   
A:   



Q:
A:
Q:  3
A:


 
 


  
 
Q:
A: 
 984.2 

 s otm
s otm
 strike price 
Q: s otm  993.27

A:

Page 21 of 59

s otm s  otm
sp sc

itm otm
 
=============== 31/03/2015 ===============

lc sp sc lp

 
 
(BE : Break Event)
  
 1: Set50  987 A lc1000 15 B sc1000 15
- BE a
 1000 + 15 = 1015
o  1015 a 
- BE b
 1015
o   1015 b
 3: Set50  987 A lp900 4 B sp900 4
- BE a
 900 - 4 =
o   896 a 
- BE b
 896
o  896 b

be

atm 1000

lc
lc 925 85, lc950 60, lc975 35

925+85 = 1010, 950+60 = 1010, 975+35 = 1010

Page 22 of 59

 3


975 
Q: lc
A: 

atm 1000
sc1075 12
 BE
 1075 12 = 1087

 1087
 1087 lf


Q: 


lc
be  3 lc


Q: OK  3 1000
A:  3 
Q:  2  lc 925 85

strike price
Q: 925 950 975 strike price ?
A: 

A: 925 950 975

 
http://www.tfex.co.th/th/products/set50options-mktdata.html


100 
 be
 

Page 23 of 59


 Option 
  


Strike price 
 
1.Spread
2.Back Spread
3.Straddle
4.Strangle
5.Gut

 

ATM 1000
1.Spread
- Call : SC( ) + LC() LC925+SC950
- Put : SP() + LP( ) LP1100+SP1000
2.Back Spread
- Call : SC() + LC() SC925+LC950
- Put : SP( ) + LP() SP1100+LP1000
3.Straddle
- Long Straddle : LC+LP  ATM LC1000+LP1000
- Short Straddle : SP+SC  ATM SP1000+SC1000
4.Strangle
- Long Strangle : LC+LP  OTM LC1025+LP975
- Short Strangle : SP+SC  OTM SC1025+SP975
5.Gut
- Long Gut : LC+LP  ITM LC975+LP1025
- Short Gut : SP+SC  ITM SC975+SP1025

 Spread Back Spread
  Spread

Page 24 of 59

Spread:

 ?
L Options
LC925 85  17,000
 
SC950 65
 17,000 13,000  17,000 4,000 



 955  C925 C950 ITM
LC925 : 955-925-85 = -55
SC950 : 950-955+65 = +60

5
BE  85 - 65 = 20
20 Strike Price  lc 925 + 20 = 945
BE Spread 
 http://www.vsathai.com

Back Spread:


 lc lp   Back Spread
 
ATM 1000 - 1000 - 1030

lc1025 20
1000
 sc1000 22  backspread

20
Page 25 of 59

 sc 22
  2

Spread back Spread

 Straddle Strangle Gut

 synthetic
 6 
 7


lf sp lc
lf
sp
lc
Q:
 
A: 
Q: 4 .. Spread...Back...
A: spread 
Atm1000
c1000 25
c1025 19

lc1000 25
 atm 1050
c1000 60
c1025 40
 sc1025 40




Page 26 of 59

Q: c1000 60

A:  option  60

chat log 
   sc1050
 
1050
 lf 1049
 




1030 ( ) lf sp950
1030
20
sp950 
 sc1050 


 1000  lf

555
Q: 

A:
Q:

A:

Q: 
A: 
Q:  action
A: 
Q: . basic option
A: workshop

Page 27 of 59

Q: option
A:
Q:


A:




Q: 
  

 lc1000  25
 1075  atm1075
  sc
A: 
 long
short
lc long call   call
sc short call call
lc sc
Q:
 strike price L
A:

Q:  sc

A
A: call put
Q: set 50  ATM

  
 50 

A: 
Q:   set50  


 click2win  

Page 28 of 59

=============== 01/04/2015 ===============

Q: otm itm atm

... ?
 3 Set50  987 A lp900 4 B sp900 4
BE a
 900 - 4 = 896
986 BE 900 + 4 = 904
A: 

900
 200
  4
  lp900 4
sp900 4

   900 - 4 = 896

 899
 1 200
4  1
3
 4 1
3
Q: .... ATM OTM ITM .... strike price

A: index set50


set50  900 set 50 900 lc 900

spread / back spread
 3 Straddle/ Strangle/Gut

Page 29 of 59

Straddle
Long Straddle : LC + LP  ATM LC1000 + LP1000
Short Straddle : SP + SC  ATM SP1000 + SC1000
l s 

l straddle:

 


A
  l straddle 
s straddle:

  

Strangle
Long Strangle : LC + LP  OTM LC1025 + LP975
Short Strangle : SP + SC  OTM SC1025 + SP975
l strangle:

l straddle   
 l straddle / stragle 
  unlimit
s strangle:

staddle  
  otm   
 

Gut

 itm
Long Gut : LC + LP  ITM LC975 + LP1025
Short Gut : SP + SC  ITM SC975 + SP1025

gut  box
l gut + s strangle
box   strike price  l
 limit loss
s gut s itm


 

Page 30 of 59

   be combination 


Synthetic


 

2
synthetic lf synthetic sf
Synthetic lf:

lc + sp
   l
lf 
lc 
sp 

  lc + sp
lf
Synthetic sf:

lp + sc
sf 
lp 

sc
 lp + sc sf
2 
2 

 
 
Q: l s stradgle  atm

A:

Page 31 of 59

Q: option 
 tfex
A:

 
 




Q: sp 

A:  sp


Q: limit 
 s
A: s
 l atm  
Q:
A: l straggle  1-3

l  2 4

  2  4
l staddle strangle

 

lp otm
atm 1000  lp975

A
l strangle

Page 32 of 59

 lc otm



Q:  ATM 1000 set 50 1050 SC + SP  1050 (Gut Short)

A:  s strangle straddle  be
Q:
 otm  lp

A: otm call put


Q:

pay off diagram show  

A: pay off be

Q: . atm 1000 lp975  set50



set50 = 995
A:
Q: SC + SP  1050 0 
A: 0  be

   


 1050 SC 1050 ??
Q:
A:

Q: SC ITM ATM 
A:
 

 


Page 33 of 59

  
Q:  set50 > 1000 1005  1000 975 
A:   975

975  atm 1000

Q:  long short
A:
>>> S 
 S


 S   
>>> L  


   

call put short long    be 

 

Q: l gut + s strangle box   strike price  l 
limit loss ( ) BOX
A: atm 1000 lc975 40 +sc1025 12 + lp1025 42 + sp975 13

Q:   L

S  OTM ITM
A:  lc sc lp sp
Q: lp975  lc otm l strangle. 
back spread
A:

Page 34 of 59

 l strangle
back spread 
Q:
strangle back spread
A:
Q:  straddle/strangle be


A:
sc sp



 lc sp lp sc




 set50


=============== 02/04/2015 ===============

Derivative



 l
s
 lf
sf
call 
put
 call lc "" 
call sc  "" 

Page 35 of 59

  put lp "" 
put sp  "" 
 200



 1

lf 1000 1001
sf 1000 999
lc1025 17 18
sc1025 17 16
lp1050 20 21
sp1050 20 19
 lc1025, sc900, sp1050, lp950
strike price 

lc1025  call  1025  1025 200

sc900 call  900  900 200
sp1050 put  1050  1050 200
lp950  put  950  950 200

 Streamning
http://www.tfex.co.th/th/products/set50options-mktdata.html

900 925 950.... Strike Price
call  Strike Price
put  Strike Price
bid 
ask
atm  set50  atm Strike Price
otm call  atm
otm put  atm
itm call  atm
itm put  atm
Combination
Page 36 of 59

 ATM 1000
1.Spread
Call : SC( ) + LC() LC925+SC950
Put : SP() + LP( ) LP1100+SP1000
2.Back Spread
Call : SC() + LC( ) SC925+LC950
Put : SP( ) + LP() SP1100+LP1000
3.Straddle
Long Straddle : LC+LP  ATM LC1000+LP1000
Short Straddle : SP+SC  ATM SP1000+SC1000
4.Strangle
Long Strangle : LC+LP  OTM LC1025+LP975
Short Strangle : SP+SC  OTM SC1025+SP975
5.Gut
Long Gut : LC+LP  ITM LC975+LP1025
Short Gut : SP+SC  ITM SC975+SP1025
Synthetic
syn l = lc + sp
syn s = sc + lp
syn lc = l + lp
syn sc = s + sp
syn lp = lc + s
syn sp = sc + l
BE (Break Event)

position  1 100
excel

lc : strike price +  +
sc : strike price +  -
lp : strike price -  -
sp : strike price -  +
 http://hehew.net/ http://www.vsathai.com
position  be

Page 37 of 59

 
5
  1000 a  b
a lf 1000 (Open Long S50m15 1 con 1000)
b sf 1000 (Open Short S50m15 1 con 1000)
 1015
a  b  c 
a sf 1015 (Close Short S50m15 1 con 1015) a 1015-1000 = 15*200 = 3000
b
c lf 1015 (Open Long s50m15 1 con 1015)
  1030

b 1000-1030 = 30*200 = 6000
c 1030-1015 = 15*200 = 3000
6
  1000 d  e
 985
d e  f  lf d
  1010
d e f /
atm = 1000
7
be
a lc950 70  be lc950 a 
950+70+1() = 1021
    1021

 951 be

 1022 
8
be

Page 38 of 59

 a sp1000 25  be sp1000 a 
1000-25+1() = 976
    976
  976
 24  be
atm1000

 http://hehew.net/ http://www.vsathai.com
9
be
a lp1050 40  be lp1050 a 
10
be
a sc900 105  be sc900 a 
11 be
a lc950 70 + sc1000 40  be a 
950 + 71 - 39 = 982

    982
 18 
 1000 be
 -32 950  be
atm 1000
12
be
a sp1000 25 + sc1000 23  be a 
13
be
a sp925 9 + sc1075 9  be a 
14
be
a sp1075 84 + sc925 84  be a 

Page 39 of 59

 15
be
a lc1000 25 + lp1000 25  be a 
16
be
a lc1025 15 + lp975 15  be a 
17
be
a lc975 40 + lp1025 40  be a 
18
be
a sc1050 40 + lf 1049  be a 
19
be
  1000
a sc1050 8 + lp1050 60  be a 
sf syn sf
20
be
  1000
a lc925 80 + sp1050 4.5  be a 
lf syn lf
21
 atm = 1000 a b
b 975
  975 13
a lp975 13 (Open Long S50m15P975 1 con 13)
b sp975 13 (Open Short S50m15P975 1 con 13)
atm   965 p975  17

Page 40 of 59

 a 
b
c
a sp975 17 (Close Short s50m15p975 1 con 17) a -13+17 = 4*200 = +800
b
c lp975 17 (Open Long s50m15p975 1 con 17)
 970
b 970-975+13 = 8*200 = +1600
c 975-970-17 = 12*200 = -2400
22
21
 atm = 1000, 1000 a  b 
b  1025
   1025 17
atm   980 c1025  8  983
a 
b
c  sc1025
 atm  980 c1025  6  980
a 

 lf 980
c sf 980
 1030 a b c
*** ***
19 20 22






Page 41 of 59

Q: A 
A:
Q:

A:

 limit loss


limit loss
limit loss
2 
Q: 5 
A:  

adjustment 

=============== 05/04/2015 ===============

*** ***

6
  1000 d  e
d lf 1000 (Open Long S50m15 1 con 1000)
e sf 1000 (Open Short S50m15 1 con 1000)
 985
d e  f 
d sf 985 (Close Short S50m15 1 con 985) d 985-1000 = -15*200 = -3000
e
f lf 985 (Open Long s50m15 1 con 985)
  1010

Page 42 of 59

 d e f /
e 1000-1010 = -10*200 = -2000
f 1010-985 = 25*200 = 5000
***

9
a lp1050 40  be lp1050 a 
1050-40 = 1010

 1010 a (be)
1010  
 
 1050  1010
***

10
a sc900 105  be sc900 a 
900+105 = 1005
 1005 a (be)

1005 
  900  1005
***

11
a lc950 70 + sc1000 40  be a 
950 + 71 - 39 = 982

    982
 18 
 1000 be
 -32 950  be
***

12
a sp1000 25 + sc1000 23  be a 

sp  

sc   

Page 43 of 59

 sp 1000
 1000  a 
 sc 1000
 1000 a

be sp1000 1000-25 = 975
a sc1000   1000
sc1000 23


975 23
975 - 23 = 952
be sc1000 1000+23 = 1023

a sp1000  1000
sp1000 25


1023
 25
1023 + 25 = 1048

a be 2  952 1048
952-1048 a
 952 1048 a
***

13
a sp925 9 + sc1075 9  be a 

sp  

sc   

 sp 925
 925  a 
 sc 1075
 1075 a

be sp925 925-9 = 916
a sc1075   1075
sc1075 9


916 9
916 - 9 = 907

Page 44 of 59

be sc1075 1075+9 = 1084

a sp925  925
sp925 9


1084
 9
1084 + 9 = 1093

a be 2  907 1093
907-1093 a
 907 1093 a
***

15
a lc1000 25 + lp1000 25  be a 
lc lp   

  lc
  lp

be lc1000
1000+25 =1025
  1025 a 

a lp1000  1000 

  1025 25 1025+25=1050
be lp1000

  975 a 
1000-25 =975
a lc1000   1000 

 975 25 975-25=950
a be 2  1050 950
950-1050 a
a
***

Page 45 of 59

 16
a lc1025 15 + lp975 15  be a 
lc lp   

  lc
  lp

be lc1025
1025+15 =1040
  1040 a 

a lp975  975 

  1040 15 1040+15=1055
be lp975
975-15 =960
  960 a 

a lc1025   1025 

 960 15 960-15=945
a be 2  1055 945
945-1055 a
a
***

18
a sc1050 40 + lf 1049  be a 
sc1050 +40 = 1090

1090 
 1050
lf1049

 1049 
  1049


Page 46 of 59

    1050 lf sc1050
  sc

1050 - 1049 = 1
sc1050 40 41

  41
   1050
 1050 40 sc1050
lf   
1049-40 = 1009 
****

19
  1000
a sc1050 8 + lp1050 60  be a 
sf syn sf
lp1050-60 = 990

sc1050 8
 990+8= 998
 1000
 sf
a
  998 lp
 998 sc
***

20
  1000
a lc925 80 + sp925 4.5  be a 
lf syn lf
lc925+80 = 1005

Page 47 of 59

 sp925 4.5
 1005-4.5= 1000.5
 1000
 lf
a
 1005.5 lc
  1005.5 sp
*** ***
lc (1000-925)-80 = -5
sp (1000-1050)+4.5 = -45.5
lc+sp = -50.5 set50  1,000
BE
spread 1050-925 = 75
-50.5+75=24.5
spot 1000+24.5=1024.5
sp 1050 4.5+ lc 925 80 = Syn lf 1024.5  lf 1000
****

22
 atm = 1000, 1000 a  b 
b  1025
   1025 17
a lc1025 17 (Open Long S50m15C1025 1 con 17)
b sc1025 17 (Open Short S50m15C1025 1 con 17)
atm   980 c1025  8  983
a 
b
c  sc1025
a
b lc1025 8 (Close Long s50m15C1025 1 con 8) b 17-8 = 9*200 = +1800
c sc1025 8 (Open Short s50m15C1025 1 con 8)
 atm  980 c1025  6  980

Page 48 of 59

 a 

 lf 980
c sf 980
a (Open Long s50m15 1 con 980) a lc1025 17 lf 980
c (Open Short s50m15 1 con 980) c sc1025 8 sf 980
 1030
a b c
a
lc1025 1030-1025-17 = -12
lf 980 1030-980 = 50

50-12 =38*200 =7600

c
sc1025 1025-1030 +8 = +3
sf 980 980-1025 = -50

3-50 = 47*200 = -9400

***

=============== 06/04/2015 ===============

:
Q  

2
1 




2

A
 
 
Page 49 of 59

   

   50

  20
 
35  20

 




=  + ( ...)



 itm 
 itm 
  atm otm
( ...) 
atm1000 1000
a lc975 30
  1000-975 = 25
   25 5
5 ( ...) 
atm1000 1000
b lp975 15
A  otm
 15 

itm  +
atm otm

 2
syn lf = lc+sp
syn sf = lp+sc

Page 50 of 59

 19 20   
 5

http://www.tfex.co.th/tfex/dailyMarketReport.html?locale=th_TH

1 

 Arbitrage
 1000 atm1000
 sc950 50  lp950 5
  lc950+sp950 sf1000
syn lf997 + sf999 2 
 Arbitrage 
  
 400

  sc950   lp950
 


  
  
 0  -5 -2
***  ***

Page 51 of 59


 1013
lc1000
lc
syn lf = lc+sp

1013
lc
sp1000 23
 call put 


fu = call - put + strike price
fu (1013) = call() - put(23) + strike price(1000)
1013 = call - 23+1000
call 36

p1100


fu = call - put + strike price
1013 = 3.5-put+1100
put = 90.5

Q: sp1000 23
A:

 last  put strike 1000

Page 52 of 59

Q: 
A: 


Q: LC P P
A:
Q: (C) (P) P
A:

 
Q: P  C
A:




  itm

1000
c950 c975



atm 
2  



 


  50

Page 53 of 59

atm 1000 3 put1000 5

995

 
  
 put1000 5   30
 5  30
*** ***
Q:

 1000 lc950 50 
A:   0.1


Q:
A:  put 

Q:  put950
 7.6
A: fu = call put + strike price [F = C P + X]

1013 = call - 7.6 + 950

call = 70.6
Q: put 
A:  strike price 
Q:

A:


 
Q:
A:   
Q:  1000 atm1000

 sc950 50  lp950 5
  lc950 + sp950 sf1000
syn lf997 + sf999 2 
 2 ?
A: Syn lf + sf
:
: 100%

Page 54 of 59

 : lf sf
: 2
Q: Sf set50
: 0
Q:  SF  2 
option

:
: op  expire
:
A:   
 
   

 400


*** 5 ***

23
c1000  fu1050 p1000 = 8
24
p1050  fu1050 c1050 = 26
25
p1000  fu1050 c1000 = 60
26
c1100  fu1050 p1100 = 70
27
p1100  fu1050 c1100 = 0.5

Page 55 of 59

=============== 08/04/2015 ===============

*** ***

23
c1000  fu1050 p1000 = 8
fu = call-put+strike
1050 = call-8+1000
call = 58

24
p1050  fu1050 c1050 = 26
fu = call-put+strike
1050 = 26-put+1050
put = 26

25
p1000  fu1050 c1000 = 60
fu = call-put+strike
1050 = 60-put+1000
put = 10

26
c1100  fu1050 p1100 = 70
fu = call-put+strike
1050 = call-70+1100
call = 20

27
p1100  fu1050 c1100 = 0.5
fu = call-put+strike
1050 = 0.5-put+1100
put = 50.5

-2-6
 


2   

Page 56 of 59

 1 :
1. 
2. 1005  
3.  1016 10
4. lc1025 
10
5. 1
6. 2  6 2. 7
6.1  
6.2
6.3 spread
6.4 spread be be lc s
strangle
7. l strangle
8.   2 be
9. s strangle
10.  lc  lp
***  1 ***
 2 :
1. 
2.  1075  975
3.  1016  50 45
4.
 s strangle
5.  
lf sc
6. 
sf sp
7.

8. 1
9. 

***  2 ***


 
Q: -2-6


A: 0 

Page 57 of 59

l option  
s option 

 


 



Q:  tfex 5


A:

 
Q: Option tfex  Sideway

A: 
   
Q: 2

set 50  SC SP OTM Tfex ( )


A: sc sp
Q: 
A: 2

Q:


A:
 3 

Page 58 of 59

******************

******************

 = + (etc...)
   call   call
 

 call 2
:
: 

Q: 2

A:


1 : 
2 :

Q: sc sp otm 
A:
 
Q:  2   SC LF
A:  sp sc  
1. sc
2. sc lf
Q:
A:  1
Q: SC
A: sc lf   
Q: OK SP SC 1000  SC LF SP
A:   

Page 59 of 59