(DERIVATIVES)

(Underlying Asset)

" " " "

"" " "

1. (FUTURES)

2. (OPTIONS)

3. (FORWARD)

4. (SWAP)

() () (TFEX) 2
(FUTURES) (OPTIONS)

SET50 Index Futures 28 2549

SET50 Index Options 29 2550

...
?

 Price / Time priority

(Bid) (Offer)




TFEX


(TCH)









(MARGIN)



MARK-TO-MARKET
SETTLEMENT PRICE SETTLEMENT PRICE

TCH

1.

2.



(Initial Margin)

3.







4.
Mark to
Market




(Maintenance Margin)
Margin Call

Mark to market
Mark to Market





5.


- ?
- ?

(
)

(Nearby contract)

1. MARKET ORDER
(
)

2. LIMIT ORDER
( )
3. STOP ORDER
STOP
ORDER 2
STOP MARKET ORDER MARKET ORDER

STOP LIMIT ORDER LIMIT ORDER

DAY ORDER



GOOD-TILL-EXPIRED

GOOD-TILL-DATE

FILL-OR-KILL (FOK)
( )

S50H09 497.3 20 FOK
497.3
10

S50H09

10
497.3
2
497.2

497.4
497.5
497.6

17
15
10

 FILL-AND-KILL (FAK) FILL-OR-KILL (FOK)

( ) FILLAND-KILL (FAK)

497.3 20 FAK 497.3 10 10

SET50 Index Futures

SET50 Index Futures
SET50 Index Futures SET50
SET50 SET50 Index Futures
SET50

 SET50 (SET50 Index)

SET50

50
(Futures)

(Futures)
"

SET50

50

SET50
SET50
SET50 Index Futures ?
SET50 Index Futures SET50

SET50
SET50

 SET50 Index Futures

(Cash settlement) SET50 1 1,000 ( = 1,000
) SET50 Index Futures 500 505 5 (505 500
= 5 ) 5,000 (5 x 1,000 = 5,000 )
SET50 Index Futures
SET50 Index Futures

SET50 Index Futures
Long Position
SET50 Index Futures

Short Position
SET50 Index Futures
SET50 SET50 Index Futures SET50 Index Futures
SET50 SET50 Index Futures
SET50 SET50 SET50 Index Futures
SET50 SET50 Index Futures
SET50 SET50
Index Futures
1,000

1 .. 2551 SET50 Index Futures 600

15 ..
SET50 Index Futures
610
2551

610 600 = 10
( 1 = 1,000 )
10 x 1,000 = 10,000
SET50 Index Futures
SET50
SET50 Index Futures

1 1,000

 10 ..
2551
17 ..
2551

SET50 Index Futures

550

SET50 Index Futures 530

( 1 = 1,000 )

550 530 = 20
20 x 1,000 = 20,000

(
)
(Offset)

( )
(Long Position) (Short Position)

(Short Position) (Long Position)

10 .. SET50 Index Futures
(Short Position)
2551

17 .. SET50 Index Futures 1 + 1

2551

=
17 2551

(
)



SET50 30
(Final Settlement Price)

 1 .. 2551
28 .. 2551

SET50 Index Futures 550

TFEX 580
580 550 = 30
1 = 1,000 = 30,000
28 .. 2551 2551

SET50 Index Futures

SET50 Index Futures SET50 SET50 Index
Futures SET50
510.20 510.20
(Futures Price)

SET50 Index Futures

1 520.10, 520.20, 520.30 520.40
520.24

0.1 0.1
Tick size


( Multiplier) SET50 Index
SET50 Index
1,000 SET50 Index Futures SET50
Index Futures1 500 (Contract Size) 500 X 1,000
= 500,000
SET50 Index Futures= x 1,000

(Price Limit) SET50 Index Futures
30%
(Mark to market)
Price Limit
30%

10%, 20% 30%

(Trading hour)


: 9:15 9:45 .

: 9:45 12:30 .

: 14:00 14:30 .

: 14:30 16:55 ..
SET50 Index Futures 15 15

 SET50 Index Futures

SET50 Index Futures

= 30
= 29

SET50 Index Futures
1

= 30
( 31 )

= 29


(Position Limit) SET50 Index Futures

- 20,000
- 20,000
Position Limit




SET50 Index Futures 500

A SET50 Index Futures 2548 1
A
"
" SET50 Index Futures 50,000 1 "
"
30,000 50,000

/ /

(1 = 1,000

)
()

1 .. 480

()
50,000

485

+ 5,000

55,000

2 ..

458

- 27,000

28,000

3 .. A

4 .. 475

+ 22,000
465

50,000

+ 7,000

57,000

+10,000

67,000

1 ..
1 SET50 Index Futures 480 A

mark to market 485 5 5,000 A

50,000 + 5,000 = 55,000
2 ..
2 458 458
485 = 27 27,000 A
55,000 - 27,000 = 28,000
A 30,000

 A 22,000
50,000

3 ..
. 22,000 Mark to market 465
465 + 465 = 7 7,000 57,000
4 ..
. 475 .
10,000 67,000
/
.

=
= (475 480 ) x 1,000
= 5,000

5,000 27,000 + 7,000 + 10,000 = 5,000

Mark to Market


SET50 Index Futures
1.
SET50 3
"" SET50

" " " "
"" ""

2.
SET50 Index Futures
: SET50 Index Futures

 (Exposure) 50 50
500,000

500,000
SET50 Index Futures
10%
1 500,000
50,000
: 50
SET50 SET50

5,000 50,000
10% 1%
Leverage

:

SET50 Index
Futures
: SET50 Index Futures
50 Futures

SET50 Index Futures

SET50 Index Futures

1.

""
""

2.



3. Leverage


SET50 Index Futures

SET50 Index Options
(Options)





(Premium)

SET50
50
SET50 6

50

SET50 Index Options ?
SET50 Index Options
SET50 (Exercise Price)
SET50 Index Options

 SET50 Index Options

SET50 Index Options
2
(Call Options) (Put Options)
1.




2.





(Call options)
(Put option)
( )
Long Position

Short Position


SET50 Options TFEX
SET50 Index Call Options SET50
Index Put Options
SET50 Index Options..
SET50 Options European Style
(Last Trading Day)
SET50 Options (Offset
Position)

 SET50 Options SET50 Options

SET50 Options

Long SET50 Call

Options
Short SET50 Put
Options

()

Long SET50 Put Options
( )

Short SET50 Call

Options

1. SET50 Call Options

(Long) SET50 Call Options

SET50 SET50 Call Options
SET50 SET50 Call Options
SET50
SET50 SET50 Call Options

 SET50 Call Options

SET50 Call Options
SET50 Options Series
(Cut Loss) SET50
Options Series
/ SET50 Call Options
( ) ( )
200 ( 1 = 200 )

SET50
*
- SET50* <=
- SET50* > (
SET50* - ) x 200 ( 1 = 200 )

* SET50 (Final Settlement
Price) TFEX

2. SET50 Put Options

(Short) SET50 Put Options

SET50 Put Options
SET50
SET50 Put Options
SET50
SET50 SET50 Put Options SET50 Put Options

SET50 Put Options

SET50 Put Options
SET50 Put Options
(Cut loss)
/ SET50 Put Options ( ) x
200 ( 1 = 200 )

SET50
- SET50* <
= ( SET50) x 200 ( 1 = 200 )

!!!

- SET50* >= SET50 Put Options

* SET50 (Final Settlement
Price) TFEX

3. SET50 Put Options

(Long) SET50 Put Options

SET50 SET50 Put Options SET50
SET50
SET50 Put Options
(Long) SET50 Put
Options
SET50 Put Options
SET50 Put Options

/ SET50 Put Options ( ) (
) x 200 ( 1 = 200 )

 SET50

- SET50* < = ( SET50*) x 200
- SET50* >=

* SET50 (Final Settlement
Price) TFEX

4. SET50 Call Options

(Short) SET50 Call Options

SET50 Call Options
SET50
SET50 Call Options
SET50 SET50
SET50 Call Options SET50 Call Options

SET50 Call
Options
SET50 Call Options
SET50 Call Options SET50 Call Options
(Cut Loss)
/ ( ) (
) x 200

 SET50*
- SET50* <


- SET50* > SET50 Options
= ( SET50 ) x 200



* SET50 (Final Settlement
Price) TFEX

SET50 Options SET50 Options

(Offset Position)
Series

SET50 Options Series
SET50 Options Series


SET50 Options

SET50 Options
SET50 SET50 Options 50
SET50 SET50 Options
(Cash Settlement) SET50 1 200


(TCH)
SET50 Call Options
SET50*>

= SET50 -

SET50* <
SET50 Options

SET50 Put Options
SET50* >
SET50 Options

SET50* <
= SET50

* SET50 (Final Settlement Price)
TFEX

 SET50 Index Options

( Multiplier) SET50 Index

SET50 Index 200 SET50 Index Call Options
50
50 x 200 = 10,000
5
SET50 FUTURES 1 = 1,000
SET50 OPTIONS 1 = 200

SET50 Index Option

SET50 Index Option Series

Series

Series Series

SET50 OPTIONS

SET50 FUTURES

SET50 Index Option

= 30
= 29

( Exercise Price) SET50 Index Options
Series 10 SET50 Options
500, 510, 520 515
SET50
SET50 Options SET50
SET50 Options

11

 SET50 5
SET50 1
SET50 5
1 SET50 490 (2..) SET50 Options

(Premium)
(Index Point )
SET50 Call Options 20.30 20.30
1
20.10 , 20.20 , 20.30 2
20.38

(Trading hour)

 : 9.15 9.45 .

: 9.45 12.30 .
: 14.00 14.30 .

: 14.30 16.55 ..
SET50 Index Options 15
15


SET50 Index Options European style
(Last Trading Day)

SET50 Options (Offset

Position) SET50 Options SET50
Options SET50 Options


1. (UNDERLYING PRICES)

()

AAA 10 AAA 10 12
10

2. (EXERCISE PRICE)

2


AAA 20 18
18 20




3. (VOLATILITY)

4.


4

1


5.

AAA 1 110
5% 104.76
1 5.24 1 104.76 110
10% 100

1 110




6.

SET50 Index options
1.
SET50 SET50 Options


SET50 SET50 Put Options


2. SET50 Options

SET50 Options

SET50 Index Options


( Fantastic 4) Long Call
Short Put Short call Long put
Long Short

SET50 Options

Long Call Long Put

SET50 Options SET50 Options
SET50 Options
SET50 Options

Short Call Short Put Long Call Short Call


- long SET50 Futures
Long SET50 Call Options SET50


-

- Short Futures
Short SET50 Call Options

- (Sideways)


-
Long SET50 Put Options -

- Short Futures

- (Sideway)
Short SET50 Put Options -

- Long Futures

Options

Options Long
Options Long Call Long Put Short
( )
Long SET50 Call Options
Long SET50 Put Options
Options Short

SET50 Index Futures SET50 Index options

 SET50 Index Futures

S50 SET50 Index


SET50 Index Futures


6 / /
S50Z08 SET50 Index Futures 2008

SET50 Index options

SET50 Index options SET50 Index Futures
SET50 Index Futures

SET50 Index Options

10
/ / / /
S50Z07C520 Call Options SET50

2007 520
S50Z07P550 Put Options SET50

2007 550

Gold Futures
Gold Futures ( )

(TFEX ) () (TCH)
(...)





(Cash settlement)







(Gold Spot Price)

15,000 6 15,500
6 15,500

15,500 6




1 10
(Initial Margin)

5% 50 14,000

700,000

50,000 ( )

1
1

14,000

14,500

14,700

14,700

50

35,000 *

10,000

3 0

700,000

50,000

5%

* 1 50
(14,700 - 14,500) x 50 = 10,000

20%

1
1

14,000

13,700

13,300

13,300

50

35,000 *

20,000

3 0

700,000

50,000

5%

* 1 50
(13,700 - 13,300) x 50 = 20,000


(
.. 2541 .. 2550)
3 (Correlation) -0.24
(SET Index ) -0.09


(Inflation Hedge)


TFEX 1,000

TFEX

40%



TFEX

() () TFEX

.. 2546

TFEX () (TCH)

(...)
TFEX




( Initial Margin)








(Maintenance Margin) (Margin Call)

Mark to
Market


1 2552 14,000 A
2 14,500
2552 14,300 ()

A
14,300
50,000
35,000 ( )

1 .. 14, 3 00

2 ..
3 ..
4 ..

5 .. 14,200

/ *
14,380
14,100
13,940

4,000
-14,000
-8,000
18,000

14,100
14,200

8,000
5,000

50,000
54,000
40,000
32,000
50,000
58,000
63,000

* 1 50
50
1 ..
1 A 14,300 1
A (Settlement Price)

14,380 A 4,000 (14,380 - 14,300 ) x 50 ( 1

50 ) A A
50,000 + 4,000 = 54,000
2 ..
2 14,100 A ( 14,100 14 ,380) x 50 = -14,000
A A 54,000 - 14,000
= 40,000
3 ..
3 13,940 A (13,940 14,100) x 50 = -8,000
A A 40,000 - 8,000 =
32,000 (35,000 ) A

( 50,000 ) A
50,000 32,000 = 18,000
4 ..
A 18,000 14,100 A
(14,100 - 13,940 ) x 50 = 8,000 A 50,000 + 8,000 = 58,000
5 ..
A 14,200
A (14,200 - 14,100) x 50 = 5,000

58,000 +
5,000 = 63,000
/
A

= -
= (14,200 - 14,3 00) x 50
= -5,000

 Mark to Market 4,000 - 14,000 - 8,000 + 8,000 +

5,000 = - 5,000 ( 18,000 A
)

A A
A
A
= ( - ) x 50 A




1 10