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14



 


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30



 


1"
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SET50 Index
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0 /6
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(P/L) *

670
680
690
700
705
710
715

0
0
0
0
5
10
15

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-1,000
-1,000
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0
1,000
2,000

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3,500
3,000
2,500
2,000
1,500
1,000
500
0
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695

700

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710

715

Limit Loss

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31


 


1"
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SET50 Index
= 12#"

0 /6
(Payoff) ()

&/%
(P/L) *

670
680
690
700
705
710
715

5
5
5
0
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-10
-15

1,000
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3,000
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1,000
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710

715

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32



 


1"
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33


 


1"
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0 /6

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= 12#"

0 /6
(Payoff) ()

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685
690
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700
705
710
715

15
10
5
0
0
0
0

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1,000
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695

700

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710

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Limit Loss

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34



 


1"
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0 /6

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= 12#"

0 /6
(Payoff) ()

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(P/L) *

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690
695
700
705
710
715

15
10
5
0
0
0
0

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0
1,000
1,000
1,000
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700

705

710

715

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35


 


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38



 


 
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51


 


.1
1 5%" (Trading Hour)
.  : .   # (.. %"&
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Morning Session
09:45. 12:30.

Pre-open
14:00. 14:30.

Pre-Open
09:15. 09:45.

Afternoon Session
14:30. 16:55.
52



 


15%"1" (Last Trading Day)

15%"1"
1"%


June
Sun Mon Tue Wed Thu Fri Sat

1 2 3 4
5 6 7 8 9 10 11
12 13 14 15 16 17 18
19 20 21 22 23 24 25
26 27 28 29 30

53


 


.1
8 4$"68

 6 +1 (Price Limit)
700 x (-30%)
= -210

-30%

490

.4
SET50

4$ ..+
%
12

700

700 x 30%
= 210

30%

910
54



 


14
#/2.+ (Settlement Method)
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55


 


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(Daily Settlement Price)
4$ ..+1"
(Final Settlement Price)
56



 


%5%" Futures
4. 2#$1/7+
8+#6 + 8/8 4$"7+%


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57


 


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58



 


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2#

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0 &
59


 


2. 8&%1 (Mark-to-Market)

B/0 j4 $ .. +8+1k (Daily Settlement
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&&
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>>>

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60



 


1"
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715.00

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(715 722) x 1,000 = 7,000

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50,000
52,000
45,000

&& 2,000  " /?.4
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61


 


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62



 


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8/8
&%
8/8
&%

722.00
715.00

(722 720) x 1,000 = + 2,000

(715 722) x 1,000 = 7,000

"

/?.4
50,000
52,000
45,000

8/8
&%

704.00

(704 715) x 1,000 = 11,000

34,000

"4$%o
1

1


$#

1

8+
$#

16,000


1


$# 16,000 / (50,000 34,000)

50,000

$1 35,000 /
63


 


4. 2#$1/7+
8i7+/2 (Offset)
#47+5
(Long Open)
#47+%"
(Short Open)

>>>

%"hi1
(Short Close)

>>>

5hi1
(Long Close)


8>??hi1%
4"1
64



 


8i7+/2 ()
. '( 4 @&VW. (W"E '( 725.00 "
4$ .
.+

& / %

5hi14$ 720 
8/8
&%
8/8
&%

722.00
715.00

(722 720) x 1,000 = + 2,000

(715 722) x 1,000 = 7,000

"

/?.4
50,000
52,000
45,000

8/8
&%

704.00

(704 715) x 1,000 = 11,000

34,000

1

8+
$#
%"hi14$ 725 

"4$%o
1

1


$#

16,000
(725 704) x 1,000 = + 21,000

50,000
71,000

7+8i
&

71,000 /
65


 


7??/2

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. 

+  (  $$/%"
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.+&%1
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66



 


7??/2 ()
E. '( 4 @!"&VW. -E  $$/%"
4$ .
.+

& / %

5hi14$ 720 
8/8
&%
8/8
&%

722.00
715.00

(722 720) x 1,000 = + 2,000

(715 722) x 1,000 = 7,000

"

/?.4
50,000
52,000
45,000

8/8
&%

704.00

(704 715) x 1,000 = 11,000

34,000
16,000

50,000

...

...

...

50,000

"4$%o
1

1

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...

...

7+8i
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55,000... /

T-1

8/8
&%

704.00

...

8/8
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709.00

(709 704) x 1,000 = + 5,000

1


$#

55,000

67


 


%5%" Options
=45 (Long) SET50 Index Options : Call 6 + Put
8i/?.45
%"/ Broker
4$&/?

P

$
"
4#4"#
(Premium)


$
5
(Long Open)

8i+

6 +/
& / %
( 
+/
2" 2
7/2)

05
"
4#4"#
68



 


=4%" (Short) SET50 Index Options : Call 6 + Put

8i/?.45
%"/ Broker
4$&/?

1

8+
(Margin)
%"


$
%"
(Short Open)

0%"
1

8+

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6 +7

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69


 


1
2 8+%
SET50 Index Options
0%"#41#4$"
4$%#1

4#4"#4&$ /
j0%"k o

1

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05

0%"

05#4%

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1
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70



 


1
2 8+
2/%" Call 2 Put 6// Outright

4#4"#4$%" (Premium Margin)

2 8+%
(Initial Margin)

1#4$"
(Risk Margin)
Margin Requirement
(Short Outright)
= Max (A,B) + Premium

14$#1
+21
A 6 + B
A  % of Futures Margin
21"# 4$ Out-of-the-Money

B  # %$
4$ TFEX 2
71


 


1"
: 1
2 8+%" Call
" . j%"k S50U11C500 4$
4#4"# 40  1 1 ?? 6 +
2 2 SET50 Index = 500  6 +8.#4 $&21%
 
4
Date
(Short) 1
End of Date
1
2
3
4

SET50 Index
(S)
500

Call Strike
Price (X)
500

Premium

Payoff

Status

40

S-X=0

ATM

SET50 Index
(S)
503
508
512
520

Call Strike
Price (X)
500
500
500
500

Daily Settlement
Price
42
45
47
55

Payoff

Status

S-X>0
S-X>0
S-X>0
S-X>0

ITM
ITM
ITM
ITM

OTM
Value
0
OTM
Value
0
0
0
0

72



 


1"
: 1
2 8+%" Call ()
## 2...
 A = j20% %
Futures Margin OTMk
 B = 3,000 / 
IM 6 + MM

Margin Requirement
(Short Outright)
= Max (A,B) + Premium

IM %
Futures = 50,000 / 6 + MM %
Futures = 35,000 /
 A (IM) = 20% IM %
Futures
= 20% x 50,000
= 10,000 /

 A (MM) = 20% IM %

Futures
= 20% x 35,000
= 7,000 /

73


 


1"
: 1
2 8+%" Call ()
Premium
Date Settlement
Price
Margin
Short
1
2
3
4

40
42
45
47
56

8,000
8,400
9,000
9,400
11,200

Premium
Date Settlement
Price
Margin
Short
1
2
3
4

40
42
45
47
56

8,000
8,400
9,000
9,400
11,200

Risk Margin
A
B
10,000 0 = 10,000
10,000 0 = 10,000
10,000 0 = 10,000
10,000 0 = 10,000
10,000 0 = 10,000

3,000
3,000
3,000
3,000
3,000

Max(A,B)
10,000
10,000
10,000
10,000
10,000

Risk Margin
A
7,000 0 = 7,000
7,000 0 = 7,000
7,000 0 = 7,000
7,000 0 = 7,000
7,000 0 = 7,000

B
3,000
3,000
3,000
3,000
3,000

Max(A,B)
7,000
7,000
7,000
7,000
7,000

Initial Margin
8,000 + 10,000 = 18,000
8,400 + 10,000 = 18,400
9,000 + 10,000 = 19,000
9,400 + 10,000 = 19,400
11,200 + 10,000 = 21,200

Maintenance Margin
8,000 + 7,000 = 15,000
8,400 + 7,000 = 15,400
9,000 + 7,000 = 16,000
9,400 + 7,000 = 16,400
11,200 + 7,000 = 18,200
74



 


1"
: 1
2 8+%" Call ()
14$

"4$%o

1
1
2
3
4

%" 4$ 40 
1 MTM
1 MTM
1 MTM
1 MTM

4$ .
.+
40
42
45
47
56

IM

MM

18,000
18,400
19,000
19,400
21,200

15,000
15,400
16,000
16,400
18,200

2 8+4$ 2 8+4$#4

1
&1 /?.4 4"// MM
18,000
> MM
18,000
> MM
18,000
> MM
18,000
> MM
18,000
< MM


4$#4 $1 MM 
1

$# 2
/ IM 

$#4 3,200 /
(21,200 - 18,000)
75


 


1"
: 1
2 8+%" Call ()
14$

"4$%o

4
5


#1

$#
58i7+

4$ .
.+
56
59

IM
21,200

2 8+4$ 2 8+4$#4

1
&1 /?.4 4"// MM
18,200
21,200
> MM
MM

% = (40 - 59) x 200 x 1 = - 3,800 /

76



 


1"
: 1
2 8+%" Put
" %. j%"k S50Z11P490 4$
4#4"# 10  1 1 ?? 6 +
2 2 SET50 Index = 500  6 +8.#4 $&21%
 
4
Short

SET50 Put Strike Premium

Index (S) Price (X)
500
490
10

End of
Date

SET50
Index (S)

1
2
3

515
490
480

Date

Payoff

Status

OTM Value

X-S<0

OTM

(500 - 490) x 200 x 1 = 2,000

Status

OTM Value

OTM
ATM
ITM

(515 - 490) x 200 x 1 = 5,000

0
0

Call
Daily
Strike Settlement Payoff
Price (X)
Price
490
6
X-S<0
490
16
X-S=0
490
20
X-S>0

77


 


1"
: 1
2 8+%" Put ()
## 2...

Margin Requirement
(Short Outright)
= Max (A,B) + Premium

 A = j20% %
Futures Margin OTMk
 B = 3,000 / 
IM 6 + MM
IM %
Futures = 50,000 / 6 + MM %
Futures = 35,000 /
 A (IM) = 20% IM %
Futures
= 20% x 50,000
= 10,000 /

 A (MM) = 20% IM %

Futures
= 20% x 35,000
= 7,000 /

78



 


1"
: 1
2 8+%" Put ()
Date

Settlement Premium
Price
Margin

Risk Margin
A

Max(A,B)

Initial Margin

Short

10

2,000

10,000 2,000 = 8,000

3,000

8,000

2,000 + 8,000 = 10,000

1,200

10,000 5,000 = 5,000

3,000

5,000

1,200 + 5,000 = 6,200

16

3,200

10,000 0 = 10,000

3,000

10,000

3,200 + 10,000 = 13,200

Date

Settlement Premium
Price
Margin

Risk Margin
A

Max(A,B)

Maintenance Margin

Short

10

2,000

7,000 2,000 = 5,000

3,000

5,000

2,000 + 5,000 = 7,000

1,200

7,000 5,000 = 2,000

3,000

3,000

1,200 + 3,000 = 4,200

16

3,200

7,000 0 = 7,000

3,000

7,000

3,200 + 7,000 = 10,200

79


 


1"
: 1
2 8+%" Put ()
14$
1
1
2
3
4

"4$%o
%"
4$ 10 
1 MTM
1 MTM
1


$#
58i7+

4$ .
.+
10
6
16
16
20

IM
10,000
6,200
13,200
13,200

2 8+4$ 2 8+4$#4

1
&1 /?.4 4"//MM
7,000
10,000
> MM
4,200
10,000
> MM
10,200
10,000
< MM
10,200
13,200
> MM
MM


4$#4 $1 MM 
1

$# 2
/ IM 

$#4 3,200 /
(13,200 - 10,000)

%
= (10 - 20) x 200 x 1
= - 2,000 /.
80



 


84"/4"/%5%"2/


5%"


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6
81


 


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82



 


UESTIONS &

NSWERS

"
#
1# 
7/

$
 
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"62
8+&"
S-E-T Call Center 0-2229-2222

www.tsi-thailand.org
83