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Derivatives Strategy : Ayudhya Securities

Derivatives Market Snapshot
Contract Exp Date Closed Chg. Open Int. Theory
SET50 436.41 -14.23
S50U08 29-Sep-08 434.1 -8.1 17,780 436.84
S50Z08 29-Dec-08 431.5 -9 6,176 440.65
S50H09 30-Mar-09 430.2 -11.8 217 438.63
S50M09 29-Jun-09 427.9 -13.3 104 436.68
S50U08C430 29-Sep-08 10.1 -8.9 22 14.02
S50U08C440 29-Sep-08 7.3 -8.6 30 8.97
S50U08C450 29-Sep-08 5.1 -2.4 107 5.35
S50U08P430 29-Sep-08 9.9 6.9 47 7.79
S50U08P440 29-Sep-08 12.5 4.5 98 12.72
S50U08P450 29-Sep-08 20 5.1 74 19.08
Source: TFEX and AYS Research

Sensitivity Analysis
Stock Mkt Cap Weight Price Chg. Impact on SET50
(Bt mn) (Bt) (pts)
PTT 643,883 18.30% -10 -3.5
PTTEP 426,574 12.10% -5 -2.05
ADVANC 263,595 7.50% 0.5 0.18
BBL 196,611 5.60% -7 -1.66
SCC 168,000 4.80% -5 -0.74
KBANK 150,775 4.30% -2 -0.59
SCB 133,276 3.80% -2.5 -0.59
BAY 109,335 3.10% -1 -0.75
PTTCH 91,307 2.60% -2.5 -0.46
TOP 90,781 2.60% -1.5 -0.38
Source: TFEX and AYS Research

Net Buy/Sell (Contracts)
16-Sep BUY SELL NET
Institution 2,498 2,791 -293
Foreign 839 1,465 -626
Retail 5,613 4,694 919

Market Recap & Trend: S-T rebound likely after global markets bounce.
The SET50 lost14.23 points yesterday on concerns over the possible collapse of more major
financial firms, especially American Insurance Group (AIG). News that the US Fed provided financial
aid worth US$85bn in exchange for an 80% stake in AIG pushed stock markets up worldwide, which makes
a rebound look very likely today.

Futures Strategy: Trading in a range of 440-448.
We recommend trading in a range of 430-440 and 448 today, but do not hold positions overnight
as the market will remain volatile.

Options Strategy: Long straddle.
Given that the SET50 will likely be highly volatile, we advise a long straddle, as this will
enable investors to obtain a gain during strong market fluctuations.

Options Price
Spot SET50 436.41
Strike Price 440
Options Premium 7.3 + 12.5
Theoretical Price 8.97 + 12.72
Implied Volatility N.A.

Pay-off Profile Greeks
Max Gain: Max (X – S, S - X) Delta N.A.
Max Loss: Call + Put Premium Gamma N.A.
Options Characters Theta N.A.
Unlimited Gain/Limited Loss Vega N.A.
Pay Premium Rho N.A.
Source: AYS Research

//www.ays.co.th
Adisak Phupiphathirungul, CFA
Analyst Registration No. 17737
Email: Adisak@ays.co.th

By Ayudhya Securities Public Company Limited on Sep 17, 2008

Create Date : 17 กันยายน 2551

Last Update : 17 กันยายน 2551 11:26:59 น.

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