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Derivative Market - ʶҺѹÇԨѹ¤ÃËÅǧä·Â



Futures Trading Strategy : SET 50 Index
ÊÑ­Åѡɳì ÃÒ¤Ò»Ô´ »ÃÔÁÒ³¡Òë×éÍ¢Ò ʶҹФ§¤éÒ§ ¡ÒÃà»ÅÕè¹á»Å§Ê¶Ò¹Ð¤§¤éÒ§
(¨Ø´) (ÊÑ­­Ò) (ÊÑ­­Ò) (ÊÑ­­Ò)
15/10/2551 16/10/2551 15/10/2551 16/10/2551 15/10/2551 16/10/2551 15/10/2551 16/10/2551
S50Z08 328.9 320.6 12,773 17,020 23,270 25,298 231 2,028
S50H09 327.7 319 436 780 516 792 3 276
S50M09 328.6 320.3 14 113 102 96 -7 -6
S50U09 328 319.7 8 53 19 20 3 1
13,231 17,966 23,907 26,206 230 2,299

ÁÙŤèÒ¡Òë×éͧ͢¹Ñ¡Å§·Ø¹ ¸ØáÃÃÁÇѹ·Õè 16 µ.¤. 2551 ¸ØáÃÃÁÊÐÊÁÂé͹ËÅѧ
Long Short Net µÑé§áµè 1 µ.¤. – 16 µ.¤.
ʶҺѹ㹻ÃÐà·È 6,366 5,415 951 2,069
¹Ñ¡Å§·Ø¹µèÒ§»ÃÐà·È 822 2,559 -1,737 -289
¹Ñ¡Å§·Ø¹ã¹»ÃÐà·È 10,778 9,992 786 -1,780
ÃÇÁ 17,966 17,966

á¹Çâ¹éÁ SET50 SET 50 »Ô´·Õè 333.27 Ŵŧ 1.81 ¨Ø´
SET50 ã¹ÁØÁÁͧ·Ò§à·¤¹Ô¤à¡Ô´ÃٻẺ¡ÒôմµÑÇÃÐÂÐÊÑé¹ áµèÂѧÍÂÙèãµé mav. 10 ´Ñ§¹Ñ鹡ÒÃà¤Å×è͹äËÇã¹Çѹ¹Õé
¨Ðà»ç¹ÅѡɳРsideway - sideway up

¡Ãͺ¡ÒÃà¤Å×è͹äËÇ SET50 à¤Å×è͹äËÇ㹡Ãͺ 326-345
»ÃÔÁÒ³¡Òë×éÍ¢Ò à¾ÔèÁ¢Öé¹ 35.7% ¨Ò¡Çѹ¡è͹˹éÒ
ÊÑ­­Ò·ÕèÁÕʶҹФ§¤éÒ§ à¾ÔèÁ¢Öé¹ 9.6% ¨Ò¡Çѹ¡è͹˹éÒ
ÃÒ¤Ò»Ô´¢Í§ÊÑ­­Ò S50Z08 = -8.3(320.6) S50H09 = -8.7 (319.0)

»Ñ¨¨Ñ·ÕèÁÕÍÔ·¸Ô¾ÅÇѹ¹Õé SET50 Sideway up
- µÅÒ´¹ÔÇÂÍÃì¡»Ô´à¾ÔèÁ¢Öé¹ 401.35 ¨Ø´ à¹×èͧ¨Ò¡¹Ñ¡Å§·Ø¹à¢éÒ«×éÍËØé¹ÍÂèÒ§¤Ö¡¤Ñ¡ËÅѧ¨Ò¡ÃÒ¤Ò¹éÓÁѹ´ÔºÅ´Å§
µèÓ¡ÇèÒÃдѺ 70 ´ÍÅÅÒÃì/ºÒÃìàÃÅ ÍÂèÒ§äáçµÒÁ ÀÒÇСÒë×éÍ¢Ò¤è͹¢éÒ§¼Ñ¹¼Ç¹à¹×èͧ¨Ò¡¹Ñ¡Å§·Ø¹Âѧ¤§ÇÔµ¡¡Ñ§ÇÅà¡ÕèÂǡѺ
¢éÍÁÙÅàÈÃÉ°¡Ô¨·Õ諺à«Ò ÃÇÁ¶Ö§¢éÍÁÙÅÀÒ¤¡ÒüÅÔµáÅÐÂÍ´¤éÒ»ÅÕ¡
- ÃÒ¤Ò¹éÓÁѹ´Ôºã¹µÅÒ´Åèǧ˹éÒ NYMEX »Ô´Å´Å§ 4.69 ´ÍÅÅÒÃìÁÒ»Ô´µÅÒ´·Õè 69.85 ´ÍÅÅÒÃìµèͺÒÃìàÃÅ
- ¹Ñ¡Å§·Ø¹µèÒ§»ÃÐà·È Short ÊØ·¸Ô 1,737 ÊÑ­­Ò
- µÅÒ´ spot ¹Ñ¡Å§·Ø¹µèÒ§»ÃÐà·È¢ÒÂÊØ·¸Ô 685 ÅéÒ¹ºÒ·

¡ÅÂØ·¸ì¡ÒÃŧ·Ø¹ TFEX Close Short / Open Long (Trading range)
- ÊÑ­­Ò³·Ò§à·¤¹Ô¤ÅèÒÊØ´¢Í§ S50Z08 ã¹ÁØÁÁͧ·Ò§à·¤¹Ô¤à¡Ô´¨Ø´¡ÅѺµÑÇÃÐÂÐÊÑé¹ ·ÓãËéÀÒ¾¡ÒûÃѺŧ
ÍÒ¨äÁèà¡Ô´¢Öé¹µÒÁ·Õè¤Ò´ áµè¹èÒ¨Ðà»ç¹ÅѡɳÐá¡Ç觵ÑÇ㹡Ãͺ 318-340 ¨Ø´ á¹Ð¹Ó »Ô´Ê¶Ò¹Ð Short áÅÐà¡ç§¡ÓäÃ
ÃÐÂÐÊÑé¹µÒÁà§×è͹䢡ÒÃŧ·Ø¹
¡Ãͺ¡ÒÃà¤Å×è͹äËÇ S50Z08 à¤Å×è͹äËÇ㹡Ãͺ 318-340
à§×è͹䢡ÒÃŧ·Ø¹ : ¶éÒ S50Z08 > 328 Long
S50Z08 < 308 Short

â´ÂʶҺѹÇԨѹ¤ÃËÅǧä·Â »ÃШÓÇѹ·Õè 17 µØÅÒ¤Á 2551


Create Date : 17 µØÅÒ¤Á 2551
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