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Derivative Market - ʶҺѹԨ¹ǧ



Futures Trading Strategy : SET 50 Index
ѭѡɳ ҤһԴ ҳë͢ ʶҹФҧ ¹ŧʶҹФҧ
(ش) (ѭ) (ѭ) (ѭ)
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

Ťҡëͧ͢ѡŧع áѹ 16 .. 2551 á͹ѧ
Long Short Net 1 .. 16 ..
ʶҺѹ㹻 6,366 5,415 951 2,069
ѡŧعҧ 822 2,559 -1,737 -289
ѡŧع㹻 10,778 9,992 786 -1,780
17,966 17,966

SET50 SET 50 Դ 333.27 Ŵŧ 1.81 ش
SET50 ͧҧ෤ԤԴٻẺôմ ѧ mav. 10 ѧ鹡͹ѹ
ѡɳ sideway - sideway up

ͺ͹ SET50 ͹㹡ͺ 326-345
ҳë͢ 35.7% ҡѹ͹˹
ѭҷʶҹФҧ 9.6% ҡѹ͹˹
ҤһԴͧѭ S50Z08 = -8.3(320.6) S50H09 = -8.7 (319.0)

Ѩ·ԷԾѹ SET50 Sideway up
- Ҵ졻Դ 401.35 ش ͧҡѡŧعҫҧ֡ѡѧҡҤҹѹԺŴŧ
ӡдѺ 70 / ҧá Сë͢¤͹ҧѹǹͧҡѡŧعѧԵѧǡѺ
ɰԨ諺 ֧ҤüԵʹһա
- ҤҹѹԺ㹵Ҵǧ˹ NYMEX ԴŴŧ 4.69 һԴҴ 69.85 ͺ
- ѡŧعҧ Short ط 1,737 ѭ
- Ҵ spot ѡŧعҧȢط 685 ҹҷ

طŧع TFEX Close Short / Open Long (Trading range)
- ѭҳҧ෤Ԥشͧ S50Z08 ͧҧ෤ԤԴشѺ ҾûѺŧ
ҨԴ鹵Ҵ Ҩѡɳ觵㹡ͺ 318-340 ش й Դʶҹ Short 秡
鹵͹䢡ŧع
ͺ͹ S50Z08 ͹㹡ͺ 318-340
͹䢡ŧع : S50Z08 > 328 Long
S50Z08 < 308 Short

ʶҺѹԨ¹ǧ Шѹ 17 Ҥ 2551


Create Date : 17 Ҥ 2551
Last Update : 17 Ҥ 2551 14:01:57 . 0 comments
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