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Derivatives Strategy : Ayudhya Securities

Derivatives Market Snapshot
Contract Exp Date Closed Chg. Open Int. Theory
SET50 459.92 6.26
S50U08 29-Sep-08 455.7 8.1 18,477 460.57
S50Z08 29-Dec-08 454.3 7.7 6,068 464.61
S50H09 30-Mar-09 455.5 7 209 462.8
S50M09 29-Jun-09 454.7 6.7 104 461.08
S50U08C450 29-Sep-08 15.7 2.2 72 17.26
S50U08C460 29-Sep-08 11.7 4.6 75 11.76
S50U08C470 29-Sep-08 5.9 1.8 169 7.58
S50U08P450 29-Sep-08 7.3 -4.9 84 7.5
S50U08P460 29-Sep-08 11.8 -5.2 65 11.99
S50U08P470 29-Sep-08 14.9 -9.1 65 17.79
Source: TFEX and AYS Research

Sensitivity Analysis
Stock Mkt Cap Weight Price Chg. Impact on SET50
(Bt mn) (Bt) (pts)
PTT 689,068 18.60% 4 1.4
PTTEP 453,028 12.20% 3 1.23
ADVANC 260,633 7.00% 1.5 0.55
BBL 215,699 5.80% 2 0.47
SCC 177,600 4.80% -2 -0.3
KBANK 161,545 4.40% 1 0.3
SCB 142,795 3.80% 2 0.47
BAY 120,268 3.20% 0.4 0.3
PTTCH 100,288 2.70% -1 -0.19
TOP 96,391 2.60% 0.75 0.19
Source: TFEX and AYS Research

Net Buy/Sell (Contracts)
12-Sep BUY SELL NET
Institution 1,179 1,320 -141
Foreign 187 236 -49
Retail 2,322 2,132 190

Market Recap & Trend: Rebound may be restrained by Lehman woes
The SET50 closed up 6.29 points on Friday on expectations PM Samak Sundaravej would not be
voted back to power and that the state of emergency would be lifted, which actually occurred yesterday.
The market may view Samak’s exit over the weekend positively on the hope of a breakthrough of the
political impasse, which suggests a rebound today. However, this may be restrained due to increasing
concern over Lehman Brothers, whose future now looks increasing doubtful after Barclays Plc. is
indicating it will walk away from a takeover, which could result in sell-offs of financial shares in
the US, a contagion that may spread to markets in Asia, including the SET.

Futures Strategy: Long positions become competitive as S50U08 rose above the stop-loss level.
Holding/opening long positions becomes a competitive strategy after the S50U08 contract rose
above the stop-loss level of 453 points. Still, the upside will be capped by a financial problem of
Lehman Brothers. A resistance is 460-464.

Options Strategy: Open long call options.
We continue to recommend open long call options at a strike price of 460 points with a premium
not exceeding 10 points.

Options Price
Spot SET50 459.92
Strike Price 460
Options Premium 11.7
Theory Price 11.76
Implied Volatility 31.82


Pay-off Profile Greeks
Max Gain: Max (S – X, 0) Delta 31.82
Max Loss: Call Premium Gamma 1.34
Options Characters Theta -0.3885
Unlimited Gain/Limited Loss Vega 0.3711
Pay Premium Rho 0.0914
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 15, 2008


Create Date : 15 กันยายน 2551
Last Update : 15 กันยายน 2551 15:30:43 น. 0 comments
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