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Derivative Market - ʶҺѹԨ¹ǧ



Futures Trading Strategy : SET 50 Index

ѭѡɳ ҤһԴ ҳë͢ ʶҹФҧ ¹ŧʶҹФҧ
(ش) (ѭ) (ѭ) (ѭ)
2/10/2551 3/10/2551 2/10/2551 3/10/2551 2/10/2551 3/10/2551 2/10/2551 3/10/2551
S50Z08 418.6 413.4 7,340 5,594 20,337 20,137 -210 -200
S50H09 418.8 413.7 191 115 424 424 42 -
S50M09 520.2 415 1 1 128 129 1 1
S50U09 416.3 412.5 - 1 2 3 - 1
7,532 5,711 20,891 20,693 -167 -198

Ťҡëͧ͢ѡŧع áѹ 3 .. 2551 á͹ѧ
Long Short Net 1 .. 3 ..
ʶҺѹ㹻 1,319 1,512 -193 -255
ѡŧعҧ 578 626 -48 -48
ѡŧع㹻 3,814 3,573 241 303
5,711 5,711

SET50 SET 50 Դ 410.98 Ŵŧ 5.52 ش
SET50 ͧҧ෤ԤѧԴѭҳѺǢ ͧҡѧ͹ mav. 5 mav. 10
ա breakdown ѹ͹

ͺ͹ SET50 ͹㹡ͺ 402-415
ҳë͢ Ŵŧ 24.1% ҡѹ͹˹
ѭҷʶҹФҧ Ŵŧ 0.9% ҡѹ͹˹
ҤһԴͧѭ S50Z08 = -5.2 (413.4) S50H09 = -5.1 (413.7)

Ѩ·ԷԾѹ SET50 Sideway down
- Ҵ졻ԴŴŧ 157.47 ش ͧҡѡŧع ҵááͺҤԹͧѰŤ
7 ʹҹҹ繪ͺҡҤͧǹ ЪɰԨʹ鹨ҡ༪ԭػäҧǴ
ͧҡʶҹó㹵ҴԹѧ֧
- ҤҹѹԺ㹵Ҵǧ˹ NYMEX ԴŴŧ 9 ૹһԴҴ 93.88 ͺ
- ѡŧعҧ Short ط 48 ѭ
- Ҵ spot ѡŧعҧȢط 698 ҹҷ

طŧع TFEX Short position ͹䢡ŧعҡѧҹ 415 ش/秡 short position
- ѭҳҧ෤Ԥشͧ S50Z08 ͧҧ෤Ԥѧҹ͹䢡ŧعҹ֧繢ŧ
й short Դ short position

ͺ͹ S50Z08 ͹㹡ͺ 402-415
͹䢡ŧع : S50Z08 > 415 Long
S50Z08 < 415 Short

ʶҺѹԨ¹ǧ Шѹ 6 Ҥ 2551


Create Date : 06 Ҥ 2551
Last Update : 6 Ҥ 2551 10:30:13 . 0 comments
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