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)
16/10/2551 17/10/2551 16/10/2551 17/10/2551 16/10/2551 17/10/2551 16/10/2551 17/10/2551
S50Z08 320.6 312.5 17,020 15,531 25,298 25,546 2,028 248
S50H09 319 310.8 780 376 792 809 276 17
S50M09 320.3 312.2 113 18 96 94 -6 -2
S50U09 319.7 310.9 53 31 20 21 1 1
17,966 15,956 26,206 26,470 2,299 264
ÁÙŤèÒ¡Òë×éͧ͢¹Ñ¡Å§·Ø¹ ¸ØáÃÃÁÇѹ·Õè 17 µ.¤. 2551 ¸ØáÃÃÁÊÐÊÁÂé͹ËÅѧ
Long Short Net µÑé§áµè 1 µ.¤. – 17 µ.¤.
ʶҺѹ㹻ÃÐà·È 5,565 3,819 1,746 3,815
¹Ñ¡Å§·Ø¹µèÒ§»ÃÐà·È 281 1,433 -1,152 -1,441
¹Ñ¡Å§·Ø¹ã¹»ÃÐà·È 10,110 10,704 -594 -2,374
ÃÇÁ 15,956 15,956
á¹Çâ¹éÁ SET50 SET 50 »Ô´·Õè 328.00 Ŵŧ 5.27 ¨Ø´
SET50 ã¹ÁØÁÁͧ·Ò§à·¤¹Ô¤à¡Ô´ÃٻẺ¡ÅѺµÑÇŧÃÐÂÐÊÑé¹ â´ÂµÑ´ mav. 5 ÇѹŧÁÒà»ç¹¤ÃÑé§áá ¡ÒÃà¤Å×è͹äËÇã¹Çѹ¹Õé¨Ð
à»ç¹ÅѡɳРsideway down
¡Ãͺ¡ÒÃà¤Å×è͹äËÇ SET50 à¤Å×è͹äËÇ㹡Ãͺ 312-330
»ÃÔÁÒ³¡Òë×éÍ¢Ò Ŵŧ 11.1% ¨Ò¡Çѹ¡è͹˹éÒ
ÊÑÒ·ÕèÁÕʶҹФ§¤éÒ§ à¾ÔèÁ¢Öé¹ 1.0% ¨Ò¡Çѹ¡è͹˹éÒ
ÃÒ¤Ò»Ô´¢Í§ÊÑÒ S50Z08 = -8.1(312.5) S50H09 = -8.2 (310.8)
»Ñ¨¨Ñ·ÕèÁÕÍÔ·¸Ô¾ÅÇѹ¹Õé SET50 Sideway down
- µÅÒ´¹ÔÇÂÍÃ졻ԴŴŧ 127.04 ¨Ø´ ËÅѧ¨Ò¡ÊËÃÑ°à»Ô´à¼Â¢éÍÁÙÅàÈÃÉ°¡Ô¨·ÕèÍè͹áÍáÅÐÊзé͹ãËéàËç¹ÇèÒàÈÃÉ°¡Ô¨ÊËÃÑ°
ÁÕá¹Çâ¹éÁ¶´¶ÍÂàÃçÇ¡ÇèÒ·Õè»ÃÐàÁÔ¹äÇéã¹àº×éͧµé¹
- ÃÒ¤Ò¹éÓÁѹ´Ôºã¹µÅÒ´Åèǧ˹éÒ NYMEX »Ô´à¾ÔèÁ¢Öé¹ 2 ´ÍÅÅÒÃìÁÒ»Ô´µÅÒ´·Õè 71.85 ´ÍÅÅÒÃìµèͺÒÃìàÃÅ
- ¹Ñ¡Å§·Ø¹µèÒ§»ÃÐà·È Short ÊØ·¸Ô 1,152ÊÑÒ
- µÅÒ´ spot ¹Ñ¡Å§·Ø¹µèÒ§»ÃÐà·È¢ÒÂÊØ·¸Ô 537 ÅéÒ¹ºÒ·
¡ÅÂØ·¸ì¡ÒÃŧ·Ø¹ TFEX Open Short position
ÊÑÒ³·Ò§à·¤¹Ô¤ÅèÒÊØ´¢Í§ S50Z08 ã¹ÁØÁÁͧ·Ò§à·¤¹Ô¤à¡Ô´¨Ø´¡ÅѺµÑÇŧ¤ÃÑé§ãËÁèµÒÁ¡ÒÃà¤Å×è͹äËǢͧ SET50
á¹Ð¹Ó à»Ô´Ê¶Ò¹Ð Short
¡Ãͺ¡ÒÃà¤Å×è͹äËÇ S50Z08 à¤Å×è͹äËÇ㹡Ãͺ 300-315
à§×è͹䢡ÒÃŧ·Ø¹ : ¶éÒ S50Z08 > 328 Long
S50Z08 < 328 Short
â´ÂʶҺѹÇԨѹ¤ÃËÅǧä·Â »ÃШÓÇѹ·Õè 20 µØÅÒ¤Á 2551
| Create Date : 20 µØÅÒ¤Á 2551 |
| Last Update : 20 µØÅÒ¤Á 2551 12:19:39 ¹. |
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