Technical Analysis - - PowerPoint PPT Presentation
Technical Analysis !" ! #$ DW '()*+ , ,#, CFA, FRM 34+,(!5 13
'()*+ , ,ก#, CFA, FRM 34+,(!5 13 89+ 2556
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(Cash Settlement) ,-ก./01
– 23 = Max(0, 9:/ ; <=/ DW > 1) * 1
– 23 = Max(0, 1 > 9:/ ; <=/ DW) * 1
– ก 2/3 กก@AB DW -ก11C – ก-ก1กD EAF/ 23 ,9;G=H-IJ-,99K
)*+,ก+-../- ,0 DW $!&1กก,(234%56&,0%7$0, DW
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Intrinsic Value = AF-H,ก DW L-ก11--M- (H= F /ก.1 DW )
Call DW : Intrinsic Value = Max((B7,,! C 4!$D!, 0)*,%ก4!$D! Call DW - Intrinsic Value 9T.ก =H DW 9T In>the>Money (ITM) Call DW - Intrinsic Value 9T@AB =H DW 9T At>the>Money (ATM) = Out>of>Money (OTM)
Time Value = AF-HกF/--HG=H<=F(CกF/) 1 DW -HL=-Cกก,
Call Warrant: Time Value = Call DW C Intrinsic Value
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Intrinsic Value = AF-H,ก DW L-ก11--M- (H= 1 DW ก.F/)
Put DW : Intrinsic Value = Max(4!$D! L (B7,,!, 0)*,%ก4!$D! Put DW - Intrinsic Value 9T.ก =H DW 9T In>the>Money (ITM) Put DW - Intrinsic Value 9T@AB =H DW 9T At>the>Money (ATM) = Out>of> Money (OTM)
Time Value = AF-HกF/--HG=H<=F(CกF/) 1 DW -HL=-Cกก,
Put Warrant: Time Value = DW C Intrinsic Value
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1) 1 DW (Exercise Price) [@ 3 0] 0F 2) ก1 (Conversion Ratio) [@ 5 0]
A B A shares Stock Split split/consolidated into B shares S – D S D Cash Dividend baht/share A A + B B new Dividend Stock share for A old shares Old Conversion Ratio F Old Exercise Price x F 1 + (R/S x N) 1 + N N new Right Issue shares for 1 old shares at R baht/share Case Formula Adjustment Factor (F) Adjusted Exercise Price Adjusted Conversion Ratio
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กEAF/กEF.0Am .F/1 OTM DW G- Effective Gearing A 0กnGDG OTM DW --HAก ITM DW G OTM DW 0ก /0ก.ก0FF.
=HFE,9 1 ก/-H,.
L/-H 1 DW FF 0.01 .
ก<=/ DW ก/A-H Time Value DW FFn0F /0ก
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ก 1ก 1ก,
– L Implied Volatility Aก0 DW 0Gก ,ก.ก<= – L Implied Volatility Hก0 DW LAกก ก.ก<=
170 180
4!$D!
28 ก.G. 2557 31 .. 2557 24 .. 2556
%56&,0%7$
0.05 1.81 50% SCB99CC 0.025 0.75 55% SCB99CB 0.03125 0.91 65% SCB99CA
,%4!$D! DW Implied Volatility Call DW
Implied Volatility -.ก ก, SCB99CC 9T-HLAกก=Hm=H0.. GB G- Implied Volatility H/ = 50% - LF=ก<=G;<= SCB99CC
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(กL= DW /) – Break>even point = 120 0 /9:-H 120 .1<=/ DW D1 DW -HF/,9/ H= -H,กก1 ก. /-H<= DW – 0 Break>even point -,x.กG ก DW กF A0F ก-HL= DW ,9/0F,ก, Cกก
/) – All>in>Premium = 20% 0 /DLD 20% DW D/
9z/. (กL= DW /) – Doubling Factor = 25% 0/D,9 25% DW DHD 100% ก
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0.25 CPN 0.2 LH 1 SCB 0.5 TCAP 0.2 IVL 1 AOT 0.25 0.25 1 1 2 0.5
Box Size
BGH THAI MINT DTAC ADVANC INTUCH
Underlying Asset
0.1 TRUE 4 SCC 0.2 KTB 0.5 KK 1 0.1 0.25 1
Box Size
KBANK JAS CPF BBL
Underlying Asset
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Avg 1 = 5 Avg 2 = 13 Avg 3 = 34 Avg 4 = 100 Avg 5 = 200
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0.05 50 23 .. 56 CPN42CD 0.14286 11.50 23 .. 56 LH42CC 0.03125 178 23 .. 56 SCB42CE 0.06250 44 23 .. 56 TCAP42CD 0.10 22 23 .. 56 IVL42CE 0.02857 135 23 .. 56 AOT42CD 23 .. 56 23 .. 56 23 .. 56 23 .. 56 23 .. 56 23 .. 56
!]^_+ !(*$+
0.03125 165 BGH42CC 0.07143 33 THAI42CD 0.125 23.50 MINT42CD 0.02857 110 DTAC42CD 0.01429 255 ADVA42CD 0.05 80 INTU42CB
!, ก($5 ($5 ("$) CALL DW
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0.00633 394.650 31 ก.. 56 SCC42CD 0.01266 182.652 31 ก.. 56 KBAN42CE 0.40514 4.838 31 ก.. 56 JAS42CA 0.05083 27.545 31 ก.. 56 CPF42CD 0.01275 186.266 31 ก.. 56 BBL42CE 0.12725 17.682 31 ก.. 56 KTB42CD 0.05101 44.106 31 ก.. 56 KK42CA 0.40 4.60 31 ก.. 56 TRUE42CB !]^_+ !(*$+ !, ก($5 ($5 ("$) CALL DW
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