Derivatives Strategy

Derivatives Talk
June 15, 2015
Leverage of Derivatives Products
Derivatives Strategy
Leverage
SET50 Futures: SET50 Index may continue to fluctuate. Key influencing
factors are Greek crunch solution and the FOMC meeting, while local
factors are still uncertain. We recommend trading S50M15 within a
frame of 980-991 pts.
25.00
20.00
15.00
10.00
TMB
AOT
DTAC
SCC
KTB
BTS
KKP
SCB
TCAP
INTUCH
SET50
RATCH
CPALL
BBL
PTTGC
KBANK
10BahtGold
TVO
HEMRAJ
0.00
AMATA
5.00
Single Stock Futures: A long position of TMBM15 with a premium of
B2.56 could only reach a breakeven point now. We recommend holding,
aiming to take profit at B2.80 and cutting loss at B2.53.
Derivatives Portfolio
SET50 Futures & Option
Stock Futures
GOLD
OIL
40%
30%
20%
10%
Investors’ Position
Accumulated Long(Short)
All Futures Long(Short) Position : Contract
Institution
Foreign
Retail
Long
Short
Net
43,896
54,848
(10,952)
(19,872)
(47,308)
(12,904)
6,986
14,781
(7,795)
(4,622)
(11,539)
(59,083)
84,809
66,062
18,747
24,494
58,847
71,987
Institution
Foreign
Retail
Foreign
Retail
Short
Net
30,906
29,865
1,041
(7,491)
(1,999)
53,487
6,926
14,506
(7,580)
(4,332)
(11,199)
(53,382)
54,094
47,555
6,539
11,823
13,198
Foreign
Retail
Net
11,188
22,604
(11,416)
(12,121)
(44,641)
15
217
(202)
(213)
(7)
28,548
16,930
11,618
Long
Short
Net
2,379
(577)
40
40
1,680
1,103
577
Foreign
Retail
Derivative Team
Porranee Thongyen, CISA
Short
25
9
Foreign
Foreign
Retail
64,098
2 Days 1 Weeks
65
1 Months
1,341
(1,108)
(72)
(421)
(4,638)
7
(920)
5,746
2 Days 1 Weeks
32
1 Months
51
10
14
(9)
73
90
107
14
9
(79)
(64)
Comment by Product
SET50 Index Futures
2
SET50 Index Options
4
Single Stock Futures
5
Gold Futures
7
Oil Futures
9
Accumulated Long(Short)
Long
Short
Net
142
179
(37)
359
624
6
5
1
22
67
93
332
296
36
(358)
(682)
(406)
Put Option Long(Short) Position : Contract
License No: 017928
(1,106)
44,648
19
Therdsak Thaveeteeratham
Usanee Liurut
(62,992)
5
Retail
Institution
1 Months
33
License No: 004146
License No: 004132
12,334
16
Call Option Long(Short) Position : Contract
Institution
2 Days 1 Weeks
Accumulated Long(Short)
Net
Oil Futures: A short position of BRN15 with the cost of B2,225 has
provided B32/barrel profit so far; we recommend holding, aiming to
take profit at B2,055 (US$61) but avoiding loss by setting a stop loss
point at the cost.
(105)
Accumulated Long(Short)
1,802
Long
1 Months
Gold Futures: The gold price has a limited upside, so there is a better
chance of taking profit from a short position. We recommend waiting to
open a short position of GFM15 at B19,100 (US$1,190), aiming to take
profit at B18,800 (US$1,170) and cutting loss at +B100 from the cost.
Accumulated Long(Short)
Short
Energy Futures Long(Short) Position : Contract
Institution
2 Days 1 Weeks
Long
Metal Futures Long(Short) Position : Contract
Institution
1 Months
Long
Single Stock Futures Long(Short) Position : Contract
Institution
2 Days 1 Weeks
Accumulated Long(Short)
SET50 Futures Long(Short) Position : Contract
SET50 Option: We reiterate to wait to open a long position of
S50M15P1000 again at 12 pts (SET50 = 1,005 pts), aiming to take profit
at 26 pts (SET50 = 980 pts) and cutting loss at -3 pts from the cost.
2 Days 1 Weeks
1 Months
395
Accumulated Long(Short)
Long
Short
Net
256
6
250
26
20
6
274
530
(256)
2 Days 1 Weeks
198
95
(22)
114
(176)
(209)
1 Months
665
688
(1,353)
Prasit Rattanakijkamol, CISA, CIFA
License No: 025917
Nuanpun Noiruchchukorn
License No: 019994
English research reports are a rough translation of our Thai-language research
products. It is produced primarily with time efficiency in mind, so that
English-reading clients can see what the main recommendations are from our
Thai-language research team. Given that this is a rough-and-ready translation,
Asia Plus Securities Company cannot be held responsible for translation
inaccuracies.
The Thai language research reports and information contained therein are compiled from
public data sources and our analysts' interviews with executives of listed companies. They are
presented for informational purposes only and not to be deemed as solicitations to buy or sell
any securities. Best attempts have been made to verify information from these vast sources,
but we cannot guarantee their accuracy, adequacy, completeness and timeliness. The analyses
and comments presented herein are opinions of our analysts and do not necessarily reflect the
views of Asia Plus Securities.
SET50 Index Futures
■ SET50 Index: There are three factors to keep an eye on this week. Firstly, the IMF withdrew its negotiating team from the bailout
talks, leaving Greece no choice but to comply with TROIKA#s obligations; Greece#s new economic reform plan will be first
considered by the German government and has to get approval from the parliament meeting on June 16-17; then it will be held
before the EC finance ministers# meeting on June 18 for approving the bailout funds. Secondly, Fed chairwoman Janet Yellen is
giving a testimony about the FOMC meeting outcome, which is projected to concern Greek crunch, warning about overseas risks,
and confirming a policy rate hike at the end of the year. Finally, the Chinese central bank (PBOC) may relax its lending policy and
reduce the reserve requirement ratio after the previous two cuts to 18.5% recently. Although overseas factors have been positive,
they would have insignificant impact on the SET for there are still local risks from the market#s EPS and current P/E ratio (17.65x
of SET and 16.56x of SET50) that indicates a limited upside. Consequently, we believe the Index would not easily surpass 1,000
pts in the near future, possibly swinging downward around 980-1,000 pts.
■ Direction Trading: S50M15 was back under an influence of the downtrend line again, possibly swinging downward around 980991 pts today; investors can trade a short position of S50M15 from the improving basis. For ASPS Derivatives Portfolio, we are
staying away from investment while estimating the situation, before taking a follow position later.
■ Basis Trading: The basis between S50M15 and SET50 was -3.39 pts, slightly lower than the theoretical of -0.73 pts, nothing
significant.
■ Spread Trading: According to ASPS Carry Cost Model, a theoretical spread between S50U15 and S50M15 is -7.40 pts. As the
current spread is standing at -8.70 pts, there is still not a chance to seek profit from spread.
Support
Resistance
SET50
S50M15
S50U15
975
985
990
1010
952
968
Comparisons of Returns from Recommendation
in Derivatives Talks VS SET50 Futures
September 2009 – May 2015
June 2015
Derivatives Talks SET50 Futures Derivatives Talks SET50 Futures
2,295.08%
Spread Forecast at End of Month from ASPS Model
234
Spread
Spread Target
of Long-Term
Series
234556758
6758
Spread9:9:;-;:8Short-Term
:8<=>?
<=>?- -9:9:;:8;<@:8>?A
<@>?A
S50J15
S50N13
S50J15
S50K15
S50M15
S50N15
S50Q15
S50U15
S50K15
S50M15
S50N15
S50Q15
S50U15
2015 29
2015 29
2015 28
2015 2727Aug
2015 2929
Sep
2015
2929Apr
..58
29May
..58
29Jun
..58
28Jul
..58
..58
..58
1.22
2.70
1.27
3.75
2.11
-0.38
-2.23
-4.07
-6.13
Source : ASPS Research
0.84
-3.50
-7.40
-4.34
-8.24
-3.90
112.88%
-
1.06%
SET50 Index Sensitivity
SET 50 Sensitivity
P/E
ratio
Jun15E
(2DE
5) (x) 7G.8.58E
PER 12
724
PER 13
784
PER 14
845
PER 15
905
PER 16
965
PER 17
1,026
PER 18
1,086
PER 19
1,146
Jul15E
>.H.58E
734
795
856
917
979
1,040
1,101
1,162
Aug15E >.8.58E
Sep15E J.H.58E
Dec15E
I.H.58E
744
754
783
806
816
849
868
879
914
930
942
979
992
1,005
1,044
1,054
1,068
1,110
1,116
1,131
1,175
1,178
1,193
1,240
Source : ASPS Research
2
SET50 Futures Statistics
SET50 Index Trading
UNDERLYING
Close
Chg
%Chg Trading Conclusion
992.39
-6.7
-0.7%
Symbol
Settle
Chg
%Chg
S50M15
989.00
-8.7
-0.9%
80,692
244,869
S50N15
987.40
-9.7
-1.0%
6
54
S50Q15
986.40
-8.7
-0.9%
-
12
(1)
S50U15
980.30
-7.8
-0.8%
10,322
39,996
(12,762)
S50Z15
981.00
-7.9
-0.8%
596
4,499
(33,621)
S50H16
976.20
-7.8
-0.8%
310
2,565
SET50 Index
Institution
Foreign
Retail
Short
Vol.
OI
OI Chg
(52,084)
-
101
Accumulated Long(Short)
SET50 Futures Long(Short) Position : Contract
Long
12/06/2015
Net
2 Days 2 Weeks 2 Months
30,906
29,865
1,041
(7,491)
(1,999)
53,487
6,926
14,506
(7,580)
(4,332)
(11,199)
(53,382)
54,094
47,555
6,539
11,823
13,198
(105)
Source: SET and ASPS Research
Profit/Loss Calculation for SET50 Futures
Closing price
chg (pts)
Futures
from closing
price
994.00
993.00
992.00
991.00
990.00
989.00
988.00
987.00
986.00
985.00
984.00
5.0
4.0
3.0
2.0
1.0
0.0
-1.0
-2.0
-3.0
-4.0
-5.0
Retail Investors
Institution Investors
(Commission B450/contract/side)
(Commission B250/contract/side)
Profit (loss)
5,000
4,000
3,000
2,000
1,000
(1,000)
(2,000)
(3,000)
(4,000)
(5,000)
Commission+V
AT (B)
Net profit(loss)
(1,070)
(1,070)
(1,070)
(1,070)
(1,070)
(1,070)
(1,070)
(1,070)
(1,070)
(1,070)
(1,070)
3,930
2,930
1,930
930
(70)
(1,070)
(2,070)
(3,070)
(4,070)
(5,070)
(6,070)
Profit(loss)
5,000
4,000
3,000
2,000
1,000
(1,000)
(2,000)
(3,000)
(4,000)
(5,000)
Commission+V
AT (B)
Net profit(loss)
(535)
(535)
(535)
(535)
(535)
(535)
(535)
(535)
(535)
(535)
(535)
4,465
3,465
2,465
1,465
465
(535)
(1,535)
(2,535)
(3,535)
(4,535)
(5,535)
Note: IM = B11,400. MM = B6,000. For retail investors, additional margin is compulsory when SET50 changes by more than
19.9 pts. In case SET50 changes by 46.50 pts, force sell will be applied.
Source : ASPS Research
3