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อาจารย์ ม ธ . แนะ การใช้โมเดลของ ”_________” ทำ trading - PowerPoint PPT Presentation


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อาจารย์ ม ธ . แนะ การใช้โมเดลของ ”_________” ทำ trading. ด.ร. ศุภกร สุนทรกิจ อาจารย์พิเศษ โครงการปริญญาโททางการเงิน (โครงการ MIF) และ บลจ เอ็มเอฟซี จำกัด (มหาชน). หัวข้อ. กลยุทธ์พื้นฐาน กลยุทธ์ความผันผวน การประมาณการความผันผวนของดัชนี. Four Basic Strategies.

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Trading

อาจารย์ มธ. แนะ การใช้โมเดลของ”_________” ทำ trading

ด.ร. ศุภกร สุนทรกิจ

อาจารย์พิเศษ โครงการปริญญาโททางการเงิน (โครงการ MIF)

และ บลจ เอ็มเอฟซี จำกัด (มหาชน)


หัวข้อ

  • กลยุทธ์พื้นฐาน

  • กลยุทธ์ความผันผวน

  • การประมาณการความผันผวนของดัชนี



Value of option at expiration
Value of Option at Expiration

Payoff

Payoff

Holder

Writer

Premium

Premium

0

0

Stock price

Stock price



Put option at expiration
Put Option at Expiration

Short Put

Long Put



Strategy covered call action buy stock sell otm call
Strategy:Covered CallAction: Buy Stock + Sell OTM Call

Stock

Covered Call

Written call


Strategy covered call
Strategy:Covered Call

  • Action: Buy Stock + Sell OTM CallOutlook: Neutral to BullishRationale:

    • Buy stock for medium to long term and capturing monthly income by selling call every month

    • If the stock rise sell the stock to deliver

    • If stock falls, keep the premium


Protective put
Protective Put

Payoffs

Stock

Put

Protective put

0


Bull put spread
Bull Put Spread

  • Long lower strike put

  • Write OTM put


Bear call spread
Bear Call Spread

  • Action

    • Sell lower strike call

    • Buy OTM call

  • Outlook: bearlish or neutral to bearish


Long iron butterfly
Long Iron Butterfly

  • Buy lower strike put+sell middle strike put and call+Buy higher strike call


Other income strategies
Other Income Strategies

  • Covered Short Straddle

    • Buy stock + Sell put + Sell call

    • Outlook: Bullish

  • Covered Short Stragle

    • Long stock + Short OTM put + Short OTM call

    • Outlook: bullish

  • Calendar call

    • Buy long maturity call + Sell Short term call



Volatility trading definition
Volatility Trading: Definition

  • Trading strategies designed to speculate on change in the volatility of the market or stock instead of its direction.

  • The point is that you don’t care which direction it moves (up or down), as long as it moves explosively in one direction or the other.

  • The trick is spotting something that’s about to make that move


Volatility trading
Volatility Trading

  • Long volatility:

    • Buy call & sell stock

    • Buy put & buy stock

  • Short volatility

    • Sell call & buy stock

    • Sell put & sell stock


Volatility trading call put value vs stock price
Volatility Trading: Call & Put Value VS Stock Price










Long volatility buy put buy stock
Long Volatility: Buy Put Buy Stock

Payoffs

Stock

Put

Protective put

0




Short volatility covered call short otm call long stock
Short VolatilityCovered Call :Short OTM call & Long Stock

Stock

Covered Call

Written call







Other strategies
Other Strategies

Straddle

Long Call and Long Put

Strangle

Strip

Strap

Short Bitterfly

Short Condors


Straddle
Straddle

  • Long call + long put with same exercise price

A

Long call

Long put

+B

Straddle

=C

P+C


A straddle combination

Profit

K

ST

A Straddle Combination

  • A straddle involves buying a call and put with the same strike price and expiration date.




Strip

Profit

K

ST

Strip

  • A strip consists of a long position in one call and two puts with the same strike price and expiration date.


Strap

Profit

K

ST

Strap

  • A strap consists of a long position in two calls and one put with the same strike price and expiration date.



Volatility
Volatility

  • Implied volatility is a market forecast of the future volatility of the underlying stock or index

  • Long volatility position gains when realized volatility is higher than implied volatility at inception

  • Changes in implied volatility affect the MTM of the position


Can volatility be forecasted
Can volatility be forecasted?

  • Volatility cannot be predicted over long periods of time

  • Option market can provide “market forecasts” for period ranging from 1 month to 1 year

  • Statistical models may be used to forecast volatility over short periods of time

  • Importance of taking into “exogenous news” and events, macro news


Vix index
VIX Index

  • VIX is the ticker symbol for the Chicago Board Options

  • Exchange Volatility Index, a popular measure of the implied volatility of S&P 500 index options. Referred to by some as the fear index, it represents one measure of the market's expectation of volatility over the next 30 day period.


Vix index1
VIX Index

Russia/LTCM

ENRON

WCOM

SE Asia

Shanghai Surprise

Subprime

Figure 3: VIX index of S&P implied volatility

Source:MFC, Bloomberg






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