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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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อาจารย์ ม ธ . แนะ การใช้โมเดลของ ”_________” ทำ trading

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อาจารย์ มธ. แนะ การใช้โมเดลของ”_________” ทำ trading

ด.ร. ศุภกร สุนทรกิจ

อาจารย์พิเศษ โครงการปริญญาโททางการเงิน (โครงการ MIF)

และ บลจ เอ็มเอฟซี จำกัด (มหาชน)


หัวข้อ

  • กลยุทธ์พื้นฐาน

  • กลยุทธ์ความผันผวน

  • การประมาณการความผันผวนของดัชนี


Four Basic Strategies


Value of Option at Expiration

Payoff

Payoff

Holder

Writer

Premium

Premium

0

0

Stock price

Stock price


Why Option


Put Option at Expiration

Short Put

Long Put


Income Strategies


Strategy:Covered CallAction: Buy Stock + Sell OTM Call

Stock

Covered Call

Written 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

Payoffs

Stock

Put

Protective put

0


Bull Put Spread

  • Long lower strike put

  • Write OTM put


Bear Call Spread

  • Action

    • Sell lower strike call

    • Buy OTM call

  • Outlook: bearlish or neutral to bearish


Long Iron Butterfly

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


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 Strategies


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

  • 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


Long Volatility 1:Long Call & Short Stock


Long call & Short stock


Long Call & Short Stock: Delta neutral


Delta neutral VS Not neutral


Long Volatility using Long call Short Stock


Long Volatility using Long call Short Stock


Long Call & Short Stock with changing volatility


Long Volatility: Buy Put Buy Stock

Payoffs

Stock

Put

Protective put

0


Long Volatility: Buy Put Buy Stock


Long volatility using Long Put & Long Stock


Short VolatilityCovered Call :Short OTM call & Long Stock

Stock

Covered Call

Written call


Short Volatility I: Covered call


Short volatility using covered call


Short volatility: Sell put + Sell stock


Short volatility: Sell put + Sell stockPayoff


Short volatility: Sell put + Sell stockPayoff Zoom


Other Strategies

Straddle

Long Call and Long Put

Strangle

Strip

Strap

Short Bitterfly

Short Condors


Straddle

  • Long call + long put with same exercise price

A

Long call

Long put

+B

Straddle

=C

P+C


Profit

K

ST

A Straddle Combination

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


Straddle


Long volatility using straddle


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.


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.


Using 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?

  • 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 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 Index

Russia/LTCM

ENRON

WCOM

SE Asia

Shanghai Surprise

Subprime

Figure 3: VIX index of S&P implied volatility

Source:MFC, Bloomberg


Traditional SD & GARCH


SET50 & Volatility(EGARCH)


Using MA & Traditional SD for Trading Signal


GARCH & MA as a signal (1 Yr data)


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