Trading
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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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Trading

อาจารย์ มธ. แนะ การใช้โมเดลของ”_________” ทำ trading

ด.ร. ศุภกร สุนทรกิจ

อาจารย์พิเศษ โครงการปริญญาโททางการเงิน (โครงการ MIF)

และ บลจ เอ็มเอฟซี จำกัด (มหาชน)


Trading

หัวข้อ

  • กลยุทธ์พื้นฐาน

  • กลยุทธ์ความผันผวน

  • การประมาณการความผันผวนของดัชนี


Four basic strategies

Four Basic Strategies


Value of option at expiration

Value of Option at Expiration

Payoff

Payoff

Holder

Writer

Premium

Premium

0

0

Stock price

Stock price


Why option

Why Option


Put option at expiration

Put Option at Expiration

Short Put

Long Put


Income strategies

Income Strategies


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 strategies

Volatility Strategies


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


Volatility trading1

Volatility Trading


Long volatility 1 long call short stock

Long Volatility 1:Long Call & Short Stock


Long call short stock

Long call & Short stock


Long call short stock delta neutral

Long Call & Short Stock: Delta neutral


Delta neutral vs not neutral

Delta neutral VS Not neutral


Long volatility using long call short stock

Long Volatility using Long call Short Stock


Long volatility using long call short stock1

Long Volatility using Long call Short Stock


Long call short stock with changing volatility

Long Call & Short Stock with changing volatility


Long volatility buy put buy stock

Long Volatility: Buy Put Buy Stock

Payoffs

Stock

Put

Protective put

0


Long volatility buy put buy stock1

Long Volatility: Buy Put Buy Stock


Long volatility using long put long stock

Long volatility using Long Put & Long Stock


Short volatility covered call short otm call long stock

Short VolatilityCovered Call :Short OTM call & Long Stock

Stock

Covered Call

Written call


Short volatility i covered call

Short Volatility I: Covered call


Short volatility using covered call

Short volatility using covered call


Short volatility sell put sell stock

Short volatility: Sell put + Sell stock


Short volatility sell put sell stock payoff

Short volatility: Sell put + Sell stockPayoff


Short volatility sell put sell stock payoff zoom

Short volatility: Sell put + Sell stockPayoff Zoom


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.


Straddle1

Straddle


Long volatility using straddle

Long volatility using straddle


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.


Using volatility

Using Volatility


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


Traditional sd garch

Traditional SD & GARCH


Set50 volatility egarch

SET50 & Volatility(EGARCH)


Using ma traditional sd for trading signal

Using MA & Traditional SD for Trading Signal


Garch ma as a signal 1 yr data

GARCH & MA as a signal (1 Yr data)


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