SET50 Index Futures - SETTrade

ราคา Bloomberg
ป�ดวานนี้
Consensus Upside
PX_LAST
BEST_TARGET_MEDIAN
32.50
32.50
337.00
337.00
21.50
21.50
15.70
15.70
162.50
162.50
160.00
160.00
18.70
15.60
56.50
71.00
17.50
185.00
107.00
39.11
39.11
380.00
380.00
26.00
26.00
Derivative Warrants �����������กก���
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20.3% CPF08CF 27 Feb 13 159 8:1 33.00 OTM 0.60
TFEX Plus
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PX_LAST OPT_INTRINSIC_VAL OPT_TIME_VAL OPT_DAY_DECAY_7 OPT_THEOR_VALUE VOLATILITY_30D
OPT_IMPLIED_VOLATILITY_LAST
TFEX Strategy Department http://www.asiaplus.co.th
Email : tfex@asiaplus.co.th
Tel: 02-680-1859-63
4
0.00 0.60 37.80 16.3% 3.88 0.01 0.28 21.42 55.65 #VALUE!
20.3% CPF08PC 27 Feb 13 159 8:1 38.00 ITM#N/A N/A 0.69 #VALUE! #VALUE! #VALUE! #VALUE! 0.01 0.71 21.42 #N/A N/A #VALUE!
12.8% PTT08CE 20 Feb 13 152 50:1 340.00 OTM 1.06
12.8% PTT08PC 20 Feb 13 152 100:1 410.00 ITM 1.07
20.9% THAI08CB 22 Jan 13 123 5:1 18.00 ITM 1.10
0.00 1.06 393.00 16.6% 3.70 0.02 0.43 16.41 59.43 #VALUE!
0.73 0.34 303.00 -10.1% -1.78 0.01 0.71 16.41 70.32 #VALUE!
0.70 0.40 23.50 9.3% 2.90 0.02 0.78 18.06 72.32 0.59
20.9% THAI08PA 22 Jan 13 123 5:1 21.00 OTM#N/A N/A 0.00 #VALUE! #VALUE! #VALUE! #VALUE! 0.02 0.22 18.06 #N/A N/A #VALUE!
14.10 -10.2% STA08CB 22 Jan 13 123 6:1 14.60 ITM 0.59
14.10 -10.2% STA08PA 22 Jan 13 123 5:1 19.50 ITM 1.32
185.00
185.00
170.00
170.00
19.00
17.00
61.75
84.00
21.00
198.00
114.00
ราคา Bloomberg'
ป�ดวานนี้
s Fair Value Upside
87.00
183.50
183.50
24.20
192.00
192.00
36.25
36.25
442.00
442.00
63.75
63.75
45.00
5.45
5.45
67.25
67.25
34.00
34.00
37.50
37.50
213.00
213.00
30.00
30.00
358.00
358.00
32.50
32.50
หุ�นอ�างอิง
หุ�นอ�างอิง
99.00
200.00
200.00
25.18
219.50
219.50
34.50
34.50
560.00
560.00
69.00
69.00
49.00
13.8% SCB08CE 21 Jan 13 122 30:1 145.00 ITM 1.02
13.8% SCB08PC 21 Jan 13 122 25:1 160.00 OTM 1.05
6.3% PTTE08CD 21 Jan 13 122 35:1 155.00 ITM 0.72
6.3% PTTE08PB 21 Jan 13 122 35:1 170.00 ITM 1.15
0.18 0.41 18.14 15.5% 2.93 0.01 0.32 36.92 81.10 0.02
0.76 0.56 12.90 -17.8% -1.16 0.02 0.77 36.92 112.84 0.00
0.58 0.44 175.60 8.1% 3.76 0.02 0.72 19.40 55.15 0.02
0.00 1.05 133.75 -17.7% -2.37 0.03 0.28 19.40 76.94 #VALUE!
0.14 0.58 180.20 12.6% 3.91 0.02 0.41 20.28 59.51 0.04
0.29 0.86 129.75 -18.9% -1.69 0.02 0.45 20.28 94.74 0.02
1.6% SPAL08CB 15 Jan 13 116 4:1 15.75 ITM#N/A N/A 0.75 #VALUE! #VALUE! #VALUE! #VALUE! 0.02 0.81 26.16 #N/A N/A #VALUE!
9.0% MINT08CB 15 Jan 13 116 5:1 14.00 ITM 0.59
9.3% CPN08CB 15 Jan 13 116 15:1 45.00 ITM 1.01
18.3% TUF08CD 14 Jan 13 115 20:1 69.00 ITM 0.58
20.0% PS08CC 14 Jan 13 115 6:1 16.00 ITM 0.66
7.0% BIGC08CB 14 Jan 13 115 50:1 179.00 ITM 0.77
0.32 0.27 16.95 8.7% 3.69 0.01 0.44 24.22 57.99 0.00
0.77 0.24 60.15 6.5% 2.94 0.01 0.81 30.22 67.28 1.64
0.10 0.48 80.60 13.5% 3.76 0.01 0.27 23.31 64.71 0.01
0.25 0.41 19.96 14.1% 2.97 0.02 0.37 22.41 81.40 0.00
0.12 0.65 217.50 17.6% 3.02 0.02 0.38 25.60 84.42 0.00
6.5% BGH08CB 14 Jan 13 115 30:1 90.00 ITM#N/A N/A 0.57 #VALUE! #VALUE! #VALUE! #VALUE! 0.01 0.62 23.10 #N/A N/A #VALUE!
Derivative Warrants �������������ก���
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13.8% DTAC08CD 20 Nov 12 60 15:1 70.01 ITM 1.42
9.0% KBAN08CC 19 Nov 12 59 30:1 145.00 ITM 1.40
9.0% KBAN08PA 19 Nov 12 59 30:1 170.00 OTM 0.47
4.0% BCP08CB 19 Nov 12 59 6:1 21.00 ITM 0.71
14.3% BBL08CB 19 Nov 12 59 40:1 185.00 ITM 0.56
14.3% BBL08PB 19 Nov 12 59 20:1 170.00 OTM 0.52
-4.8% BAY08CD 6 Nov 12 46 8:1 25.67 ITM 1.21
-4.8% BAY08PC 6 Nov 12 46 10:1 31.60 OTM 0.17
26.7% BANP08CC 5 Nov 12 45 120:1 450.00 OTM 0.36
26.7% BANP08PB 5 Nov 12 45 100:1 520.00 ITM 0.95
8.2% PTTG08CB 5 Nov 12 45 15:1 68.97 OTM 0.32
8.2% PTTG08PA 5 Nov 12 45 10:1 63.05 OTM 0.67
8.9% BLA08CB 5 Nov 12 45 12:1 43.65 ITM 0.45
3.60 -33.9% TRUE08CC 22 Oct 12 31 1:1 3.20 ITM 2.36
3.60 -33.9% TRUE08PA 22 Oct 12 31 1:1 4.00 OTM 0.06
68.50
68.50
40.00
40.00
37.75
37.75
224.50
224.50
38.00
38.00
390.00
390.00
39.11
39.11
DW
DW
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วะนซื้อขาย
สุดท�าย
วะนซื้อขาย
สุดท�าย
จํานวนวะน
คงเหลือ
จํานวนวะน
คงเหลือ
อะตราใช�สิทธ
(DW:Stock)
Exercise
Price
อะตราใช�สิทธ Exercise
(DW:Stock) Price
Money
ness
Money
ness
ราคาป�ด
วานนี้
ราคาป�ด
วานนี้
1.9% TOP08CD 22 Oct 12 31 10:1 78.00 OTM 0.28
1.9% TOP08PA 22 Oct 12 31 10:1 65.00 OTM 0.48
17.6% CPAL08CC 9 Oct 12 18 15:1 60.00 OTM 0.01
17.6% CPAL08PA 9 Oct 12 18 12:1 70.00 ITM 3.14
0.7% TCAP08CC 9 Oct 12 18 8:1 29.00 ITM 1.05
0.7% TCAP08PA 9 Oct 12 18 4:1 32.00 OTM 0.17
5.4% ADVA08CB 8 Oct 12 17 34:1 165.22 ITM 1.48
5.4% ADVA08PA 8 Oct 12 17 24:1 189.52 OTM 0.18
26.7% IVL08CD 8 Oct 12 17 15:1 32.34 OTM 0.11
26.7% IVL08PB 8 Oct 12 17 8:1 35.28 ITM 0.91
8.9% SCC08CC 24 Sep 12 3 49:1 345.14 ITM 0.31
8.9% SCC08PB 24 Sep 12 3 49:1 345.14 OTM 0.10
20.3% CPF08CE 24 Sep 12 3 8:1 32.90 OTM 0.07
20.3% CPF08PB 24 Sep 12 3 8:1 37.74 ITM 0.83
Intrinsic
Value
Intrinsic
Value
Time Value
Time Value
Break
Even
Break
Even
%Break
Even
%Break
Even
Effective
Gearing
Effective
Gearing
1W Time
Value
Decay
1W Time
Value
Decay
B-S-M
Theory
Price
B-S-M
Theory
Price
30 Day
Volatility
Implied
Volatility
30 Day Implied
Volatility Volatility
มูลค�าซื้อ
ขายวานนี้
(ล�านบาท)
มูลค�าซื้อ
ขายวานนี้
(ล�านบาท)
1.16 0.26 90.73 4.3% 3.18 0.04 1.04 21.78 90.61 0.00
1.28 0.12 187.00 1.9% 3.84 0.02 1.31 24.57 54.83 0.09
0.00 0.47 155.90 -15.0% -4.32 0.04 0.08 24.57 71.05 0.00
0.53 0.18 25.26 4.4% 4.33 0.02 0.56 15.07 59.82 0.39
0.18 0.39 207.40 8.0% 5.28 0.03 0.30 19.94 58.38 0.37
0.00 0.52 159.60 -16.9% -5.08 0.05 0.04 19.94 66.35 0.05
1.34 -0.13 35.23 -2.8% #VALUE! 0.02 1.30 29.70 #N/A N/A 0.02
0.00 0.17 29.92 -17.5% -5.69 0.02 0.03 29.70 67.74 0.01
0.00 0.36 493.20 11.6% 5.43 0.03 0.16 27.82 71.29 0.12
0.78 0.17 425.00 -3.8% -3.23 0.03 0.79 27.82 68.37 0.05
0.00 0.32 73.69 15.6% 5.77 0.03 0.09 29.29 76.21 0.02
0.00 0.67 56.45 -11.4% -4.09 0.05 0.29 29.29 76.64 0.09
0.11 0.34 49.01 8.9% 4.97 0.03 0.19 17.06 74.00 0.01
2.25 0.11 5.56 2.0% 2.13 0.02 2.26 40.94 137.30 1.92
0.00 0.06 3.94 -27.7% -7.78 0.02 0.00 40.94 77.96 0.02
0.00 0.28 80.80 20.1% 7.44 0.04 0.05 27.84 73.17 0.00
0.00 0.48 60.20 -10.5% -5.31 0.06 0.19 27.84 72.47 0.09
0.00 0.01 60.15 76.9% 9.18 0.01 0.00 19.43 116.53 0.00
3.00 0.14 32.32 -4.9% -0.72 0.02 2.99 19.43 243.57 0.00
1.06 -0.01 37.40 -0.3% 3.93 0.03 1.00 27.88 83.05 0.29
0.00 0.17 31.32 -16.5% -9.74 0.06 0.01 27.88 67.93 0.17
1.40 0.08 215.57 1.2% 3.42 0.08 1.24 32.18 133.60 0.88
0.00 0.18 185.15 -13.1% -10.12 0.07 0.01 32.18 67.39 0.04
0.00 0.11 33.95 13.2% 7.16 0.03 0.02 33.58 96.11 0.11
0.67 0.24 28.14 -6.2% -2.95 0.03 0.75 33.58 113.12 0.01
0.26 0.05 360.42 0.7% 18.34 0.06 0.27 20.40 35.38 0.01
0.00 0.10 340.21 -5.0% -21.16 0.10 0.01 20.40 52.30 0.04
0.00 0.07 33.44 2.9% 21.36 0.07 0.02 21.42 52.88 0.29
0.68 0.15 31.31 -3.7% -3.58 0.01 0.67 21.42 163.27 0.11
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: Bloomberg , TFEX Strategy Department �����������������������������������������