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อาจารย์ ม ธ . แนะ การใช้โมเดลของ ”_________” ทำ trading

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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  1. อาจารย์ มธ. แนะ การใช้โมเดลของ”_________” ทำ trading ด.ร. ศุภกร สุนทรกิจ อาจารย์พิเศษ โครงการปริญญาโททางการเงิน (โครงการ MIF) และ บลจ เอ็มเอฟซี จำกัด (มหาชน)

  2. หัวข้อ • กลยุทธ์พื้นฐาน • กลยุทธ์ความผันผวน • การประมาณการความผันผวนของดัชนี

  3. Four Basic Strategies

  4. Value of Option at Expiration Payoff Payoff Holder Writer Premium Premium 0 0 Stock price Stock price

  5. Why Option

  6. Put Option at Expiration Short Put Long Put

  7. Income Strategies

  8. Strategy:Covered CallAction: Buy Stock + Sell OTM Call Stock Covered Call Written call

  9. 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

  10. Protective Put Payoffs Stock Put Protective put 0

  11. Bull Put Spread • Long lower strike put • Write OTM put

  12. Bear Call Spread • Action • Sell lower strike call • Buy OTM call • Outlook: bearlish or neutral to bearish

  13. Long Iron Butterfly • Buy lower strike put+sell middle strike put and call+Buy higher strike call

  14. 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

  15. Volatility Strategies

  16. 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

  17. Volatility Trading • Long volatility: • Buy call & sell stock • Buy put & buy stock • Short volatility • Sell call & buy stock • Sell put & sell stock

  18. Volatility Trading: Call & Put Value VS Stock Price

  19. Volatility Trading

  20. Long Volatility 1:Long Call & Short Stock

  21. Long call & Short stock

  22. Long Call & Short Stock: Delta neutral

  23. Delta neutral VS Not neutral

  24. Long Volatility using Long call Short Stock

  25. Long Volatility using Long call Short Stock

  26. Long Call & Short Stock with changing volatility

  27. Long Volatility: Buy Put Buy Stock Payoffs Stock Put Protective put 0

  28. Long Volatility: Buy Put Buy Stock

  29. Long volatility using Long Put & Long Stock

  30. Short VolatilityCovered Call :Short OTM call & Long Stock Stock Covered Call Written call

  31. Short Volatility I: Covered call

  32. Short volatility using covered call

  33. Short volatility: Sell put + Sell stock

  34. Short volatility: Sell put + Sell stockPayoff

  35. Short volatility: Sell put + Sell stockPayoff Zoom

  36. Other Strategies Straddle Long Call and Long Put Strangle Strip Strap Short Bitterfly Short Condors

  37. Straddle • Long call + long put with same exercise price A Long call Long put +B Straddle =C P+C

  38. Profit K ST A Straddle Combination • A straddle involves buying a call and put with the same strike price and expiration date.

  39. Straddle

  40. Long volatility using straddle

  41. 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.

  42. 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.

  43. Using Volatility

  44. 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

  45. 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

  46. 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.

  47. VIX Index Russia/LTCM ENRON WCOM SE Asia Shanghai Surprise Subprime Figure 3: VIX index of S&P implied volatility Source:MFC, Bloomberg

  48. Traditional SD & GARCH

  49. SET50 & Volatility(EGARCH)

  50. Using MA & Traditional SD for Trading Signal

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