That means if the index trades at 300 points, the value of the contract will be 300 x 200 bt60,000. The new vix methodology seems to be based on a complicated formula to calculate expected volatility. Uobkayhian securities thailand public company limited. The test results of putcallfutures parity show that the percentage and baht amount of violations in many cases are greater in the period before the modification of set50 index options. Tfex offers comprehensive product offering such as set50 index futures, set50 index options, gold futures, rubber futures, currency futures, interest rate futures and single stock futures. Net 100,000 delta equivalent set50 index futures contracts on one side of the market in any contract months of set50 index futures and set50 index options combined. In this paper, with the use of thailands set50 index options data, we modify the apparently complicated vix formula to a simple relationship, which has a higher negative correlation between the vix for thailand tvix and set50 index options. An option is simply a contractual agreement between two parties, the buyer and the seller. If the client holds only long options position, the margin requirement will be 0 baht. Pdf on sep 1, 2019, woradee jongadsayakul and others published determinants of investor behavior in set50 index futures and options markets. There is an increase in set50 index options trading by foreign and institutional investors for.
Pdf a box spread test of the set50 index options market. Determinants of investor behavior in set50 index futures and. The results show that the market frictions imposed by the bidask spread, along with brokerage commissions, exchange fees, and interest on initial margin deposit, appear to have a significant effect on arbitrageurs abilities to take advantage. Margin requirement set50 index, sector index, gold, usd, rss3, rss3d and interest futures futures outright spread im mm fc im mm fc set50 futures 4,750. Speculative trading is mostly related to put options, while hedging trading is mostly related to call options. Combination order for set50 index options is not allowed. Set50 index options dec15 26102015 925 loss profit profit 981.
Set50 is calculated based on the stock prices of the top 50 companies on set, taking into consideration free float, liquidity and market capitalization. Evidence from thailand futures exchange find, read. Determinants of violations in the set50 index options. Determinants of investor behavior in set50 index futures. Getting started how to use pdf viewer on new microsoft edge chromium yes, the new version of microsoft edge comes with a pdf reader, and these are the steps to get started. The most important thing an investor needs to understand is how options are priced and some of the factors that affect them including implied volatility.
Margin requirement set50 index, sector index, gold, usd, rss3. Set50 futures and options were first listed on tfex on april 28, 2006 and october 29, 2007, as the. How to use pdf viewer on new microsoft edge chromium. The first option traded on the tfex is for set50 index. Jun 15, 2019 the most important thing an investor needs to understand is how options are priced and some of the factors that affect them including implied volatility. Effective 01apr2020 commission fee commission fee baht per contract baht per contract 1. Set50 index futures s50if 50 baht gold futures gf 10 baht gold futures gf10 silver futures svf brent crude oil futures brf 5y thai govt. Copies of this document are also available from your broker or the options clearing corporation occ, one north wacker drive, suite 500, chicago, il 60606 or by calling 1888 options. Pdf determinants of investor behavior in set50 index.
If the client holds any set50 index options in the portfolio, the margin requirement result will depend upon the portfolio margining system. As published by the futures industry association 2018, in 2017 set50 index futures was ranked 42nd among the worlds top50 equity index futures and options contracts. The buyer has the right to buy or sell the set50 index fromto the seller at the specified exercise price normally noted as x or k and other contract conditions, as specified in the contract both put and call options for the tfex. Set 50 index futures is the first product to be traded on tfex. In this paper, with the use of thailands set50 index options data, we modify the apparently complicated vix formula to a simple relationship, which has. Expiration date usually the third friday of the month strike price underlying can be stock, etf, or index that the contract will be based upon a standard option. Application to set50 index options in 2003, the chicago board options exchange cboe made two key enhancements to the volatility index. Productspecific strategies chicago board options exchange. There is an increase in set50 index options trading by foreign and institutional investors for speculation, relative to hedging. Application to set50 index options article in mathematics and computers in simulation 8010. The advantage of set50 index options is that it helps investors to develop profitmaking strategies in all market conditions and it can be combined with futures or stocks to design investment strategies, suitable for all market conditions.
Moreover, the proportion of foreign investors shows a positive relationship with speculative investor behavior at set50 index futures market. Last trading day the business day immediately preceding the last business day of the contract month. Set50 quote stock exchange of thailand set 50 index. The volatility index is discussed in section 2, a brief overview of the volatility index vix from cboe is given in section 3, the new vix formula is presented in section 4, followed by a simple expected volatility index sev in section 5, the set50 index options data for empirical analysis are discussed in section 6, the blackscholes. Bond futures tgb5f 6m thbfix futures tbf6f 3m bibor futures bb3f usd futures usdf set50 index options. Determinants of violations in the set50 index options pricing. You can reduce the time required to search a long pdf by embedding an index of the words in the. Set50 index which is compiled, computed and disseminated by the stock exchange of thailand.
About stock exchange of thailand set 50 index the thailand set 50 index is a capitalizationweighted index based on the top 50 stocks listed on the bangkok set index having high market. Options on the set50 has been traded on the tfex since october 29, 2007. Single stock futures sector index stock futures oil futures currency futures agriculture futures. Put call future parity, set50 index futures, set50 index options abstract this study contributes to an ongoing examination of riskless arbitrage opportunity under put call future parity which underlying asset is set50 index futures in term of 1 month to. Set50 index options was launched in tfex on 29 october 2007. Two tests of set50 index options pricing relationships, putcallfutures parity and box spread, are employed. Krungthai zmico securities, thai stocks online trading.
Type of securities common stocks common foreign stocks preferred stocks prefered foreign stocks warrants derivative warrants etfs depositary receipts unit trusts. Prior to buying or selling an option, a person must receive a copy of characteristics and risks of standardized options, available to download at. Set 50 index futures is calculated from the stock prices of the top 50 listed companies on set in. Set50 options tfex set50 index call options set50 index put options set50 index options. As is usual for index options, prices of set50 index options are in index points. In this paper, with the use of thailands set50 index options data, we modify the vix formula to a very simple relationship, which has a higher negative correlation between the vix for thailand tvix and set50 index options. Both indices are calculated from the stock prices of companies that are included in the set index, but each index consists of a subset of those stocks by a ranking based on large. Set50 index futures set50 index options set50 index futures. The contract multiplier of a set50 index option is equal to bt 200 per 1 index point. Summary of the rules amendments of thailand futures exchange. The set50 index and the set100 index were created to accommodate the issuing of index futures and options in the future, and to provide a benchmark of investment in the stock exchange of thailand set. Set50 index options 50 baht gold futures gold online futures energy index futures ict index futures bank index futures set50 index futures 40,508. How does implied volatility impact options pricing. Your investment resource for thailands capital market.
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