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 calculated from the stock prices of the top 50 listed companies on set in. An option is simply a contractual agreement between two parties, the buyer and the seller. Summary of the rules amendments of thailand futures exchange. As is usual for index options, prices of set50 index options are in index points.
How to use pdf viewer on new microsoft edge chromium. Determinants of violations in the set50 index options. 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. 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. Set50 index options 50 baht gold futures gold online futures energy index futures ict index futures bank index futures set50 index futures 40,508. Combination order for set50 index options is not allowed. Set50 index futures set50 index options set50 index futures. Productspecific strategies chicago board options exchange. Pdf determinants of investor behavior in set50 index. Tfex are constantly developing new product that will benefit the current market. 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.
Uobkayhian securities thailand public company limited. 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. Your investment resource for thailands capital market. The set50 reflects the largemarket capitalization index of the stock exchange of thailand. Set50 options tfex set50 index call options set50 index put options set50 index options set50 index options.
Set50 quote stock exchange of thailand set 50 index. 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. Application to set50 index options in 2003, the chicago board options exchange cboe made two key enhancements to the volatility index. Two tests of set50 index options pricing relationships, putcallfutures parity and box spread, are employed. 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. Margin requirement set50 index, sector index, gold, usd, rss3.
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. 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. You can reduce the time required to search a long pdf by embedding an index of the words in the. The contract multiplier of a set50 index option is equal to bt 200 per 1 index point. 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. The maximum number of contracts that a speculator may hold in both set50 index futures and set50 index options calculated as equivalent to the position of set50 index futures is not more than 20,000 contracts in any one contract month or among all contract months combined. Speculative trading is mostly related to put options, while hedging trading is mostly related to call options. Moreover, the proportion of foreign investors shows a positive relationship with speculative investor behavior at set50 index futures market. An index option is a financial derivative that gives the holder the right, but not the obligation, to buy or sell the value of an underlying index, such as the standard and poors s. 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. Evidence from thailand futures exchange find, read. 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. Type of securities common stocks common foreign stocks preferred stocks prefered foreign stocks warrants derivative warrants etfs depositary receipts unit trusts.
Determinants of investor behavior in set50 index futures. Set50 index options dec15 26102015 925 loss profit profit 981. Set50 index which is compiled, computed and disseminated by the stock exchange of thailand. Set50 options tfex set50 index call options set50 index put options set50 index options. 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. Pdf on sep 1, 2019, woradee jongadsayakul and others published determinants of investor behavior in set50 index futures and options markets. How does implied volatility impact options pricing. 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.
That means if the index trades at 300 points, the value of the contract will be 300 x 200 bt60,000. The first option traded on the tfex is for set50 index. 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. Determinants of violations in the set50 index options pricing. Set50 futures and options were first listed on tfex on april 28, 2006 and october 29, 2007, as the. 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. Last trading day the business day immediately preceding the last business day of the contract month. Krungthai zmico securities, thai stocks online trading.
Pdf a box spread test of the set50 index options market. 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. 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. In this paper, with the use of set50 index options data, we simplify the apparently complicated expected volatility formula to a simple relationship, which has a higher negative correlation between the vix for thailand tvix and set50 index options. The new vix methodology seems to be based on a complicated formula to calculate expected volatility. Effective 01apr2020 commission fee commission fee baht per contract baht per contract 1. Determinants of investor behavior in set50 index futures and. 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. 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. This paper provides the box spread test of the set50 index options market efficiency using daily data from october 29, 2012, through march 30, 2016.
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. Set 50 index futures is the first product to be traded on tfex. Bond futures tgb5f 6m thbfix futures tbf6f 3m bibor futures bb3f usd futures usdf set50 index options. 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. If the client holds any set50 index options in the portfolio, the margin requirement result will depend upon the portfolio margining system. Prior to buying or selling an option, a person must receive a copy of characteristics and risks of standardized options, available to download at. If the client holds only long options position, the margin requirement will be 0 baht. 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. There is an increase in set50 index options trading by foreign and institutional investors for speculation, relative to hedging. There is an increase in set50 index options trading by foreign and institutional investors for. Set50 index options was launched in tfex on 29 october 2007. Set50 is calculated based on the stock prices of the top 50 companies on set, taking into consideration free float, liquidity and market capitalization.
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