dw fundamental technical - stock exchange of thailand · call dw - intrinsic value ˛9t ˘˙.ˇก...
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Strictly Private & Confidential Page 1 of 55
�������� 1 � ����� 2555
� � � Derivative Warrants !"�# Fundamental )*+ Technical
/!#
��01� 1� ก�*, CFA, FRM 89"1:���#ก�;1���/� <=�#�;���;1������>
?; @���*�ก�;��#> A�#>)?�ก> ก �A1B� (D;+A�EF�#) H:�ก�! (�����)
Page 2
���I"1ก�;A;�#�;9"
� Basic of Derivative Warrants� Derivative Warrants : Fundamental & Technical Analy sis
� in Energy Sector : PTT,PTTEP, BANPU,TOP,ESSO,BCP� in Banking Sector : BBL, KBANK, KTB, SCB, BAY, TCAP� in ICT Sector : ADVANC, INTUCH, DTAC, TRUE� in Foods Sector : CPF, MINT� in Petrochemical Sector : IVL, PTTGC� in Transport Sector : AOT, THAI� in Commerce Sector : CPALL, BIGC� in Agribusiness Sector : STA� in Health Sector : BGH� in Properties Sector : CPN
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ก�;�:�;+;��� DW : Cash Settlement �:�;+�L���L��!"�#A� ��!
• ������ก��� ����������� DW �������������� ����������� ��������� (Cash Settlement) ,���-ก�� ����./������0�������1�
• Call DW
– 2���� � �������3 = Max(0, ����9:�/�� ; ���<=�������� /�������� DW - ����1�� ����) * �����1�� ����
• Put DW
– 2���� � �������3 = Max(0, ����1�� ���� - ����9:�/�� ; ���<=�������� /�������� DW) * �����1�� ����
• ��N� Call DW )*+ Put DW
– �ก 2���� � ������� /���3 ��กก���@A��B DW ���-ก��1�� ����1����C�����
– �ก�-ก��1�� �����ก���D�� EA�F��/������� ������ 2���� � �������3 ,9�������;�G=H�� -�I�J-���,��9����9K
O"�F�L�"1�ก�;��P�;+P�@� �"1�I�# DW � N�?�ก;+!��กL1��*�!DQ!R������STN1I�#�����!�"�#I1� DW
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���9��ก�.������� Call DW
� Intrinsic Value �=� �AF����-H,����ก DW L�� ��������-ก��1�� ����1�����-��-M���-� (��H��=� ������������������F�����/���������ก�.����1�� ������� DW )� Call DW : Intrinsic Value = Max(;����*�!��"�1"��1 � Y ;���R�"� �� , 0)*1��;�ก�;R�"� �� � Call DW �- Intrinsic Value �9T����.�ก ��=H� DW �9T� In-the-Money (ITM)� Call DW �- Intrinsic Value �9T�@A��B ��=H� DW �9T� At-the-Money (ATM) �=� Out-of-Money
(OTM)� Time Value �=� �AF����-H��กF��/�����-�-H�������G=H�<=����F�(C�ก� F/��) 1� DW �-HL=��-C�ก� ��ก�,�
� Call Warrant: Time Value = ;��� Call DW Y Intrinsic Value
Call DW = Intrinsic Value + Time Value
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���9��ก�.������� Put DW
� Intrinsic Value �=� �AF����-H,����ก DW L�� ��������-ก��1�� ����1�����-��-M���-� (��H��=� ������������� ����1�� ������� DW ก�.�����F�����/���������)� Put DW : Intrinsic Value = Max(;���R�"� �� - ;����*�!��"�1"��1 �, 0)*1��;�ก�;R�"� �� � Put DW �- Intrinsic Value �9T����.�ก ��=H� DW �9T� In-the-Money (ITM)� Put DW �- Intrinsic Value �9T�@A��B ��=H� DW �9T� At-the-Money (ATM) �=� Out-of-
Money (OTM)� Time Value �=� �AF����-H��กF��/�����-�-H�������G=H�<=����F�(C�ก� F/��) 1� DW �-HL=��-C�ก� ��ก�,�
� Put Warrant: Time Value = ;��� DW Y Intrinsic Value
Put DW = Intrinsic Value + Time Value
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ก��9��. ������� DW 1�����-H�- Corporate Action ���/���������
• EA���ก DW ����ก��9��. ������� DW 1�C����9��.�-H 1) ����1�� ������� DW (Exercise Price) [�@���� 3 ��0���] 0F� 2) �����ก��1�� ���� (Conversion Ratio) [�@���� 5 ��0���]
AB
A shares Stock Splitsplit/consolidated into B shares
S – DS
D Cash Dividendbaht/share
A A + B
B new Dividend Stockshare for A old shares Old Conversion Ratio
FOld Exercise Price x F
1 + (R/S x N)1 + N
N new Right Issueshares for 1 old shares at R baht/share
CaseFormula
Adjustment Factor (F)
Adjusted Exercise Price
Adjusted Conversion Ratio
�ก�����ก��1�� ������������=�����1�� ����I��F��ก��9��. ����,�����1�ก�;-1�f������ก��� �����9F-H��09F�,9��ก��������ก�������F� 3 EA���ก DW �- �����-H��,�����9T�������ก��9��.�����ก��1�� ����������� 0F�/�=�����1�� ���� �����,�กh��� ������-H��,����ก��9��. ����1��-� ��������,9�������;1�ก��9��.�����ก��1�� ����������� 0F�/�=�����1�� ������������,9 (L���-)
Page 7
DW : Effective Gearing• Effective Gearing �=� ����-H.�ก��� DW ���9F-H��,9ก-H % ��=H�����/����������9F-H�� 1%• �������� Effective Gearing ��� DW �=� 4.5 ���������� L��/����������D�� 1% ����1� DW ��H��D�� 4.5%• C���oJp- Out-of-Money DW (OTM) ���- Effective Gearing A�ก��� In-the-Money DW (ITM)
������� �กEA�F��/�����ก�������������EF��.0�� A�f ����.F��/�1� OTM DW �G����- Effective Gearing A� 0��กh����GD�������G��� OTM DW �-����� -H�� A�ก��� ITM DW �G������� OTM DW 0ก����/�0��ก�����������.�ก0F�F.
DW : 1-Day Time Decay• 1-Day Time Decay �=� ����-H.�ก������� DW ��F�F�ก-H.��
��=H���F�E���,9 1 ��� �ก����/������������-H,�����.
• �������� 1-Day Time Decay ��� DW �=� -0.01 ����������
L��/����������������-H 1 ��� ������� DW �����F�F� 0.01 .��
• ��H�1กF���������/��� DW EF��� 1-Day Time Decay ����H��-�����กf ���LD� ��H�1กF���������/ ���� ���� 15 ���ก������<=����� /�������� DW �ก����/�����������A����-H Time Value ��� DW ��F�F�����������h�0F��/�0����ก
Page 8
DW : Implied Volatility• Implied Volatility �=� ����-H.�ก������� DW LAก�=�0G� C��1���9�-�.��-�. DW .�/��������������-��ก�� 0���-��������/
����ก�� ����1�� ��������ก�� �����1�� ��������ก��,�� • �9�-�.��-�. DW .�/��������������-��ก�� 0���- Feature �=H�����ก��
– L�� Implied Volatility A�ก���0 ����� DW ����0G�ก��� ���,������ก�.ก������<=��– L�� Implied Volatility �H�ก���0 ����� DW ����LAกก��� �������ก�.ก������<=��
• ��������
155
140
120
;���R�"� ��
28 ก.G. 2556
31 �.�. 2556
24 �.�. 2555
���STN1I�#�����!�"�#
0.010.4571%SCB99CC
0.0250.8555%SCB99CB
0.021.565% SCB99CA
1��;�R�"� �� ;��� DWImplied Volatility Call DW
• ก���9�-�.��-�. DW .�/��������������-��ก�� ���LAก�=�0G���,��1�� ���� DW ����-�.ก�� �-HLAก���� �=�1������ Implied Volatility ����-�.ก�� ��ก�������,����� SCB99CB �9T�����-H����LAกก�������=H�f��=H����0.. ��G���B �G����- Implied Volatility �H� /� �=� 55% �����-� L�����F=�ก<=�����G����;�<=�� SCB99CB
• ก���9�-�.��-�. DW �-H��กC�� 2 .F. 0�ก����ก�� �������� Implied Volatility ��1����-�.ก��,��1�����.�DH� 0��������A�.���=H��,���� .F. ���� 2 �- Credit Rating ����ก�� �ก .F. ���� 2 Credit Rating ,������ก�� EA���ก�-H�- Credit Rating �-H�H�ก��������� DW 1������-HLAกก��� �G��� EA�F��/���กF�� Default Risk ��� .F. EA���ก�-H Rating �H�
Page 9
• ��N����� a���L� Conversion ratio A�L�ก�? 1 DW �L1 1 ��"�1"��1 �• Break-even point �=� ����/��������H�,99:��-Hก-H.�� �D���1�ก��F��/�1� DW �����/�
(�กL=� DW �������/)– �������� Break-even point = 120 0 ����� /�������������9:��-H 120 .��1����<=����� /��������
DW �D�����1� DW �-HF��/�,9�����/� ��H��=� ��������-H,����กก��1�� ���� ����ก�. ����/��-H<=�� DW ��
– 0����� Break-even point �-�,������ ���y ���.ก�������G��� ก������ DW ����ก���F������ �����A�0F�� ก���-H��L=� DW ,9�������/0F��,��ก�,� C�ก� ������ก
• All-in-Premium �=� ����/�������9F-H��,9����,�ก-H % �D���1� DW �����/� (�กL=� DW �������/)– �������� All-in-Premium = 20% 0 ����� ����/�������D��LD� 20% DW �D��������/�
• Doubling Factor �=� ����/��������H�,9ก-H % �D�����1����� DW ���.�G�H� 100% ��ก���� DW 9{��/.�� (�กL=� DW �������/)– �������� Doubling Factor = 25% 0 ���������/�������D��,9 25% DW �D�����H��D�� 100% ��ก
��������-�
Break-even point, All-in-Premium, Doubling Factor
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11 ��.�. 560.025142SCBSCB42CD
11 ��.�. 560.0528BAYBAY42CD
11 ��.�. 560.0526TCAPTCAP42CC
11 ��.�. 560.0555AOTAOT42CC
11 ��.�. 560.0545CPNCPN42CC
11 ��.�. 560.0470DTACDTAC42CC
11 ��.�. 560.0125180ADVANCADVA42CC
11 ��.�. 560.01200BIGCBIGC42CB
11 ��.�. 560.02595BGHBGH42CB
11 ��.�. 560.0554PTTGCPTTG42CB
11 ��.�. 560.121BCPBCP42CC
������������������������ �!"���
��#$�ก�$&'� �"(�
$�)�&'� �"(� (,�")CALL DW
4 ��.�. 560.211MINTMINT42CC
4 ��.�. 560.130CPALLCPAL42CD
4 ��.�. 560.0548TOPTOP42CD
4 ��.�. 560.124IVLIVL42CD
4 ��.�. 560.0550INTUCHINTU42CA
27 !.�. 550.05060138.327BIGCBIGC42CA
17 ".�. 550.52.9TRUETRUE42CA
11 ก.&. 560.217THAITHAI42CC
11 ก.&. 560.212STASTA42CD
27 !.�. 550.05150PTTEPPTTE42CD
27 !.�. 550.02039284.438PTTPTT42CD
17 ".�. 550.212.2KTBKTB42CC
17 ".�. 550.025120KBANKKBAN42CD
11 ก.&. 560.27.5ESSOESSO42CC
17 ".�. 550.131CPFCPF42CC
17 ".�. 550.025150BBLBBL42CD
27 !.�. 550.01016511.903BANPUBANP42CD
������������������������ �!"���
��#$�ก�$&'� �"(�
$�)�&'� �"(� (,�")
CALL DW
4 ��.�. 560.0575TOPTOP42PA
4 ��.�. 560.140IVLIVL42PB
4 ��.�. 560.0570INTUCHINTU42PA
17 ".�. 550.54.5TRUETRUE42PA
27 !.�. 550.225THAITHAI42PA
27 !.�. 550.2050523.409STASTA42PA
27 !.�. 550.05185PTTEPPTTE42PA
27 !.�. 550.02039343.288PTTPTT42PA
17 ".�. 550.218KTBKTB42PA
17 ".�. 550.025170KBANKKBAN42PA
27 !.�. 550.2008714.935ESSOESSO42PA
17 ".�. 550.146CPFCPF42PA
17 ".�. 550.025200BBLBBL42PA
27 !.�. 550.01016610.346BANPUBANP42PA
������������������������ �!"���
��#$�ก�$&'� �"(�
$�)�&'� �"(� (,�")
PUT DW
Derivative Warrants 42 $�>� ?!� Broker �B��CD� 42
Page 11
PTT42CD : Exercise = 284.438
PTT42PA : Exercise = 343.288
Page 12
PTT42CD : Exercise = 284.438
PTT42PA : Exercise = 343.288
Page 13
PTTE42PA : Exercise = 185
PTTE42CD : Exercise = 150
Page 14
PTTE42PA : Exercise = 185
PTTE42CD : Exercise = 150
Page 15
BANP42CD : Exercise = 511.903
BANP42PA : Exercise = 610.346
Page 16
BANP42CD : Exercise = 511.903
BANP42PA : Exercise = 610.346
Page 17
TOP42CD : Exercise = 48
TOP42PA : Exercise = 75
Page 18
TOP42CD : Exercise = 48
TOP42PA : Exercise = 75
Page 19
ESSO42CC : Exercise = 7.5
ESSO42PA : Exercise = 14.935
Page 20
ESSO42CC : Exercise = 7.5
ESSO42PA : Exercise = 14.935
Page 21
BCP42CC : Exercise = 21
Page 22
BCP42CC : Exercise = 21
Page 23
BBL42CD : Exercise = 150
BBL42PA : Exercise = 200
Page 24
BBL42CD : Exercise = 150
BBL42PA : Exercise = 200
Page 25
KBAN42CD : Exercise = 120
KBAN42PA : Exercise = 170
Page 26
KBAN42CD : Exercise = 120
KBAN42PA : Exercise = 170
Page 27
KTB42CC : Exercise = 12.2
KTB42PA : Exercise = 18
Page 28
KTB42CC : Exercise = 12.2
KTB42PA : Exercise = 18
Page 29
SCB42CD : Exercise = 142
Page 30
SCB42CD : Exercise = 142
Page 31
BAY42CD : Exercise = 28
Page 32
BAY42CD : Exercise = 28
Page 33
TCAP42CC : Exercise = 26
Page 34
TCAP42CC : Exercise = 26
Page 35
ADVA42CC : Exercise = 180
Page 36
ADVA42CC : Exercise = 180
Page 37
INTU42CA : Exercise = 50
INTU42PA : Exercise = 70
Page 38
INTU42CA : Exercise = 50
INTU42PA : Exercise = 70
Page 39
DTAC42CC : Exercise = 70
Page 40
DTAC42CC : Exercise = 70
Page 41
TRUE42CA : Exercise = 2.9
TRUE42PA : Exercise = 4.5
Page 42
TRUE42CA : Exercise = 2.9
TRUE42PA : Exercise = 4.5
Page 43
RSI oversold-overbought-oversold period
CPF42CC : Exercise = 31
CPF42PA : Exercise = 46
Page 44
CPF42CC : Exercise = 31
CPF42PA : Exercise = 46
Page 45
MINT42CC : Exercise = 11
Page 46
MINT42CC : Exercise = 11
Page 47
IVL42CD : Exercise = 24
IVL42PB : Exercise = 40
Page 48
IVL42CD : Exercise = 24
IVL42PB : Exercise = 40
Page 49
PTTG42CB : Exercise = 54
Page 50
PTTG42CB : Exercise = 54
Page 51
AOT42CC : Exercise = 55
Page 52
AOT42CC : Exercise = 55
Page 53
THAI42CC : Exercise = 17
THAI42PA : Exercise = 25
Page 54
THAI42CC : Exercise = 17
THAI42PA : Exercise = 25
Page 55
CPAL42CD : Exercise = 30
Page 56
CPAL42CD : Exercise = 30
Page 57
BIGC42CB : Exercise = 200
BIGC42CA : Exercise = 138.327
Page 58
BIGC42CB : Exercise = 200
BIGC42CA : Exercise = 138.327
Page 59
STA42CD : Exercise = 12
STA42PA : Exercise = 23.409
Page 60
STA42CD : Exercise = 12
STA42PA : Exercise = 23.409
Page 61
BGH42CB : Exercise = 95
Page 62
BGH42CB : Exercise = 95
Page 63
CPN42CC : Exercise = 45
Page 64
CPN42CC : Exercise = 45