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Introduction to Single Stock Futures

Single Stock Futures consist of two important components—a futures contract and a common stock. The combination of these two components creates the futures contract with the common stock as the underlying asset.


Characteristics and Specifications of Single Stock Futures

TFEX has defined the characteristics and specifications for Single Stock Futures as follow:

Underlying Asset
The listed companies selected by TFEX as the underlying stocks for Single Stock Futures are:

Stock Symbols

Company Name

First trading day

ADVANC

Advance Info Service Public Company Limited

24 Nov. 2008

BANPU

Banpu Public Company Limited

22 Jun. 2009

BAY

Bank of Ayudhya Public Company Limited

22 Jun. 2009

BBL

Bangkok Bank Public Company Limited

22 Jun. 2009

BTS

BTS Group Holdings Public Company Limited

21 Mar. 2011

CPALL

CP ALL Public Company Limited

21 Mar. 2011

CPF

Charoen Pokphand Foods Public Company Limited

21 Mar. 2011

DTAC

Total Access Communication Public Company Limited

21 Mar. 2011

HMPRO

Home Product Center Public Company Limited

21 Mar. 2011

IRPC

IRPC Public Company Limited

21 Mar. 2011

ITD

Italian-Thai Development Public Company Limited

22 Jun. 2009

IVL

Indorama Ventures Public Company Limited

21 Mar. 2011

KBANK

Kasikorn Bank Public Company Limited

22 Jun. 2009

KTB

Krungthai Bank Public Company Limited

22 Jun. 2009

LH

Land and House Public Company Limited

22 Jun. 2009

MINT

Minor International Public Company Limited

21 Mar. 2011

PS

Pruksa Real Estate Public Company Limited

21 Mar. 2011

PTT

PTT Public Company Limited

24 Nov. 2008

PTTEP

PTT Exploration and Production Public Company Limited

24 Nov. 2008

QH

Quality House Public Company Limited

22 Jun. 2009

SCB

The Siam Commercial Bank Public Company

22 Jun. 2009

SCC

The Siam Cement Public Company Limited

22 Jun. 2009

STA

Sri Trang Agro-Industry Public Company Limited

21 Mar. 2011

TCAP

Thanachart Capital Public Company Limited

21 Mar. 2011

THAI

Thai Airways International Public Company Limited

21 Mar. 2011

TMB

TMB Bank Public Company Limited

21 Mar. 2011

TOP

Thai Oil Public Company Limited

21 Mar. 2011

TTA

Thoresen Thai Agencies Public Company Limited

22 Jun. 2009

TUF

Thai Union Frozen Products Public Company Limited

21 Mar. 2011

TRUE

True Corporation Public Company Limited

21 Mar. 2011

Contract Size
One contract of Single Stock Futures initially contains 1,000 common shares. However, the contract size can be adjusted when a corporate action occurs.

Contract Months
TFEX sets the contract months (delivery months) of the Single Stock Futures as the last month of each quarter—March, June, September and December. For example, if today is 24 Nov 2008, the outstanding contracts for the single stock futures being traded will be for the following contract months only:

  • 1   December 2008
  • 2   March 2009
  • 3   June 2009
  • 4   September 2009

However, on the last trading day of the nearest contract, the next further contract will be opened for trading. Assuming that today is the last trading day for the contract expiring in Dec 2008, a new contract expiring in Dec 2009 will automatically be opened for trading.

Tick Size
The tick size for the Single Stock Futures equals Bt0.01. That means the price difference between each order cannot be less than Bt0.01.

  • Examples of the valid price ranges are Bt50, 50.01 ... 100.01 and 100.02.

Ceiling/Floor
The TFEX has set daily ceilings and floors for Single Stock futures. The ceilings are 30% above the previous day’s settlement prices; the floors are 30% below the previous day’s settlement prices. For example, if the previous day’s settlement price was Bt50, the price at which the contract can be traded may not exceed Bt65 and may not be lower than Bt35.

For a Combination order, the ceiling and floor are set using the last previous day’s settlement prices of the far month minus the near month (Far-Near). The ceiling is equal to the spread of the previous day’s settlement price of the far-near month +10.0, while the floor is equal that spread –10.0.

Trading Hours
The trading day is divided into four sessions

Session

Details

Periods

1

Pre-open

9:15 – 9:45

2

Morning session

9:45 – 12:30

3

Pre-open

14:00 – 14:30

4

Afternoon session

14:30 – 16:55

Last Trading Day
The last trading day of each contract is the day prior to the last exchange business day in the contract month. Examples are as follow:

Contract's Expirations

Last Trading Days

December 2008

29 December 2008

March 2009

30 March 2009

June 2009

29 June 2009

September 2009

29 September 2009

December 2009

29 December 2009

On the last trading day, the contract can be traded only until 16.30 hrs.

Final Settlement Price
The final settlement price comes from the average price of the underlying stock on the last trading day of the contract. It is calculated from the stock price on a minute-by-minute basis during the last 15 minutes before the trading ends, starting from 16:15 through to 16:30, and the closing price of the stock on that day. Two decimal points will be used for rounding the number of the average.

Cash Settlement
Similarly to Index Futures, there is no physical delivery of stocks at the end of the contract. Only cash settlement will be made. The gains and losses from the contract’s position will result in a cash transfer to the customer’s account. When a contract is settled in cash, its position will be declared closed.


Contract Code

Single Order
The contract code for a single order of Single Stock Futures comprises four parts, as shown below.

Part 1

Part 2

Part 3

Part 4

ABCDEF

Z

09

X

Part 1: Underlying Asset The stock symbol as traded in the SET is used. The symbol contains 2-6 characters and/or numbers.
Part 2: Contract Month The symbol of each expiry month is represented by a letter, see below.

Expiry months

Symbol

March

H

June

M

September

U

December

Z

Part 3: Expiry Year
The last two digits of the respective expiry year are used—for example, 08 for the contract expiry year 2008 and 09 for a contract due to expire in 2009.

Part 4: Contract Adjustment
In the case that there is some sort of corporate action, a contract adjustment can occur which changes the underlying asset, the contract size, the contract price, or the number of contracts outstanding, etc. The TFEX has set some additional symbols as indicators for adjustments, as follow:

  • X indicates the first contract adjustment
  • Y indicates the second contract adjustment
  • Z indicates the third contract adjustment

Examples of contract codes for Single Stock Futures using Single Orders

Combination Order
The contract code for a combination order of Single Stock Futures comprises seven parts, as follow:

Part 1

Part 2

Part 3

Part 4

Part 5

Part 6

Part 7

ABCDEF

U

09

X

Z

09

X

Part 1: Underlying Asset
The stock symbol as traded in SET is used. The symbol contains 2-6 characters and/or numbers.

Part 2 and part 5: Contract Months
Each expiry month is represented by a letter, see below.

Expiry month

Symbol

March

H

June

M

September

U

December

Z

Part 3: Expiry Year
The last two digits of the respective expiry years are used—for example, 08 for contract expiry year 2008, and 09 for a contract due to expire in 2009.

Part 4: Contract Adjustment In the case that there is some sort of corporate action, a contract adjustment can occur which changes the underlying asset, the contract size, the contract price, or the number of contracts outstanding, etc. The TFEX has set some additional symbols as indicators for adjustments, as follow:

  • X indicates the first contract adjustment
  • Y indicates the second contract adjustment
  • Z indicates the third contract adjustment

Example of trading using Combination Order

  1. An investor sends an order to buy PTTU09Z09 for Bt1 means the investor wants to buy PTTZ09 and sell PTTU09 simultaneously. The price of PTTZ09 minus the price of PTTU09 must not exceed Bt1
  2. An investor sends an order to sell PTTU09XZ09X for Bt2 means the investor wants to sell PTTZ09X and buy PTTU09X simultaneously. The price of PTTZ09X minus the price of PTTU09X must not be lower than Bt2

Examples of symbols for Single Stock Futures using Combination Orders

PTTH09M09

PTTEPH09M09

ADVANCH09M09

PTTH09U09

PTTEPH09U09

ADVANCH09U09

PTTH09Z09

PTTEPH09Z09

ADVANCH09Z09

PTTM09U09

PTTEPM09U09

ADVANCM09U09

PTTM09Z09

PTTEPM09Z09

ADVANCM09Z09

PTTU09Z09

PTTEPU09Z09

ADVANCU09Z09

These combinations can be applied with all underlying stocks of the Single Stock Futures.


Results of Corporate Actions

What is a Corporate Action?
A corporate action is an event created by a SET-listed company that may impact on that company's stock price, such as a share split, a reverse stock split, a cash dividend, stock dividend (bonus issue), merger, name change, spin-off, warrant issue, etc.

A corporate action normally brings about a change in the par value of a stock.

Examples of corporate actions that do and do not affect and affect the par value of a stock are as follow:

Not Affect Par Value

Affect Par Value

– Name Change

– Cash Dividend

– Extraordinary Cash Dividend

– Stock Split

– Reverse Stock Split

– Stock Dividend

– Right Issue

Contract Adjustment Principle
As the underlying assets of Single Stock Futures are specific common stocks, when a corporate action occurs to any of those stocks, the TFEX and the TCH will adjust the affected contracts in order to alleviate the impact on investors.

There are various kinds of corporate actions. However, some do not require a contract adjustment, such as an ordinary cash dividend, etc.

TFEX can make a contract adjustment by amending one or several items at the same time such as:

  • Contract code
  • Contract price (new cost on Ex-Date)
  • Contract size
  • Open position
  • Cash settlement (receivable/payable)

Contract Adjustment Methodologies
Adjustment can be classified into two types:

Standard Adjustments
Specified by TFEX for common cases, as follow:

  • Stock split or reversed stock split
  • Bonus issue or stock dividend
  • Extraordinary cash dividend
  • Rights offering or rights issue

Non-standard Adjustments
in other cases of corporate actions besides Standard Adjustments (see above), the following conditions will be considered by TFEX:

  • Whether or not a contract adjustment is necessary
  • If the adjustment is necessary, what method should be used

In the case of corporate actions with characteristics and fundamentals that differ from common cases, the TFEX (with the approval of the managing director of TFEX) may alter the adjustment method accordingly.

Standard Contract Adjustment
The adjustment for the above four common cases are explained below:

  1. Contract code
    When a corporate action causes an impact to some contract specification—such as underlying code, contract size, contract price, the number of contract outstanding, etc—the TFEX will add one additional letter following the end of the contract code in order to notify investors about the adjustment:
    • X represents the first adjustment
    • Y represents the second adjustment
    • Z represents the third adjustment
  2. Contract price (new cost on Ex-Date)
    • The new futures contract price = The original futures contract price x F
  3. Contract size
    • New contract size = original contract size / F

Note: F is the adjustment factor calculated according to the type of corporate action, as follows:

  1. Stock split or reversed stock split
    When ABC company changes its stock par value, causing a change in the number of share, outstanding from X shares to Y shares:
    • If Y > X, it is called stock split
    • If Y < X, it is called reverse stock split
  2. Bonus issue or stock dividend
    When ABC company pays a stock dividend to original shareholders at a rate of B original shares per A new shares è

     
  3. Extraordinary cash dividend
    When ABC company pays an extraordinary cash dividend of BtD per share (S = closing price of underlying stock on the day prior to the Ex-Date)

  4. Rights offering or rights issue
    When ABC company offers original shareholders the opportunity to purchase new common stock at a rate of B original shares per A new shares at BtS per share (S = price...)
     

 

Examples of Standard Adjustment Calculations

Case of a Stock Split
PTTEP company splits one original share to five new shares (changes its par value from Bt5 per share to Bt1 per share)

Information of the contracts one day prior to the Ex-date

Contract Codes

Contract prices

Contract size

Open positions

PTTEPH09

86

1,000

2,500

PTTEPM09

87

1,000

1,500

PTTEPU09

88

1,000

120

PTTEPZ09

89

1,000

30

The adjustment factor (F) can be calculated, as follows:

 
Information of the contracts on the ex-date will be:

Contract Codes

Contract prices

Contract size

Open positions

PTTEPH09X

86 x 0.2 = 17.2

1,000 / 0.2 = 5,000

2,500

PTTEPM09X

87 x 0.2 = 17.4

1,000 / 0.2 = 5,000

1,500

PTTEPU09X

88 x 0.2 = 17.6

1,000 / 0.2 = 5,000

120

PTTEPZ09X

89 x 0.2 = 17.8

1,000 / 0.2 = 5,000

30

Case of Bonus Issue or Stock Dividend
PTT company announces that it will a pay stock dividend to shareholders at a rate of four original shares per one new share.

Information of the contracts one day prior to the ex-date

Contract Codes

Contract prices

Contract size

Open positions

PTTH09

155

1,000

2,000

PTTM09

156

1,000

1,000

PTTU09

157

1,000

100

PTTZ09

158

1,000

20

The Adjustment factor (F) can be calculated, as follows:


Information of the contracts on the ex-date will be:

Contract Codes

Contract prices

Contract size

Open positions

PTTH09X

155 x 0.8 = 124

1,000 / 0.8 = 1,250

2,000

PTTM09X

156 x 0.8 = 124.8

1,000 / 0.8 = 1,250

1,000

PTTU09X

157 x 0.8 = 125.6

1,000 / 0.8 = 1,250

100

PTTZ09X

158 x 0.8 = 126.4

1,000 / 0.8 = 1,250

20

Case of Extraordinary Cash Dividend
ABC company announces that it will pay shareholders an extraordinary cash dividend of Bt5. The closing price of ABC on the day prior to the ex-date is Bt50.

Information of the contracts a day prior to the ex-date

Contract Codes

Contract prices

Contract size

Open positions

ABCH09

51

1,000

3,000

ABCM09

51.5

1,000

1,200

ABCU09

52

1,000

400

ABCZ09

52.5

1,000

50

The Adjustment factor (F) can be calculated, as follows:

 

 Information of the contracts on the ex-date will be:

Contract Codes

Contract Prices

Contract size

Open positions

ABCH09X

51 x 0.9 = 45.9

1,000 / 0.9 = 1,111

3,000

ABCM09X

51.5 x 0.9 = 46.35

1,000 / 0.9 = 1,111

1,200

ABCU09X

52 x 0.9 = 46.8

1,000 / 0.9 = 1,111

400

ABCZ09X

52.5 x 0.9 = 47.25

1,000 / 0.9 = 1,111

50

Case of Rights Offering or Right Issue
DEF Company announces a rights offering to shareholders to purchase new common shares at a rate of two original shares per one new share at a price of Bt35 per share. The closing price of DEF a day prior to the Ex-Date is Bt50.

Information of the contracts a day prior to the ex-date:

Contract Codes

Contract prices

Contract size

Open positions

DEFH09

50

1,000

3,500

DEFM09

50.5

1,000

1,400

DEFU09

51

1,000

600

DEFZ09

52

1,000

70

The Adjustment factor (F) can be calculated as follows:

 

 

Information of the contracts on the ex-date will be:

Contract Codes

Contract prices

Contract size

Open positions

DEFH09X

50 x 0.9 = 45

1,000 / 0.9 = 1,111

3,500

DEFM09X

50.5 x 0.9 = 45.45

1,000 / 0.9 = 1,111

1,400

DEFU09X

51 x 0.9 = 45.9

1,000 / 0.9 = 1,111

600

DEFZ09X

52 x 0.9 = 46.8

1,000 / 0.9 = 1,111

70


Circuit Breaker

Single Stock Futures cannot be traded at prices of more than 30% above (Ceiling) or 30% below (Floor) the previous day’s settlement prices. As its underlying assets are stocks traded on the SET, if the SET closes due to the kicking in of a Circuit Breaker, the TFEX also closes for trading.

Circuit Breaker conditions specified by SET are as follow:

The First Circuit Breaker kicks in when the SET Index decreases by 10% from its previous day’s close. The SET stops trading for 30 minutes.
The Second Circuit Breaker is engaged when the SET Index drops 20% from its previous day’s close. Market trading is halted for one hour.

After the second Circuit Breaker has elapsed, the SET reopens for trading until normal closing time without any further stops. In the case that the remaining trading time of the session is less than 30 minutes or one hour when the Circuit Breaker engages, the SET will simply stop trading for the remaining normally allotted trading period.

Note also that whenever the underlying stock of the Single Stock Futures is halted or suspended in the SET, the corresponding Single Stock Futures will also be halted or suspended in the TFEX.


Contract Holding till Expiration

A futures contract of Single Stock Futures that is held till expiration will be marked to market at the end of the last trading day of that contract month. The investor will receive/pay the difference between the final cost and the final settlement price while his/her position will be automatically closed.


Speculative Position Limit

The maximum number of contracts that a speculator may hold in single stock futures is not more than 5,000 contracts on one side of the market in any contract month or all contract months combined. However, some investors may receive an exception to hold positions that exceed the speculative limit. The initial speculative position limit of 5,000 contracts is effective from 24 Nov 2008 to 31 March 2009.


Reportable Limit

As specified by the SEC and TFEX, all brokers must report name lists of clients that hold at least 500 contracts in any one Single Stock Futures for one contract month or all contract months combined. However, the investors can still increase their holding positions, so long as they do not exceed their authorized credit limits and do not exceed the speculative position limit set by the TFEX.


Trading Strategies

Directional Trading Strategy
Investors can use Single Stock Futures to profit in both bull and bear markets. This is due to the fact that Single Stock Futures don’t require a physical transfer of real assets, only cash settlement—the process of receiving or paying the difference between the contract price and the final settlement price. As a result, investors can make the following transactions conveniently and efficiently:

  • “Buy and sell ” in order to speculate on a market uptrend.
  • “short sell and buy back” in order to speculate on a market downtrend.

Trading between Single Stock Futures and common stocks can be compared, as follows:

 

Common stock trading

Single Stock Futures Trading

Buy and sell

Can be done immediately Can be done immediately

Short sell and buy back

Need to borrow the stock first to short Sell Can be done immediately

Commission fee

Higher Lower

Minimum lot

100 shares 1 contract (1,000 shares / 1 contract)

Normal Cash Dividend

  • Buyers receive money
  • Stock borrowers pay dividends to the lenders
    • Buyers receive no dividend
    • Sellers pay no dividend

Other Corporate Action

As per normal practice Contract adjustment might be required

Settlement

Physical delivery Cash settlement

Profit/Loss

  • Buyers realize gain/loss after selling
  • Sellers realize gain/loss after buying back
  • Buyers realize gain/loss at the end of the day
  • Sellers realize gain/loss at the end of the day

Margin Settlement

  • Not applicable for Cash ATS Account
  • Not applicable for Cash Balance Account
  • Applicable for Credit Balance Account
SPAN Margin calculation will be applied. Investors need to settle an initial margin before trading.

Initial Margin

50% - 100% Approximately 10% - 20%

Spread Trading Strategies
Besides directional trading, investors can also apply spread trading strategies that involve trading two futures contracts simultaneously. Three common spread trading strategies are summarized below:

1. Calendar Spread
Strategy components

The calendar spread, also called an inter-month spread, is a strategy that comprises:

  • Long position in one futures contract.
  • Short position in one futures contract (the same underlying asset, but a different contract month)?.

Examples

  • Long PTTU08 and short PTTZ08 (buy near, sell far)
  • Short ADVANCM09 and long ADVANCU09         (buy far, sell near)?

Objectives of the Strategy

  1. The investor is holding contracts with low liquidity and needs to close out the position.

    Example On 1st February 2009, Mr. A has a long position in contract PTTZ09, but the price of PTT has dropped dramatically by that time, so Mr. A needs to close his position. However, the liquidity of PTTZ09 which is the furthest month is very low.

    Mr. A can apply the strategy by taking a short position either on PTTH09 or PTTM09 for a similar amount to hedge his position (stop loss), then close out the two contracts later when there is enough liquidity.

  2. An investor has a long position in a contract and would like to close his position. However, the contracts (of the same underlying stock) in other series are trading at much better prices.

    Example On 1st March 2009, Mr A has a long position in ADVANCM09 and needs to close his position as the price of ADVANCM09 now has gone up significantly. However, the prices of other series, such as ADVANCU09, are much higher.

    Therefore, Mr A should short ADVANCU09 for the same amount in order to hedge his position (lock the profit), then close the two contracts later when the price of ADVANCM09 increases to the same level as ADVANCU09.

    • Price Speculation

      Example The price difference (PTTEPZ09 – PTTEPU09) currently equals Bt2, but the investor expects the difference between the two contracts (PTTEPZ09 – PTTEPU09) to be smaller in the future.

      So the investor can short PTTEPU09Z09 at Bt2 and close his position in the two contracts when the price difference (PTTEPZ09 – PTTEPU09) declines by taking a long position in PTTEPU09Z09.

Tips

  1. The transaction costs involved in this strategy are double that of a directional trading strategy.
  2. The combination order can be used with a calendar spread trading strategy.

2. Inter-Commodity Spread
Strategy components
The inter-commodity spread comprises:

  • Long position in X futures contract?
  • Short position in Y futures contract (different underlying assets, but same type of market)?

The underlying assets for this strategy are assets with the same types of market (companies with the same, or related businesses), see example in Attachment 2:

Examples

  • Long PTTZ09 and short PTTEPZ09        
  • Short PTTEPM09 and long PTTM09

Objective of the Strategy
The investor expects the return of one underlying asset will outperform that of the other.

Example Mr. A expects the return of PTT to outperform that of PTTEP (the difference between their price returns in will increase).

Therefore, the investor can apply Inter-Market Spread by going:

  • Long PTTM09 at Bt164 for 7 contracts
    (total contract values are 164 x 7 x 1,000 = Bt1,148,000)
  • Short PTTEPM09 at Bt96 for 12 contracts
    (total contract values are 96 x 12 x 1,000 = Bt1,152,700)
When the investor needs to close his position, he can short PTTM09 for 7 contracts and long PTTEPM09 for 12 contracts

Tips

  1. The transaction costs of this strategy are double that of a directional trading strategy.
  2. A combination order cannot be used in conjunction with an inter-commodity spread trading strategy.

3. Inter-Market Spread
Strategy components

The inter-market spread comprises:

  • Long position in X futures contract?
  • Short position in Y futures contract (different underlying assets and different type of market)?.

The underlying assets for this strategy are those categorized in different types of markets, see example in Attachment 2

Example

  • Long S50Z09 and short ADVANCZ09
  • Short PTTM09 and long S50M09

Objectives of the Strategy
The investor expects the return of one underlying asset to outperform that of the other, which is of a different market type.

Example Mr A expects the return of ADVANC to outperform that of the SET50 Index (the difference between their price returns will increase).

Therefore, Mr A can apply an inter-market spread by going:

  • Long S50U09 at 300.8 points for 1 contract
    (total contract values are 300.8 x 1 x 1,000 = Bt300,800)
  • Short ADVANCU09 at Bt75.9 for 4 contracts
    (total contract values are 75.9 x 4 x 1,000 = Bt303,600)

In order to close out the position, he can short S50U09 for 1 contract and long ADVANCM09 for 4 contracts.

Tips
1. The transaction costs of this strategy are double that of a directional trading strategy.
2. A combination order cannot be used with an inter-market spread trading strategy.

Arbitrage
In using an arbitrage strategy, the investor aims to make a virtually risk-free profit. In order to achieve this aim, a fair price must be calculated and compared with the spot price of the underlying asset, including its net costs. With that knowledge in-hand, investors will know when the arbitrage strategy can be applied and how much the net profit will be.

The fair price of Single Stock Futures

It can be computed using the following formula

 

FFair = [S – PV(Div.)] x (1+ R)Day/365

 

Where
FFair               = The fair price of the Single Stock Future
S                   = The spot price of the underlying asset
PV(Div.)         = Present Value of the dividend with the ex-date within contract life
R                   = Risk-free rate (%)
Day               = Number of days to contract expiry

When to apply Arbitrage

Suppose FMarket is the market price of Single Stock Futures, an investor can consider applying an arbitrage strategy in the following conditions:

  • If FMarket > F Fair + trading cost of stock and futures (two legs)
    Short futures 1 contract and long stock 1,000 shares simultaneously
    The profit is equal to FMarket – F Fair - trading cost of stock and futures (two legs)
  • If FMarket < F Fair – trading cost of stock and futures (two legs)        
    Long Futures 1 contract and short stock 1,000 shares
    The profit is equal to F Fair– FMarket – trading cost of stock and futures (two legs) 

Tips

  • The number of shares to be traded under this strategy will be equal to the contract multiplier.
  • The investor must be careful about the contract multiplier after the ex-date.

 

 

Example

The investors can calculate the Fair Price as per following

The trading cost of the stock (two legs) is about Bt0.60 per share.
The trading cost of futures (two legs) is approximately Bt0.42 per share.
Net cost (approximately) is Bt1.02 per share

Suppose

  • FUpper Bound = F Fair + trading cost of stock and futures (two legs)
  • FLower Bound = F Fair – trading cost of stock and futures (two legs)

Some additional calculations can be made, as follow:

 Therefore, if the spot price of Single Stock Futures is lower than FLower Bound, the investor can apply the arbitrage strategy by going:

  • Long futures 1 contract and short stock 1,000 shares simultaneously.
  • The profit will be equal to (FLower Bound – F Market) x 1,000 shares.

On the other hand, if the spot price of Single Stock Futures is higher than FLower Bound, the investor can apply the arbitrage strategy by going:

  • Short futures 1 contract and long stock 1,000 shares simultaneously
  • The profit will be equal to (FMarket – FUpperBound) x 1,000 shares

 


Commission Fee

The commission is the combination between contract-value based commission and fixed commission per contract, VAT exclusive, for offline and Internet trading as follows:Õé


* Contract Price is the average price of futures contract during the previous month calculated by TFEX & TCH

Example

  • An investor buys BAYZ11 1 contract at the price of Bt27.00 via offline trading so the commission (VAT exclusive) to be paid is (27 x 1,000 x 0.10%) + 0.50 = Bt27.50
  • An investor buys BAYZ11 1 contract at the price of Bt27.00 via Internet trading so the commission (VAT exclusive) to be paid is (27 x 1,000 x 0.09%) + 0.50 = Bt24.80
  • An investor buys BANPUZ11 1 contract at the price of Bt700 via offline trading so the commission (VAT exclusive) to be paid is (700 x 1,000 x 0.10%) + 5 = Bt705
  • An investor buys BANPUZ11 1 contract at the price of Bt700 via Internet trading so the commission (VAT exclusive) to be paid is (700 x 1,000 x 0.09%) + 5 = Bt635
 
 
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