SINGLE STOCK FUTURE TRADING Shaun van den Berg PSG Online: Head of Client Education...
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Transcript of SINGLE STOCK FUTURE TRADING Shaun van den Berg PSG Online: Head of Client Education...
SINGLE STOCK FUTURE TRADING
Shaun van den Berg
PSG Online: Head of Client Education
_______________________________
James Boardman
JSE DerivativesWednesday,23 May 2012
• JSE– Central Orderbook
• PSG Online– What are SSFs– Terminology– SSFs versus Equities.– Risk– Trading Strategy– Pricing– Account Registration– SSF Simulator
OVERVIEW
JSE - A CENTRALISED MARKET
JSE – EVOLVING MARKETS
From this…
JSE – EVOLVING MARKETS
… where you could expect this…
JSE – EVOLVING MARKETS
… to this. Quiet, calm efficiency
JSE - A LEVEL THE PLAYING FIELD
JSE - SSF GUARANTEE HIERARCHY
JSE - IT WAS EASY TO SAY NO…
NO!
• Introduced competition on rates• Now they all come to you, hoping for a
yes…
JSE - CENTRAL ORDERBOOK
YouPlease?
Please? Please? Please?
Please?
JSE - SPREADS
JSE - SPREADS
R100R99 R101
R1.5
R1.5
R1
• Can’t compare absolute spread values between instruments
• Need to compare in percentage of exposure
• Value will be in basis points– 1 Basis point = 0.0001
• On average spreads on Top40 Futures are 25 Basis Points
JSE - SPREAD COST
BIDOFFER
BIDOFFER
(
()
)2
= Spread%
• Parking tickets!
• Magnus de Wet• James Boardman• Rudolf Oosthuizen
– [email protected]– +27 11 520 7051
JSE - CONTACT DETAILS
• SSFs are contracts entered into between 2 parties
• Right for the buyer to take delivery of that stock on the date of the contract’s expiry, a ‘deposit’, known as the initial margin is made and used as security
• Close out or Roll positions• An SSF contract is made up of 100
shares geared at around 15%
PSG - WHAT ARE SSFs
• Standardised contract• SAFEX• Partially matched orders simply expire!• Expire March, June, September and
December• Including all relevant dividends and
interest• Go long or Go short• Marked to market daily (MTM)
PSG - SSFs EXPLAINED
• Underlying• Going Long• Going Short• Closing a position• Expiry date• Initial margin• Variation margin• Rolling a position
PSG - TERMINOLOGY
• Highly capital efficient• Low brokerage• Very liquid• Earn interest• Benefit from Corporate Actions• Cheaply diversify risk• Hedge your portfolio
PSG - BENEFITS
PSG - SSFs OR EQUITIES
Joe is confident that Sasol Ltd shares will increase in the coming months.
He has R36,500 which she can invest.
Sasol’s share price is R365, therefore she buys 100 shares.
3 months later the price has increased by 10% so he sells his shares to make a R3,650 profit.
His return on his investment is 10%
John is confident that Sasol Ltd shares will increase in the oncoming months.
Sasol’s share price is R365, therefore he buys a Long Sasol SSF contract (JUN12 SOLQ).
The initial margin set by the broker is R4,950 which is paid by the buyer.
After 3 months the price has increased by 10% and the investor closes out his position and sells out of the Sasol SSF contract he is holding. His profit is R3,650
His return on his investment is 58%.
Joe (Equity / Share Trader) John (SSFsTrader)
• Jack is an SSFs Trader• Jack is confident that Sasol Ltd shares will increase in the coming
months.• Sasol’s share price is R365, therefore he buys a Long Sasol SSF
contract – JUN12 SOLQ at R4 950 initial margin which is paid by the buyer
• The Brent Crude price decreases by $10 a barrel which negatively impacts on Sasol’s share price, which drops to R335 per share
• The SSF contract is made up of 100 underlying shares.• The margin call for Investor B to continue trading is 100 x R30 (R365
– R335) = R 3000 variation margin which needs to be paid in to keep the investors position open. He has now laid out R 7,950
• After a month the share price continues to drop to R300. The investor chooses to close his position and must pay in a further
R 3,500 variation margin.• His total outlay is R 10,950 but he receives his Initial margin back, so
his total loss is R6000 (-121.2%)
PSG - UNDERSTANDING RISK
• Interest payable is determined daily by the market maker in relation to the ruling SAFEX rates.
• Interest will be paid on cash balances at a rate linked to the JSE Trustees rate.
PSG - SSF PRICING
• Brokerage on the Central Orderbook is charged at 0.4% (excl VAT) of the value of the transaction.
• 14% VAT on opening leg and 14% VAT on closing leg
• 0.912% total
• A booking fee of R60
PSG - SSF COSTS
•Identify the candidate•Wait for the breakout •Set a reasonable target price (TP) •Allow the share to retest•Know when your trade has failed•Exit at your price target (TP)•Be patient•Be disciplined
PSG - TRADING STRATEGY
• The more times a share price has touched these areas, the more
valid these levels are & the more important they become.
• The longer these support & resistance levels have been in play,
the better the outcome when the share price finally breaks out.
PSG - IDENTIFY THE CANDIDATE
• Once prices are set to close above a resistance level, a trader will establish a bullish position.
• When prices are set to close below a support level, a trader will take on a bearish position.
• The exit point itself should be set at a critical price level, e.g. Support & Resistance
PSG - ENTRY AND EXIT POINTS
PSG - ASCENDING TRIANGLES
TP
• Mentored learning• Full day workshop (09h00 – 16h00)
– Monday, 25 June 2012
• Fundamental Analysis & Investing • Technical Analysis & Trading • Cost: R200
PSG - MARKETWORX
• Click here• Submit your details• Login • Select your SSFSM account (top right)
• Reset simulator• Select “New Order”
PSG - SIMULATOR TRADING
• Click here
SSF ACCOUNT REGSITRATION
SSF Margin
Initial margin
percontract
Top 40 SharesALSI & ALMI
Copper, Gold, Platinum & Silver
WTI Crude Oil
SSF Central Order Book
ALSI – Most popularTop 40 Shares
Liquidity, Cheap, Tight SpreadsLong & Short
SSF Order Book – ALSI Trade
Margin = R28 050Exposure = R280 500 Cost R25 per contract
R10 per point100 points move =
R1000
Buy (Long) @ 30 089Moves 300 points up
= 30 389300 points move x R10
= R3 000
2 point spread
= R10 x 2 points
= R20
SSF Order Book – ALMI Trade
Margin = R2805Exposure = R28 050
Cost R55 per contractR1 per point
100 points move = R100
Buy (Long) @ 30 050Moves 300 points up
= 30 359300 points move x R1
= R300 x 5 = R1500
5 Contracts x R2 805 =
R14 025
40 point spread
= R1 x 40 points
= R40
SSF Simulator (SSFSM)
Step 1Select SSFSM
Step 2Check
R100 000
Step 3Click ResetSimulator
New Order (ALSI)
New Order (ALSI Buy)
Step 2 Enter
Contracts
Step 1Select
Direction
Step 3 Enter
Price (R)
Step 4Click
Submit Order
Example 1:Buy (Long) 1 contract @ 30 089
Trade History (ALSI Buy)
Margin Movement
Select Trade
History
Financial History (ALSI Buy)
Select Financial History
Margin & Brokerage
R25Margin = R28 050Exposure = R280 500 Cost R25 per contract
R10 per point100 points move =
R1000
New Order (ALSI Sell)
Sell (Long Close)Moves up to 30 389
= 300 points move x R10 = R3 000
Step 1Select
Direction
Step 2 Enter
Contracts
Step 3 EnterPrice
Step 4Click
Submit Order
Trades History (ALSI Sell)
Margin Returned
Profit or
Loss
Financial History (ALSI Sell)
Select Financial History
SSF Simulator - Portfolio
Select Portfolio
Example 3:Sell (Short) @ 30 089
Moves down to 29 789= 300 points move x R10
= R3 000
Example 2:Buy (Long) @ 30 089
Moves down to 29 921 = 169 points move x R10
= R1 690 loss(Margin Call)
New Order (Remgro Buy)
Step 1Select
Direction
Step 2 Enter
Contracts
Step 3 Enter
Price (R)
Step 4Click
Submit Order
Trade History (REM Buy)
Margin Movement
Select Trade
History
Margin = R2 1225 Contracts
5 x R2 122 = R10 610Exposure = 5 x 100 x
R131.50 = R65 750
Financial History (REM Buy)
Select Financial History
Margin & Brokerage
R309.03Brokerage =
Exposure R65 750 x 0.47% (VAT incl) =
R309.03
SSF Simulator - Portfolio
Select Portfolio
Exposure 5 x 100 x R131.50 = R65 750
New Order (Remgro Sell)
Step 1Select
Direction
Step 2 Enter
Contracts
Step 3 Enter
Price (R)
Step 4Click
Submit Order
Trade History (REM Sell)
Margin Returned
Select Trade
History
Profit or
Loss
Sell (Close) REMJUN12contract
@ R142.00
Exposure = 5 x 100 x R142.00 = R71 000
Financial History (REM Sell)
Select Financial History
Brokerage&
Profit
Brokerage = R71 000 x 0.47% (VAT incl.) =
R333. 70
Profit = R71 000 – R65 750
= R5 250
• General enquiries– 0860 PSG PSG (774 774)– [email protected]– www.psgonline.co.za
• Trading assistance– Lawrence Marshall– [email protected]
• Educational enquiries– [email protected]
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