2008 11 97 1 28 97 4 7 97 6 12 97 10 13 97 11 10 SPAN 97 12 98 1 1
2 3
TGF 4 10 (100 375 ) 1 5 1 (3.75 ) 1 0.5 / 3,160 1 tick 3,160.5 50 0.5 / *100 = 50 5
( 31.1035 3.75 0.9999 0.995) 6 USD= 31.1035 3.75 (1 = 31.1035g) (1 =3.75g) 995 999.9 999.9 USD= 31.1035 3.75 0.9999 0.995 ( 0.9999 0.995 ) 999.9 TWD= ( 31.1035 3.75 0.9999 0.995) 7
800 32.4 =(800 31.1035 3.75 0.9999 0.995) 32.5 = 3,150.1 ( ) 3,150 / =3,150 / 100 =315,000 8 8:45~ 1:45 6 2 4 6 8 10 12 15% 2 ( 3 ) 9
10 1919 5 Bank of Nova Scotia Barclays Bank Plc Deutsche Bank AG HSBC Bank USA Société Générale (AM Fixing) 10:30 (PM Fixing) 15:00 11
www.taifex.com.tw (99.99%) www.goldfixing.com www.lbma.org.uk GOLDLNAM Index GOLDLNPM Index XAUFIX= 12 13
14 ( ) 5,000 2,000 15
( ) 4 2 3 5 CBOE 16 ( ) 17
( ) 60 18 ( ) 8:45 ~ 1:45 8:45 ~ 1:30 60 1:30 19
( ) 5000 2000 2.5 ( ) 22% 60% 20 ( ) ( ) 100% 80% 21
2,000 2 3 $2 $10 $1 5 $10 $50 $2 $50 $100 $5 $100 $200 $10 $200 $500 $20 8:45~ 1:45 $500 $1,000 $50 $1,000 $100 8:45 ~ 1:30 22 ( ) 5 5 15 15 50 50 150 150 1,000 1,000 0.01 0.05 0.1 0.5 1 5 (2,000 ) 23
( ) 60 24 ( ) 5,000 3,750 2,500 1,250 350 15,000 11,250 7,500 3,750 1,250 37,500 28,100 18,750 9,350 3,100 25
( ) 26 27
( ) 200 3000 AAO $3000 72 4.17% 2% 120% AAA 2400 +$6000 AAO 2000 28 ( ) 200 50 10% 60.0 ABO ABA 2400 +$2600 63 2400 +$3000 65 ABO 2000 29
SPAN 30 31
2005 1 (CFTC) 5 10 32 (1) ( ) ( ) 33
(2) 4 ( ) ( ) 3 34 (3) (1) = (2) = 35
(4) 4 (1) 1 (2) 2 (3) 3 ( ) (4) 4 2 30 4 30 2007 7 1 36 (1) 1 37
(2) 2 38 (3) 3 39
(4) 4 40 41
42 MSCI 17 1 1.15 1.5 1 1.035 1.35 MSCI (MSF) 1 1 1.25 10% 43
74,000 86,000 111,000 74,000 77,000 100,000-10.47% -9.91% 54,000 63,000 81,000 54,000 56,000 73,000-11.11% -9.88% 63,000 73,000 95,000 63,000 66,000 86000-9.59% -9.47% 18,500 21,500 27,750 18,500 19,250 25,000-10.47% -9.91% 16,000 19,000 (A ) 24,000 16,000 17,000 22,000-10.53% -8.33% MSCI 1,300 1,410 1,630 1,300 1,300 1,630-7.80% 0.00% 25,000 29,000 38,000 25,000 26,000 34,000-10.34% -10.53% 45,000 52,000 68,000 45,000 47,000 61,000-9.62% -10.29% 44 45
Covered Call 46 47
SMART 48 (1) 50 5% 10% 30 50% ( ) 20% 10% 49
(2) Deutsche Bank AG( ) BNP Paribas AUD( ) 2 50 / 58 4 5 50 (3) 20% 10% 4 5 51
(1) ( ) ( ) ( ) 1 1 2 1 ( 10% ) 52 (2) ( ) 53
(3) 2 54 (1) 5% 95% 10% 90 30% 70% 70% 55
(2) 8 2 4 1 2 56 (1) SPAN 50% SPAN SPAN 1 (SPAN ) 50% 2 57
(3) 1 97 6 26 65 87, 000 64,000 45,500 65 1,000 70 32,000 64,000 *50 32,000 ( ) 58 ( ) ( 3 ) MTS 59
5 1 60 ( ) 5 1 61
SPAN 62 SPAN SPAN CME 1988 Standard Portfolio Analysis of Risk( ).. ( ) ( 100 ) 63
SPAN SPAN 64 - SPAN (Commodity Group ) SPAN (Combined Commodity ) MSCI MSCI SPAN 65
66 - SPAN ( ) ( ) ( ) ( 6 7 ) ( TX TE) 67
- SPAN 16 3 12 2 16 16 ( ) 68 - =64,000( ) =5% 1/3 & =64,000 300 1/3 100 =5% 5% 100 5% ( ) 69
- 97 7 31 1 8 70-97 7 31 1 8 7000 71
SPAN 1. 2. 3. 4. 1~3 5. 6. 5. 72 73
SPAN SPAN Delta SPAN Delta Delta Delta 1 FITX Delta =1 1 4=4 Delta 4 4 1 74 Delta Composite Delta) delta 1 7 0 1 0-1 Delta 97 7 31 8 7000 Delta 75
(B) SPAN 200808 1 200809 1 Delta 4,800 8 Delta = -4 9 Delta = 4 Delta=Min( -4, 4 ) =4,800 4= 19,200 76 (C) SPAN =( A Delta + B Delta ) Delta SPAN Delta Delta 77
200808 1 200808 1 Delta =-4 16,000 Delta =4 13,500 Delta=Min( -4 /1, 4 /1.6)=2.5 1:1.6 1 Delta 1.6 Delta =(16,000+13,500) 50% 2.5=36,875 78 (Short Option Minimum) SOM= ( ) = - 79
97 7 31 1 8 ( ) 80 97 7 31 2 8 1 9 1 8 7000 1 8 81
( ) SPAN SPAN SPAN SPAN SPAN SPAN 82 ( ) SPAN SPAN 83
( ) Delta Delta ( ) Delta 1 84 ( ) SPAN ( ) 85
86 2 3 6 2 87
100 12,000 ( 1,000 12 ) 88 89
6:00 ( ) 90 ( ID ) ( ) ETF 91
Delta Delta 92 2 3 ( ) 93
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