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GOLD FUTURES :
��������������� �������������������������
��� ������������������ | ����� �ก������ ����"�ก� ก���#� (%�&��'(��) *��ก�� (���+�)
2
Gold Futures �6�����ก 50 �� " & Gold Futures �6�����ก 10 ��
....................................................................
2 ����� 100 ��� �����ก���
1 ����� 50 ��� �����ก���
*��� ���::� Gold Futures 50 ���;�<+= ����
�6�����ก�������;��=��ก�� ���� (��>�����)
....................................................................
11 ����� 110 ��� �����ก���
12 ����� 120 ��� �����ก���
9 ����� 90 ��� �����ก���
10 ����� 100 ��� �����ก���
7 ����� 70 ��� �����ก���
8 ����� 80 ��� �����ก���
5 ����� 50 ��� �����ก���
6 ����� 60 ��� �����ก���
4 ����� 40 ��� �����ก���
2 ����� 20 ��� �����ก���
3 ����� 30 ��� �����ก���
1 ����� 10 ��� �����ก���
*��� ���::� Gold Futures 10 ���;�<+= ����
�6�����ก�������;��=��ก�� ���� (��>�����)
Gold Futures �6�����ก 50 �� �������� 2 ก��@������ 2552 Gold Futures �6�����ก 10 �� �������� 2 ������ 255350 �� 10 ��
3
��: �ก�B�>�� Gold Futures 50 ��" & Gold Futures 10 ��
GF : Gold Futures 50 ��GF : Gold Futures 50 ��%�&��ก'(�)* 1 +,- 2�.�/01� ���=��=����
%�&��ก'(�)* 3 �.�/01� ������;���::���ก���������
%�&��ก'(�)* 4 +,- 5 �.�/01� %C�;���::���ก��������� 10 : 23 4.5. 201010 : 23 4.5. 2010
�� ��D�� : GFZ10 �.�/01� ����� Gold Futures 50 ��4(ก����6��/78�96:��;��&�4. 4.5. 2010GF10V10 �.�/01� ����� Gold Futures 10 ��4(ก����6��/78�96:��%7,�4. 4.5. 2010
G : ก7.<�=��;>J : 9.'�/�
M : .A07��/�Q : �A���4.V : %7,�4.Z : ;��&�4.
G : ก7.<�=��;>J : 9.'�/�
M : .A07��/�Q : �A���4.V : %7,�4.Z : ;��&�4.
GF10 : Gold Futures 10 ��GF10 : Gold Futures 10 ��
50 �� 10 ��
4
��������������� ������������ ���������� �������������������������� �������������
���� �� ��!������ก ���� ������������ (5 ���)
������������������%��& (1,000 ���)
HI=�=��D�����I%���B (20 ���)
�������'ก������%��& (6,000 ���)
�������(�
� �� ��
������!��������)�������������� (1,000 ���)
������!������ก ����)������������*� (10 ���)
�����ก
ScrapScrap
Scrap
Scrap Scrap
� �� ��
������ ������������
�������!������+ �������,��-�./�-�
������ Greatest Gold ������ Y.L.G.
(������) ��������������
5
���������������� = [(Spot Gold + Premium) X 32.148 X THB X 0.965] /65.6
Spot Gold = ��� �������������ก ����������������� !"�#� �$����%� & �'�� �(��)
Premium = �0� 1���ก���� �������ก2�$ �3#� �#�2��#� �#��4ก!� �0� 1� ��ก�5�6$ �#���7� �����0� �#�8��9��$9:4ก�� �� ���49�& 1 ������� !" �#� ����� �!ก 1 �$����%� ��#��<�'4=>��ก�> �#�8��9�$9��:�!5�!'�7� ?������ก>��ก�>@�0
THB = �#���>��ก1�5� �#� �(��������� !" & �'�� �(��)32.148 = �6�� �!ก2�� ����� �$����%��#� 1 ก>��ก!965.6 = :���'��6�� �!ก5� ����� ������9�:�ก ����� �!ก 1 ก>��ก!9
�����������������.��������/012.ก��456����������7�8�15�.�5�.�9:/ก;8�5<��45=ก��� 1 >��
�������� : Gold Futures <� TFEX (�D(�=<+=����>��������=��������%M����=��=����
6
�������������������� Gold Spot Gold Spot �;�<+=�=����>���;�<+=�=����>�� Gold Futures Gold Futures
�.�/9�%7 :1 Troy Ounce = 31.1035 gram���4��4&�.(A�7�;AN 96.5% (.�%(Q��8�2(-9�5R�/) ���4��+�T� � �����ก 1 �� 9�T�ก� 15.244 ก(�.0U�ก����68�U London Gold Fixing (RTGLFIX) 92\� World Spot Gold 6���� � World Spot Gold Purity 4:� 0.995
��%(�+,ก92,)*/� THB/USD ��f6gR6Uf�ก www.bot.or.th �(:� Bisnews ���,�ก'i> RTXUSTBT(�4����4��%T�� �����ก 1 �� (�A�4U��U���A�j�� Gold Futures) 8kU���,�ก'i> BNGOLD 8� Bisnews
�����������D��6�����ก 1 �� = (World Spot Gold) X (15.244) X (0.965) X (THB/USD)
(31.1035) X (World Spot Purity)
7
�0,,��� ���*�')������������0,,��� ���*�')����������� Gold FuturesGold Futures ���� TFEXTFEX
�������� ������ก�')1�.� ���������� ������ก�')1�.� ��������ก+����������ก+��������2����2����3����3�4���4�� 1 1,185 USD/Troy ounce,185 USD/Troy ounce
������������������2����2����3����3 ( (USD) : USD) : ��ก���������ก������� USD USD �������� �������� ���� � 5.����� � 5.�
�/��ก�/�����67��/��ก�/�����67� :: ��ก�/��ก�/�����67������ก�/��ก�/�����67���� �������� ���� � 5.����� � 5.�
�/����')�����(��������2ก��������/����')�����(��������2ก������� :: ��ก�ก���������ก�ก������� �������� ���� � 5.����� � 5.�
�+����2!��+�������ก�+����2!��+�������ก ::Demand Demand !�!� SupplySupply ����������ก ����������ก
�����9����ก�����������9����ก������ :: ���+� ��/���4�)���)����+� ��/���4�)���)� �������� ���� � 5.����� � 5.�
�������� Gold FuturesGold Futures ���� TFEX TFEX
�4���4�� GF GF10V10 = 18,250 10V10 = 18,250 ������
������������������������������2����2����3����3 :: ��ก����������������ก�������������� �������� ���� ������ 5.����� ������ 5.�
DemandDemand !�!� Supply Supply �������+��� �������+��� Gold Futures Gold Futures
����+%��:2����+%��:2 ((������������������))
8
�%�;���;��=����ก��a�6�>��������"�D� 10 ��ก� Gold Futures �6�����ก 10 ��
18,500 ��(�4�j�/��ก
18,400 ��(�4�(�n: �
����������"�D�>�������b��ก����6�����ก������"�D� 10 �� ��กa�6�" &>��<�����;*&�ก��=����ก��������ก��� = 100*10 = 1,000 ��
87818,53018,440608
65418,52018,450145
507
321
425
Bid Qty
18,460
18,470
18,480
Bid Price
58918,510
21818,500
10918,490
Ask QtyAsk Price
���� Gold Futures <�� ���������� (TFEX)
Gold Futures 10 ��"���6�����ก��� 10 �� ��กa�6�" &>��<�����;*&�ก��=����ก��������ก�����D�ก��D ��D��>������ Bid " & Offer กก��D� Commission >�a�6�" &>�>�� (� � VAT �= �) �����6� �=����ก��������ก��� = (18490-18480)*10 + 2*107 = 314 ��
o %�&�/T��+�6�8�U9�p�&T� ��ก(�4� Best Bid +,- Best Ask j��Gold Futures +4�)*�76 1 kT&�(�4� Tick Size 4:� 10 �� Gold Futures .)%U��7�ก�(���;7(ก((.�)*%*��ก&T�ก�(n: �j�/���4��+�T�R6U01�2(-.�i 3 9�T�
o t6/��*&R2 Best Bid +,- Best Ask �T��ก�� 10 �� n1*��-�U���<�=4,T���)*6)
o ��กf�ก�) ��ก9�(6 Gold Futures f���&�.�ก8�&��96)/&ก��4T� Commission /A*�0gก,�%�. Sliding Scale
GF10V10 : GF OCT10
9
ก��*����;�� �����������a�6�>��
%,�6��7=��;>f-9กp4����*�n: �j�/R&U%� �+%T9&,��)*�T�4����*�n: �j�/f�01��A �&�����ก�( +,-f�69()/�4����*�n: �j�/ %�.,��6�j��(�4�+,-9&,��)*6)�)*�76 (Price and then Time Priority) wgUn: ��)*(�4�+=��76R6U4A&กT�� wgUj�/(�4�%*���76R6U4A&กT�� ��ก(�4�9�T�ก�� wgU.�กT��R6U4A&กT��
%,�6��7=��;>f-9กp4����*�n: �j�/R&U%� �+%T9&,��)*�T�4����*�n: �j�/f�01��A �&�����ก�( +,-f�69()/�4����*�n: �j�/ %�.,��6�j��(�4�+,-9&,��)*6)�)*�76 (Price and then Time Priority) wgUn: ��)*(�4�+=��76R6U4A&กT�� wgUj�/(�4�%*���76R6U4A&กT�� ��ก(�4�9�T�ก�� wgU.�กT��R6U4A&กT��
Limit OrderMarket Order : Fill-and-Kill (FAK)Market Order : Fill-or-Kill (FOK) Hidden Limit OrderCombination OrderStop Limit Order
Limit OrderMarket Order : Fill-and-Kill (FAK)Market Order : Fill-or-Kill (FOK) Hidden Limit OrderCombination OrderStop Limit Order
%�&�@�ก���D��������a�6�>�� Gold Futures
�� ��D���;�*&"����D�(%*&�%M��� ��D��>�� Gold Futures 10 �� ar��s=��%M� Gold Futures 50 ��� �กก��ก#*&������ก��
10
?@:�
Gold Futures
C:ก��D�GF10V10 = 18,000
Long Open?9K6L�5MNO<�
GF10V10 = 19,300Short Close
9K6L�5MNO<�R6Sก���S��กD9
Gold Futures
Gold Spot
= �8� Commission TM�U6;�5?9K6L�5M7:M;�59K6L�5M
ก��D� = (19300-18000)*10 = 13,000 >��(ก8�5�8� Commission)
��6@8���������.���U�TMX<5 : Long Gold Futures 10 >��T��5@5 1 =ZZ�
@=54�6��S[=ZZ�28 ;.�. 2553
Long Gold Futures : ���ก��B� D� �������� ก*&>r6� " &/���� �����*&�D����;�ก� US Dollar
11
?@:�
Gold Futures
C:ก��D�
GF10V10 = 19,300Short Open
?9K6L�5M�SGold Futures
Gold Spot
GF10V10 = 18,500Long Close
9K6L�5M�SR6Sก��NO<��O5
= �8� Commission TM�U6;�5?9K6L�5M7:M;�59K6L�5M
ก��D� = (19300-18500)*10 = 8,000 >��(ก8�5�8� Commission)
@=54�6��S[=ZZ�28 ;.�. 2553
��6@8���������.���U�TM:6:� : Short Gold Futures 10 >��T��5@5 1 =ZZ�
Short Gold Futures : ���ก��B� D� �������� ก*& � " &/���� �����*&">#���;�ก� US Dollar
12
518,53018,4409
1518,52018,45010
3918,51018,46027
6718,50018,47020
13
AQty
18,480
Bid
18,49048
AskBQty
Limit Order 4:� ก�(9���n: �j�/�)*(-7(�4�n: � / (�4�j�/%�&�/T�� �T�4����*� Long GF10V10 t6/(-7(�4�n: � = 18,490 �� f���&� 1 �����
� (�4��)*f�4gTก�(n: �j�/ (Price) f-�U�/ก&T��(:�9�T�ก� 18,490 ��
� ����(�%�&�/T���) (�4��)*f�4gTก�(n: �j�/R6U9�T�ก� 18,490 ��
� ����(�%�&�/T���) ��ก(-7(�4�n: � = 18,500 �� (�4��)*f�4gTก�(n: �j�/f-9�T�ก� 18,490 ��
%�&�/T�� �T�4����*� Long GF10V10 t6/(-7(�4�n: � = 18,490 �� f���&� 1 �����
� (�4��)*f�4gTก�(n: �j�/ (Price) f-�U�/ก&T��(:�9�T�ก� 18,490 ��
� ����(�%�&�/T���) (�4��)*f�4gTก�(n: �j�/R6U9�T�ก� 18,490 ��
� ����(�%�&�/T���) ��ก(-7(�4�n: � = 18,500 �� (�4��)*f�4gTก�(n: �j�/f-9�T�ก� 18,490 ��
Limit OrderSeries ID : GF10V10
13
%�&�/T�� �T�4����*� Short GF10V10 t6/(-7(�4�j�/ = 18,480 �� f���&� 1 �����
�(�4��)*f�4gTก�(n: �j�/ (Price) f-.�กก&T��(:�9�T�ก� 18,480 ��
� ����(�%�&�/T���) (�4��)*f�4gTก�(n: �j�/R6U9�T�ก� 18,480 ��
� ����(�%�&�/T���) ��ก(-7(�4�j�/ = 18,470 (�4��)*f�4gTก�(n: �j�/f-9�T�ก� 18,480 ��
%�&�/T�� �T�4����*� Short GF10V10 t6/(-7(�4�j�/ = 18,480 �� f���&� 1 �����
�(�4��)*f�4gTก�(n: �j�/ (Price) f-.�กก&T��(:�9�T�ก� 18,480 ��
� ����(�%�&�/T���) (�4��)*f�4gTก�(n: �j�/R6U9�T�ก� 18,480 ��
� ����(�%�&�/T���) ��ก(-7(�4�j�/ = 18,470 (�4��)*f�4gTก�(n: �j�/f-9�T�ก� 18,480 ��
Limit Order
518,53018,4409
1518,52018,45010
3918,51018,46027
6718,50018,47020
13
AQty
18,480
Bid
18,49048
AskBQtySeries ID : GF10V10
14
%�&�/T�� �T�4����*� Long GF10V10 �)*(�4� Market Price f���&� 120 �����
� ����(�%�&�/T���) �..%A8�U�� �%,�6.)(�4�9���j�/�� ��.6 3 (�4�9�T��� � n1*�f-f�4gTก�(n: �j�/R6U�� ��.6f���&� 119 ����� t6/(�4��)*f�4gTก�(n: �j�/f-92\�6���)
(�4��)*f�4gTก�(n: �j�/9�T�ก� 18,490 �� f���&� 13 ����� (�4��)*f�4gTก�(n: �j�/9�T�ก� 18,500 �� f���&� 67 ����� (�4��)*f�4gTก�(n: �j�/9�T�ก� 18,510 �� f���&� 39 �����
� t6/f���&�9���n: ��)*9�,:� 1 ����� f-0gก/ก9,Aกt6/(-
%�&�/T�� �T�4����*� Long GF10V10 �)*(�4� Market Price f���&� 120 �����
� ����(�%�&�/T���) �..%A8�U�� �%,�6.)(�4�9���j�/�� ��.6 3 (�4�9�T��� � n1*�f-f�4gTก�(n: �j�/R6U�� ��.6f���&� 119 ����� t6/(�4��)*f�4gTก�(n: �j�/f-92\�6���)
(�4��)*f�4gTก�(n: �j�/9�T�ก� 18,490 �� f���&� 13 ����� (�4��)*f�4gTก�(n: �j�/9�T�ก� 18,500 �� f���&� 67 ����� (�4��)*f�4gTก�(n: �j�/9�T�ก� 18,510 �� f���&� 39 �����
� t6/f���&�9���n: ��)*9�,:� 1 ����� f-0gก/ก9,Aกt6/(-
Market Order (FAK: Fill and Kill)
Market Order (FAK: Fill and Kill) 4:� ก�(9���n: �j�/9.:*�wgU,��7�%U��ก�(n: ��(:�j�/����) �7ก(�4� �)*.)ก�(9���n: �j�/8�ji-�� � ��กf�4gTR6U���T&�+,-.)f���&�9���n: �j�/9�,:����T&�f-/ก9,Aกก�(9���n: �j�/�)*/��f�4gTR.TR6U�� �����)
18,4409
18,45010
3918,51018,46027
6718,50018,47020
13
AQty
18,480
Bid
18,49048
AskBQtySeries ID : GF10V10
15
Market Order (FAK: Fill and Kill)
%�&�/T�� �T�4����*� Short GF10V10 �)*(�4� Market Price f���&� 100 �����
� ����(�%�&�/T���) �..%A8�U�� �%,�6.)(�4�9���n: ��� ��.6 3 (�4�9�T��� � n1*�f-f�4gTก�(n: �j�/R6U�� ��.6f���&� 95 ����� t6/(�4��)*f�4gTก�(n: �j�/f-92\�6���)
(�4��)*f�4gTก�(n: �j�/9�T�ก� 18,480 �� f���&� 48 ����� (�4��)*f�4gTก�(n: �j�/9�T�ก� 18,470 �� f���&� 20 ����� (�4��)*f�4gTก�(n: �j�/9�T�ก� 18,460 �� f���&� 27 �����
� t6/f���&�9���j�/�)*9�,:� 5 ����� f-0gก/ก9,Aกt6/(-
%�&�/T�� �T�4����*� Short GF10V10 �)*(�4� Market Price f���&� 100 �����
� ����(�%�&�/T���) �..%A8�U�� �%,�6.)(�4�9���n: ��� ��.6 3 (�4�9�T��� � n1*�f-f�4gTก�(n: �j�/R6U�� ��.6f���&� 95 ����� t6/(�4��)*f�4gTก�(n: �j�/f-92\�6���)
(�4��)*f�4gTก�(n: �j�/9�T�ก� 18,480 �� f���&� 48 ����� (�4��)*f�4gTก�(n: �j�/9�T�ก� 18,470 �� f���&� 20 ����� (�4��)*f�4gTก�(n: �j�/9�T�ก� 18,460 �� f���&� 27 �����
� t6/f���&�9���j�/�)*9�,:� 5 ����� f-0gก/ก9,Aกt6/(-
518,530
1518,520
3918,51018,46027
6718,50018,47020
13
AQty
18,480
Bid
18,49048
AskBQtySeries ID : GF10V10
16
Market Order (FOK: Fill or Kill)
Market Order (FOK: Fill or Kill) 4:� ก�(9���n: �j�/9.:*�wgU,��7�%U��ก�(n: ��(:�j�/����) �7ก(�4� �)*.)ก�(9���n: �j�/8�ji-�� � ��กR.T��.�(0f�4gTก�(n: �j�/R6U�� ��.6%�.f���&�9���n: �j�/8�U/ก9,Aกก�(9���n: �j�/�� �����)
%�&�/T�� �T�4����*� Long GF10V10 �)*(�4� Market Price f���&� 120 �����
� ����(�%�&�/T���) �..%A8�U�� �%,�6.)(�4�9���j�/�� ��.6 3 (�4�9�T��� � (&.�� ��.6f���&� 119 �����
� ����(�%�&�/T���) f-R.T9กA6ก�(f�4gTก�(n: �j�/9กA6j1 �9�:*��f�กR.T��.�(0f�4gTก�(n: �j�/R6U�� ��.6 (120 �����) %�.f���&��)*.)ก�(9���n: �+,-f-/ก9,Aกก�(9���n: ��� ��.6����)
%�&�/T�� �T�4����*� Long GF10V10 �)*(�4� Market Price f���&� 120 �����
� ����(�%�&�/T���) �..%A8�U�� �%,�6.)(�4�9���j�/�� ��.6 3 (�4�9�T��� � (&.�� ��.6f���&� 119 �����
� ����(�%�&�/T���) f-R.T9กA6ก�(f�4gTก�(n: �j�/9กA6j1 �9�:*��f�กR.T��.�(0f�4gTก�(n: �j�/R6U�� ��.6 (120 �����) %�.f���&��)*.)ก�(9���n: �+,-f-/ก9,Aกก�(9���n: ��� ��.6����)
18,4409
18,45010
3918,51018,46027
6718,50018,47020
13
AQty
18,480
Bid
18,49048
AskBQtySeries ID : GF10V10
17
Market Order (FOK: Fill or Kill)
%�&�/T�� �T�4����*� Short GF10V10 �)*(�4� Market Price f���&� 100 �����
� ����(�%�&�/T���) �..%A8�U�� �%,�6.)(�4�9���n: ��� ��.6 3 (�4�9�T��� � (&.�� ��.6f���&� 95 �����
� ����(�%�&�/T���) f-R.T9กA6ก�(f�4gTก�(n: �j�/9กA6j1 �9�:*��f�กR.T��.�(0f�4gTก�(n: �j�/R6U�� ��.6 (100 �����) %�.f���&��)*.)ก�(9���j�/+,-f-/ก9,Aกก�(9���j�/�� ��.6����)
%�&�/T�� �T�4����*� Short GF10V10 �)*(�4� Market Price f���&� 100 �����
� ����(�%�&�/T���) �..%A8�U�� �%,�6.)(�4�9���n: ��� ��.6 3 (�4�9�T��� � (&.�� ��.6f���&� 95 �����
� ����(�%�&�/T���) f-R.T9กA6ก�(f�4gTก�(n: �j�/9กA6j1 �9�:*��f�กR.T��.�(0f�4gTก�(n: �j�/R6U�� ��.6 (100 �����) %�.f���&��)*.)ก�(9���j�/+,-f-/ก9,Aกก�(9���j�/�� ��.6����)
518,530
1518,520
3918,51018,46027
6718,50018,47020
13
AQty
18,480
Bid
18,49048
AskBQtySeries ID : GF10V10
18
Hidden Limit Order
Hidden Limit Order (���� Published Order) 4:� - ก�(9���n: �j�/t6/(-7(�4�n: �j�/ +,- - +T�ก�(n: �j�/��ก92\�f���&�/T�/{ +,-- �/�/����T�9jU��gT(-ก�(n: �j�/t6/��%t�.�%A - n1*�ก�(9���n: �j�/8�+%T,-4(� �%U��.)f���&��/T���U�/ 10
�����ก�(n: �j�/
19
518,53018,4409
1518,52018,45010
3918,51018,46027
6718,50018,47020
18,4805
18,48010
13
AQty
18,480
Bid
18,49010
AskBQty
Hidden Limit OrderSeries ID : GF10V10
(�/ก�(9���n: ��)* 1
(�/ก�(9���n: ��)* 2
(�/ก�(9���n: ��)* 3
%�&�/T�� �T�4����*� Long GF10V10 �)*(�4� 18,480 f���&� 25 �����+,-ก����6 Hidden Order = 10
� (�4��)*f�4gTก�(n: �j�/ (Price) f-�U�/ก&T��(:�9�T�ก� 18,480 ��
� (�/ก�(ก�(9���n: �f-�/�/����T�9jU��gT(-�,��R6U(�ก�(f�4gT+,U&6���) (�/ก�(ก�(9���n: ��)* 1. Long GF10V10 �)*(�4� 18,480 �� f���&� 10 ����� +,-�,��f�ก
R6U(�ก�(f�4gTR6U�� ��.6+,U& (-กpf-�T�(�/ก�(ก�(9���n: ��)* 2. Long GF10V10 �)*(�4� 18,480 �� f���&� 10 ����� 9jU�R28�(- +,- �,��f�กR6U(�ก�(f�4gT�� ��.6+,U& (-กpf-�T�(�/ก�(ก�(9���n: ��)* 3. Long GF10V10 �)*(�4� 18,480 �� f���&� 5 �����9jU�R28�(-
%�&�/T�� �T�4����*� Long GF10V10 �)*(�4� 18,480 f���&� 25 �����+,-ก����6 Hidden Order = 10
� (�4��)*f�4gTก�(n: �j�/ (Price) f-�U�/ก&T��(:�9�T�ก� 18,480 ��
� (�/ก�(ก�(9���n: �f-�/�/����T�9jU��gT(-�,��R6U(�ก�(f�4gT+,U&6���) (�/ก�(ก�(9���n: ��)* 1. Long GF10V10 �)*(�4� 18,480 �� f���&� 10 ����� +,-�,��f�ก
R6U(�ก�(f�4gTR6U�� ��.6+,U& (-กpf-�T�(�/ก�(ก�(9���n: ��)* 2. Long GF10V10 �)*(�4� 18,480 �� f���&� 10 ����� 9jU�R28�(- +,- �,��f�กR6U(�ก�(f�4gT�� ��.6+,U& (-กpf-�T�(�/ก�(ก�(9���n: ��)* 3. Long GF10V10 �)*(�4� 18,480 �� f���&� 5 �����9jU�R28�(-
20
518,53018,4409
1518,52018,45010
3918,51018,46027
6718,50018,47020
118,490
1018,490
10
AQty
18,480
Bid
18,49048
AskBQty
%�&�/T�� �T�4����*� Short GF10V10 �)*(�4� 18,490 f���&� 21 �����+,-ก����6 Hidden Order = 10
� (�4��)*f�4gTก�(n: �j�/ (Price) f-.�กก&T��(:�9�T�ก� 18,490 ��
� (�/ก�(ก�(9���j�/f-�/�/����T�9jU��gT(-�,��R6U(�ก�(f�4gT+,U&6���) (�/ก�(ก�(9���j�/�)* 1. Short GF10V10 �)*(�4� 18,490 �� f���&� 10 ����� +,-�,��f�ก
R6U(�ก�(f�4gT�� ��.6+,U& (-กpf-�T�(�/ก�(ก�(9���j�/�)* 2. Short GF10V10 �)*(�4� 18,490 �� f���&� 10 �����9jU�R28�(- +,- �,��f�กR6U(�ก�(f�4gT�� ��.6+,U& (-กpf-�T�(�/ก�(ก�(9���j�/�)* 3. Short GF10V10 �)*(�4� 18,490 �� f���&� 1 �����9jU�R28�(-
%�&�/T�� �T�4����*� Short GF10V10 �)*(�4� 18,490 f���&� 21 �����+,-ก����6 Hidden Order = 10
� (�4��)*f�4gTก�(n: �j�/ (Price) f-.�กก&T��(:�9�T�ก� 18,490 ��
� (�/ก�(ก�(9���j�/f-�/�/����T�9jU��gT(-�,��R6U(�ก�(f�4gT+,U&6���) (�/ก�(ก�(9���j�/�)* 1. Short GF10V10 �)*(�4� 18,490 �� f���&� 10 ����� +,-�,��f�ก
R6U(�ก�(f�4gT�� ��.6+,U& (-กpf-�T�(�/ก�(ก�(9���j�/�)* 2. Short GF10V10 �)*(�4� 18,490 �� f���&� 10 �����9jU�R28�(- +,- �,��f�กR6U(�ก�(f�4gT�� ��.6+,U& (-กpf-�T�(�/ก�(ก�(9���j�/�)* 3. Short GF10V10 �)*(�4� 18,490 �� f���&� 1 �����9jU�R28�(-
Hidden Limit OrderSeries ID : GF10V10
(�/ก�(9���j�/�)* 1
(�/ก�(9���j�/�)* 2
(�/ก�(9���j�/�)* 3
21
�� ��D��ก������ B�����y�z;>�� Gold Futures = GF
� ���� Gold Futures �;����� B(�=�%M���������y�z; ar��HI= ����*&<+=%�&ก�ก�������<*<�ก����6�����a�6�>��<�� ��
� ��ก�=��ก�� Long Gold Futures " = ����� ��>�� Gold Futures ����ก D������y�z; �����6� HI= ����*&�;�=�����;��;
� ��ก�=��ก�� Short Gold Futures " = ����� ��>�� Gold Futures "��ก D������y�z; �����6� HI= ����*&�;�=�����;��;
� ก���;��;�=�����;��; (�D(�=�%M��� D�+;6 D�*&�;ก��(�����(�D HI= ����*&(�=ก��(������ ����sIก�'���>�������������=����
��������y�z;>�� Gold Futures
��������� Gold Spot �% ;�����ก���6� ��������y�z;>�� Gold Futures
ก#*&�% ;���"% �(%�= �����B ���;�;6 Gold Spot (S) <��ก� (���� = 18,142 ��
GF10Q10
GF10V10
GF10Z10
GF10Q10 = 18142 + 18142 *1.00%*34/365 = 18,159 �� (��������y�z;)
GF10V10 = 18142 + 18142 *1.00%*93/365 = 18,189 �� (��������y�z;)
GF10Z10 = 18142 + 18142 *1.00%*155/365 = 18,219 �� (��������y�z;)
Gold Futures (GF) = S + S * R * TS = ����������"�D� (��)R = �������ก�;6�(�=� ����;��� (%)T = �������� ��>����::� (%C)
22
Gold Futures (GF) = S + S * R * TS = ����������"�D� (��)R = �������ก�;6�(�=� ����;��� (%)T = �������� ��>����::� (%C)
23
Premium VS World Gold Spot
-30
-25
-20
-15
-10
-5
0
5
10
15
20
25
2 Feb 09
3 Apr 09
2 Jun 09
1 Aug 09
30 Sep 09
29 Nov 09
28 Jan 10
29 Mar 1
0
28 May 1
0
Pre
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US
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850
900
950
1000
1050
1100
1150
1200
1250
1300
Wo
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Premium (USD) World Gold Spot (USD)
�D���;��;��<�������"�D�<�(�� (USD) VS World Spot Gold (USD)
������������<�� ��� ก�I���ก ��*���<�=���<�(��sIกก D�� ��� ก *r����<�= �D���;��;��>��������"�D�<�(�� �;��ก���%M���
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Premium
World Gold Spot
24
Finding an Opportunity to Abitrage
-600
-400
-200
0
200
400
600
2 Feb 09
3 Apr 09
2 Jun 09
1 Aug 09
30 Sep 09
29 Nov 0
9
28 Jan 10
29 M
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28 M
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600
Mak
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gold
Fut
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Pri
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Fu
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Gold Trader Associations's gold Bullion - Gold SpotMaket Price gold Futures - Fair Price Gold Futures
(�������"�D�<�(�� ~ ���� Gold Spot) VS (����� ��>�� Gold Futures ~ �����y�z;)
sr�"�= D� Gold Futures *&(�D�;�D �%�&ก��D���;��;�����"�D� "�D<������(�������#�%��ก�ก��B� D�- <�����;� ��;��;�����"�D�"������ ก��ก} ��**&��#� Gold Futures "��ก D������y�z;(%�= �- <�����;� ��;��;�����"�D����������� ��**&��#� Gold Futures sIกก D������y�z;(%�= �
(�������"�D�<�(�� ~ ���� Gold Spot)
(����� ��>�� Gold Futures ~ �����y�z;)
25
Gold Futures&���.6��/7
Daily Settlement Price " & Final Settlement Price
4T�9|,)*/0T&�� �����ก2(A.�iก�(n: �j�/j��(�4�}~&9f�(>��)*n: �j�/8�kT&� 5 ���)�76�U�/กT��%,�62~6 (16:50 �.-16:55 �.)
�����;�<+=+���&����a�6�>��%�&*�� �� (Daily Settlement Price)
London Gold A.M. Fixing Price f-��ก9&,� 10:30 GMT j��9&,�2(-9�5���ก�' = 17:30 �. j��9.:��R�/ (��กR.T.) Daylight saving time) t6/2ก%A9&,�R�/ = GMT+7 k�*&t.�
http://www.lbma.org.uk/?area=stats&page=gold/2010dailygold
�����;�<+=+���&����<� ��a�6�>�� ������=�� (Final Settlement Price)
THB/USD995.0
965.0
1035.31
244.15 Fixing A.M. GoldLondon ×××=ementFinalSettl
26
�� ��D�������;�<+=+���&����<� ���;��������>�� Gold Futures
o London Gold A.M. Fixing 6gf�ก Bisnews RTGLFIX �(:� http://www.lbma.org.uk/?area=stats&page=gold/2010dailygold n1*�(�4�f-��ก.�9&,� 17:30 �. j��9.:��R�/
o THB/USD 6gf�ก TBFIXPM n1*�(�4�f-��ก.�9&,� 16:30 �. j��9.:��R�/
o 8�%�&�/T���) �..%A&T� RTGLFIX = 1,212.4 USD/Troy ounce +,- TBFIXPM = 33.4728 Baht/USD
THB/USD995.0
965.0
1035.31
244.15 Fixing A.M. GoldLondon ×××=ementFinalSettl
Final Settlement Price : Gold Futures
= 1,212.4 * 15.244 * 0.965 * 33.4728 = 19,289.9819,289.9831.1035 * 0.995
27
51605040
51506045
51207038
201108030
48
AQty
90
Bid
10020
AskBQty
%�&�/T�� �T�4����*� Long GF10V10Z10 �)*(�4� 100 f���&� 1 4gT�����
� Long GF10V10Z10 �.�/4&�.01� Long GF10Z10 +,- Short GF10V10
� 0U���.�(0f�4gTก�(n: �j�/R6U(�4��)*f�4gTก�(n: �j�/ (Price) f-�U�/ก&T��(:�9�T�ก� 100 (�T&�%T��(-�&T��(�4�(7T�Rก,+,-(�4�(7T�8ก,U)
%�&�/T�� �T�4����*� Long GF10V10Z10 �)*(�4� 100 f���&� 1 4gT�����
� Long GF10V10Z10 �.�/4&�.01� Long GF10Z10 +,- Short GF10V10
� 0U���.�(0f�4gTก�(n: �j�/R6U(�4��)*f�4gTก�(n: �j�/ (Price) f-�U�/ก&T��(:�9�T�ก� 100 (�T&�%T��(-�&T��(�4�(7T�Rก,+,-(�4�(7T�8ก,U)
Combination Order (Spread Order) : Gold Futures
Combination Order 4:� ก�(9���n: �j�/������)*.)96:���)*k��(-(�4�%T��ก��t6/��.�(0f�4gTR6U=(U�.ก���� � 2 jU��j��������)*.)�A�4U��U���A�96)/&ก�� t6/8�U(-7(�4�92\��T&�%T��(-�&T��(�4�(7T�Rก,+,-(�4�(7T�8ก,U ((�4�j�� series (7T�Rก, ,6U&/ (�4�j��(7T�8ก,U)
Series ID : GF10V10Z10
28
51605040
51506045
51207038
201108030
48
AQty
90
Bid
10020
AskBQty
%�&�/T�� �T�4����*� Short GF10V10Z10 �)*(�4� 90 f���&� 1 4gT�����
� Short GF10V10Z10 �.�/4&�.01� Short GF10Z10 +,- Long GF10V10
� 0U���.�(0f�4gTก�(n: �j�/R6U(�4��)*f�4gTก�(n: �j�/ (Price) f-.�กก&T� �(:�9�T�ก� 90(�T&�%T��(-�&T��(�4�(7T�Rก,+,-(�4�(7T�8ก,U)
%�&�/T�� �T�4����*� Short GF10V10Z10 �)*(�4� 90 f���&� 1 4gT�����
� Short GF10V10Z10 �.�/4&�.01� Short GF10Z10 +,- Long GF10V10
� 0U���.�(0f�4gTก�(n: �j�/R6U(�4��)*f�4gTก�(n: �j�/ (Price) f-.�กก&T� �(:�9�T�ก� 90(�T&�%T��(-�&T��(�4�(7T�Rก,+,-(�4�(7T�8ก,U)
Combination Order (Spread Order) : Gold FuturesSeries ID : GF10V10Z10
29
���� Combo order �)* Long GF10OCT10DEC10 �.�/01� ก�( Long �����96:��Rก, DEC10 +,- Short �����96:��8ก,U OCT10 t6/�)* Long combo 6��ก,T�&92\�ก�(9กp�ก��R(�)*4�6&T� Spread Price j��(�4� Gold Futures f-j/�/ก&U��j1 � ��*�4:� �/�ก8�U Spread Price �)*94/(�4��U�/.)4T�.�กj1 �%�&�/T�� Long Open Spread �)*(�4� 10 �� +,- Short Close Spread �)*(�4� 70 �� w,ก��R( = (70-10)*10 = 600 �� +,-9�)/4T� Commission = 107*4 = 428 �� 6���� � ก��R(�7�;A = 172 ��
9&,�
Gold Futures
GF10
OCT10
GF10
DEC10
Spread Price = 10
Long Spread Gold Futures ��� ก�����ก��B� D� Spread *�ก���"�*&>���ก =��>r6�
Spread Price = 70
30
���� Combo order �)* Short GF10OCT10DEC10 �.�/01� ก�( Short �����96:��Rก, DEC10 +,- Long �����96:��8ก,U OCT10 t6/�)* Short combo 6��ก,T�&92\�ก�(9กp�ก��R(�)*4�6&T� Spread Price j��(�4� Gold Futures f-+4,� ��*�4:��/�ก8�U Spread Price �)*94/(�4�.�ก.)(�4��U�/,�%�&�/T�� Short Open Spread �)*(�4� 100 �� +,- Long Close Spread �)*(�4� 20 �� w,ก��R( = (100-20)*10 = 800 �� +,-9�)/4T� Commission = 107*4 = 428 �� 6���� � ก��R(�7�;A = 372 ��
9&,�
Gold Futures
Spread Price = 100
Short Spread Gold Futures ��� ก�����ก��B� D� Spread *�ก����;����ก =��*&��"� �
Spread Price = 20
GF10
OCT10
GF10
DEC10
31
Gold Futures Spread: GFG10J10 (GFFeb10Apr10)
นิยามราคา Spread = เดือนไกล-เดือนใกล
Long Spread GFFeb10Apr10 ที่ +30 บาท คือ Long Apr10 + Short Feb10 Short Spread
GFFeb10Apr10 ที่ +160 บาท คอื Short Apr10 + Long Feb10
กําไร = (160-30)*50=6500 บาทกอนคาคอม(คาคอมไปกลบั 2140บาท)
Outright Gold Futures
ตัวอยางการเทรด Long SpreadGold Futures 50 บาท
32
Gold Futures Spread: GFJ10M10 (GFApr10Jun10)
นิยามราคา Spread = เดือนไกล-เดือนใกล
Long Spread GFApr10Jun10 ที่ +0 บาท คือ Long Jun10 + Short Apr10
Short Spread GFApr10Jun10 ที่ +200 บาท คอื Short Jun10 + Long Apr10
กําไร = (200-0)*50=10,000 บาทกอนคาคอม(คาคอมไปกลบั 2140บาท)
Outright Gold Futures
ตัวอยางการเทรด Short SpreadGold Futures 50 บาท
33
Long GF10V10 (OCT10)
ก�� Rollover �Long position� �;��;��ID<������" =
28 OCT 10 29 DEC 10
��ก,��7�%U��ก�(0:��0��- Long Gold Futures %T�R2�)ก8����4%f1����ก�( Rollover 6U&/ก�( Long Spread Order
�� ��D����������a�6�(Bid) , ����>�� (Ask) Combo a;�;�� GF10V10Z10 (���ก������a�6�����>���;��;�;���� 5 ����)
�D�������� Spread Order ���ก�� Long OPEN GF10V10Z10 ��������ก�� Rollover
9&,��)*9(� Long Spread �/�กn: ��)*(�4�%*��{ 6���� � 9(�f-=/�/�.n: �4gT Spread �)*(�4�%*��{ /A*�92\� 0 �(:�%A6,R6U/A*�6)
34
Long GF10V10 (OCT10) Long GF10Z10 (DEC10)
Short GF10V10 (OCT10) Long GF10V10Z10
Long GF10V10Z10 = Long GF10Z10 + Short GF10V109.:*� Long position j�� GF10V10 �)*.)�/gT8�=�(>%�/gT+,U&8ก,Uf-�.6��/7�����,� +,-9(�%U��ก�(�)*f-/��0:� position �� �%T�R2�)ก8����4% 9(�f-�T� Spread Order 4:� Long GF10V10Z10 n1*�f-kT&/ roll over �0��- Long GF10V10 �)*.)�/gT 8�U92\� Long GF10Z10 t6/�)* Long GF10Z10f-92\�ก�(92~6 Long position 8�.Tj�� GF10Z10 8�=�(>% +,- Short GF10V10 f-R22~6 Long position j�� GF10V10 �)*.)�/gT96A.8�=�(>%
Long GF10Z10 (DEC10)
��ก4����*� Spread Order R6U(�ก�(f�4gT 8�=�(>%กpf-.) Long position j�� GF10Z10 (DEC10)
28 OCT 10 29 DEC 10
28 OCT 10 29 DEC 10
35
Short GF10V10 (OCT10)
ก�� Rollover �Short position� �;��;��ID<������" =
28 OCT 10 29 DEC 10
��ก,��7�%U��ก�(0:��0��- Short Gold Futures %T�R2�)ก8����4% f1����ก�( Rollover 6U&/ Short Spread Order
�� ��D����������a�6�(Bid) , ��������>�� (Ask) Combo a;�;�� GF10V10Z10 (���ก������a�6�����>���;��;�;���� 5 ����)
�D�������� Spread Order ���ก�� Short OPEN GF10V10Z10 �����ก����� Rollover
9&,��)*9(� Short Spread �/�กj�/�)*(�4��g�{ 6���� � 9(�f-=/�/�.j�/ Short 4gT Spread �)*(�4��g�{ /A*�92\�&ก.�ก{R6U/A*�6)
36
Long GF10V10 (OCT10)
Short GF10Z10 (DEC10)Short GF10V10 (OCT10)
Short GF10V10Z10
Short GF10V10Z10 = Short GF10Z10 + Long GF10V109.:*� Short position j�� GF10V10 �)*.)�/gT8�=�(>%8ก,Uf-�.6��/7�����,� +,-9(�%U��ก�(�)*f-/��0:� position �� �%T�R2�)ก8����4% 9(�f-�T� Spread Order �)*f- Short GF10V10Z10 n1*�f-kT&/ roll over �0��- Short GF10V10 �)*.)�/gT 8�U92\� Short GF10Z10 t6/�)* Short GF10Z10 f-92\�ก�(92~6 Shortposition 8�.Tj�� GF10Z108�=�(>% +,- Long GF10V10 f-R22~6 Short position j�� GFV10 �)*.)�/gT96A.8�=�(>%
��ก4����*� Spread Order R6U(�ก�(f�4gT 8�=�(>%กpf-.) Short position j�� GF10Z10 (DEC10)
Short GF10Z10 (DEC10)
28 OCT 10 29 DEC 10
28 OCT 10 29 DEC 10
37
Stop Limit Order
Stop Limit Order 4:�ก�(9���n: �j�/�)*8�Uก�(9���n: �j�/ i (�4��)*ก����6.)w,8�(-n: �j�/ 9.:*�(�4�%,�6,T��76 (Last Price) �(:�(�4�9���n: ��)*6)�)*�76 (Best Bid) �(:�(�4�9���j�/�)*6)�)*�76 (Best Offer) ji-�� �94,:*��R�&.�01�(�4�%�.9�:*��Rj +,-92\�R2%�.9�:*��Rj�)*ก����6 9kT� Last > Stop Price (-f-��� Limit Order 9jU�R2%T�4A&�gTก(-6��n: �j�/
38
%�&�/T�� ��ก,��7�.)�0��- Short GF10V10 �)* 18,240 ���/gT8�=�(>%+,-%U��ก�(2~6�0��- (Long Close) 9=:*�f��ก�6w,j�6�7� (Cut Loss) 9.:*�(�4�2(�%�&9=A*.R2�)*(�4� 18,490 ��
� 9.:*�(�4� Last Price 2(�%�&9=A*.R2�)*(�4� 18,490 �� Limit Order f-9jU�R2%T�4A&8�(-
� 8�ก(i)�)*f�4gTR6U (�4��)*f�4gTก�(n: �j�/ (Price) f-�U�/ก&T� �(:�9�T�ก� 18,490 ��
� ����(�%�&�/T���) (�4��)*f�4gTก�(n: �j�/R6U9�T�ก� 18,490 �� 9�:*��f�ก/��.)(�4�9���j�/�)* 18,490 ��9�,:��/gT
%�&�/T�� ��ก,��7�.)�0��- Short GF10V10 �)* 18,240 ���/gT8�=�(>%+,-%U��ก�(2~6�0��- (Long Close) 9=:*�f��ก�6w,j�6�7� (Cut Loss) 9.:*�(�4�2(�%�&9=A*.R2�)*(�4� 18,490 ��
� 9.:*�(�4� Last Price 2(�%�&9=A*.R2�)*(�4� 18,490 �� Limit Order f-9jU�R2%T�4A&8�(-
� 8�ก(i)�)*f�4gTR6U (�4��)*f�4gTก�(n: �j�/ (Price) f-�U�/ก&T� �(:�9�T�ก� 18,490 ��
� ����(�%�&�/T���) (�4��)*f�4gTก�(n: �j�/R6U9�T�ก� 18,490 �� 9�:*��f�ก/��.)(�4�9���j�/�)* 18,490 ��9�,:��/gT
Stop Limit Order
Last ≥ Stop Price18,490GF10V10
ConditionStop PriceSeriesID
518,53018,4409
1518,52018,45010
3918,51018,46027
6718,50018,47020
1318,49018,48048
AQtyAskBidBQty
�D �>��ก��ก�����������(>
Series ID : GF10V10
�D �>��ก���D��������a�6�>��
Long Close GF10V10 �)*(�4� 18,490 �� f���&� 1 �����
40
%�&�/T�� ��ก,��7�.)�0��- Long GF10V10 �)* 18,730 ���/gT8�=�(>%+,-%U��ก�(2~6�0��- (Short Close) 9=:*�f��ก�6w,j�6�7� (Cut Loss) 9.:*�(�4�2(�%�&,�R2�)*(�4� 18,480 ��
� 9.:*�(�4� Last Price 2(�%�&,�R2�)*(�4� 18,480 �� Limit Order f-9jU�R2%T�4A&8�(-
� 8�ก(i)�)*f�4gTR6U (�4��)*f�4gTก�(n: �j�/ (Price) f-.�กก&T� �(:�9�T�ก� 18,480 ��
� ����(�%�&�/T���) (�4��)*f�4gTก�(n: �j�/R6U9�T�ก� 18,480 �� 9�:*��f�ก/��.)(�4�9���n: ��)* 18,480 ��9�,:��/gT
%�&�/T�� ��ก,��7�.)�0��- Long GF10V10 �)* 18,730 ���/gT8�=�(>%+,-%U��ก�(2~6�0��- (Short Close) 9=:*�f��ก�6w,j�6�7� (Cut Loss) 9.:*�(�4�2(�%�&,�R2�)*(�4� 18,480 ��
� 9.:*�(�4� Last Price 2(�%�&,�R2�)*(�4� 18,480 �� Limit Order f-9jU�R2%T�4A&8�(-
� 8�ก(i)�)*f�4gTR6U (�4��)*f�4gTก�(n: �j�/ (Price) f-.�กก&T� �(:�9�T�ก� 18,480 ��
� ����(�%�&�/T���) (�4��)*f�4gTก�(n: �j�/R6U9�T�ก� 18,480 �� 9�:*��f�ก/��.)(�4�9���n: ��)* 18,480 ��9�,:��/gT
Stop Limit Order
Last ≤Stop Price18,480GF10V10
ConditionStop PriceSeriesID
518,53018,4409
1518,52018,45010
3918,51018,46027
6718,50018,47020
1318,49018,48048
AQtyAskBidBQty
�D �>��ก��ก�����������(>
Series ID : GF10V10
�D �>��ก���D��������a�6�>��
Short Close GF10V10 �)*(�4� 18,480 �� f���&� 1 �����
42
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