Transcript PSG_JSE_SSF_Seminar_presentation
SINGLE STOCK FUTURE TRADING
Shaun van den Berg PSG Online: Head of Client Education _______________________________ James Boardman JSE Derivatives
Wednesday,23 May 2012
OVERVIEW
• JSE – Central Orderbook • PSG Online – What are SSFs – Terminology – SSFs versus Equities.
– Risk – Trading Strategy – Pricing – Account Registration – SSF Simulator
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!
JSE - CENTRAL ORDERBOOK
• Introduced competition on rates • Now they all come to you, hoping for a yes…
Please?
You
Please?
Please?
Please?
Please?
JSE - SPREADS
JSE - SPREADS R99 R1.5
R1 R1.5
R100 R101
JSE - SPREAD COST
• Can’t compare absolute spread values between instruments • Need to compare in percentage of exposure ( OFFER BID ) ( OFFER 2 BID ) • Value will be in basis points = Spread% – 1 Basis point = 0.0001
• On average spreads on Top40 Futures are 25 Basis Points
JSE - CONTACT DETAILS
• Parking tickets!
• Magnus de Wet • James Boardman • Rudolf Oosthuizen – [email protected]
– +27 11 520 7051
PSG - WHAT ARE SSFs
• 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 - SSFs EXPLAINED
• 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 - TERMINOLOGY
• Underlying • Going Long • Going Short • Closing a position • Expiry date • Initial margin • Variation margin • Rolling a position
PSG - BENEFITS
• Highly capital efficient • Low brokerage • Very liquid • Earn interest • Benefit from Corporate Actions • Cheaply diversify risk • Hedge your portfolio
PSG - SSFs OR EQUITIES Joe (Equity / Share Trader) John (SSFsTrader) 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%.
PSG - UNDERSTANDING RISK
• • • • • • • •
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 - SSF PRICING
• 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 COSTS
• 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 - TRADING STRATEGY
• 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 - IDENTIFY THE CANDIDATE
• 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 - ENTRY AND EXIT POINTS
• 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 - ASCENDING TRIANGLES TP
PSG - MARKETWORX
• Mentored learning • Full day workshop (09h00 – 16h00) – Monday, 25 June 2012 • Fundamental Analysis & Investing • Technical Analysis & Trading • Cost: R200
PSG - SIMULATOR TRADING
• Click here • Submit your details • Login • Select your SSFSM account (top right) • Reset simulator • Select “New Order”
SSF ACCOUNT REGSITRATION
• Click here
SSF Margin Initial margin per contract Top 40 Shares ALSI & ALMI Copper, Gold, Platinum & Silver WTI Crude Oil
SSF Central Order Book ALSI – Most popular Top 40 Shares Liquidity, Cheap, Tight Spreads Long & Short
SSF Order Book – ALSI Trade Margin = R28 050 Exposure = R280 500 Cost R25 per contract R10 per point 100 points move = R1000 Buy (Long) @ 30 089 Moves 300 points up = 30 389 300 points move x R10 = R3 000
SSF Order Book – ALMI Trade Margin = R2805 Exposure = R28 050 Cost R55 per contract R1 per point 100 points move = R100 5 Contracts x R2 805 = R14 025 Buy (Long) @ 30 050 Moves 300 points up = 30 359 300 points move x R1 = R300 x 5 = R1500
SSF Simulator (SSFSM) Step 3 Click Reset Simulator Step 1 Select SSFSM Step 2 Check R100 000
New Order (ALSI)
New Order (ALSI Buy) Step 1 Select Direction Example 1: Buy (Long) 1 contract @ 30 089 Step 2 Enter Contracts Step 3 Enter Price (R) Step 4 Click Submit Order
Trade History (ALSI Buy) Select Trade History Margin Movement
Financial History (ALSI Buy) Select Financial History Margin = R28 050 Exposure = R280 500 Cost R25 per contract R10 per point 100 points move = R1000 Margin & Brokerage R25
New Order (ALSI Sell) Sell (Long Close) Moves up to 30 389 = 300 points move x R10 = R3 000 Step 1 Select Direction Step 2 Enter Contracts Step 3 Enter Price Step 4 Click Submit Order
Trades History (ALSI Sell) Profit or Loss Margin Returned
Financial History (ALSI Sell) Select Financial History
SSF Simulator Portfolio Select Portfolio Example 2: Buy (Long) @ 30 089 Moves down to 29 921 = 169 points move x R10 = R1 690 loss (Margin Call) Example 3: Sell (Short) @ 30 089 Moves down to 29 789 = 300 points move x R10 = R3 000
New Order (Remgro Buy) Step 1 Select Direction Step 2 Enter Contracts Step 3 Enter Price (R) Step 4 Click Submit Order
Trade History (REM Buy) Select Trade History Margin = R2 122 5 Contracts 5 x R2 122 = R10 610 Exposure = 5 x 100 x R131.50 = R65 750 Margin Movement
Financial History (REM Buy) Select Financial History Brokerage = Exposure R65 750 x 0.47% (VAT incl) = R309.03
Margin & Brokerage R309.03
SSF Simulator - Portfolio Select Portfolio Exposure 5 x 100 x R131.50 = R65 750
New Order (Remgro Sell) Step 1 Select Direction Step 2 Enter Contracts Step 3 Enter Price (R) Step 4 Click Submit Order
Trade History (REM Sell) Select Trade History Profit or Loss Sell (Close) REMJUN12 contract @ R142.00
Exposure = 5 x 100 x R142.00 = R71 000 Margin Returned
Financial History (REM Sell) Select Financial History Brokerage = R71 000 x 0.47% (VAT incl.) = R333. 70 Profit = R71 000 – R65 750 = R5 250 Brokerage & Profit
SUPPORT
• 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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