PSG_JSE_SSF_Seminar_presentation

Report
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?
Please?
You
Please?
Please?
Please?
JSE - SPREADS
JSE - SPREADS
R1.5
R1.5
R1
R99
R100
R101
JSE - SPREAD COST
• Can’t compare absolute spread values
between instruments
• Need to compare in percentage of
exposure
( OFFER
OFFER
2
(
BID )
BID
= Spread%
)
• Value will be in basis points
– 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)
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 (SSFsTrader)
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 1
Select
SSFSM
Step 3
Click Reset
Simulator
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
Movement
Margin = R2 122
5 Contracts
5 x R2 122 = R10 610
Exposure = 5 x 100 x
R131.50 = R65 750
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
Margin
Returned
Sell (Close)
REMJUN12
contract
@ R142.00
Exposure = 5 x 100 x
R142.00 = R71 000
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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Contact us
Thank You
[email protected]
011 996 5200

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