TFEX : SET50 Index Options

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TFEX : SET50 Index Options

It is a derivative instrument whose value is based on the SET50 Index level. The buyer of the option (Long Options) pays a certain amount of money to the seller of the option (Short Options) in exchange for the right specified in the contract. This amount is called a premium. The contract includes an expiration date, and if the buyer decides to exercise the right upon maturity, the seller is obligated to fulfill the terms agreed upon in the contract.

There are two types of SET50 Index Options:

Call Option – gives the buyer the right to buy the SET50 Index.

Put Option – gives the buyer the right to sell the SET50 Index.

Options Type

สัญญา	ดัชนี SET50 = ราคาใช้สิทธิ	ดัชนี SET50 > ราคาใช้สิทธิ	ดัชนี SET50 < ราคาใช้สิทธิ
Long Call	ขาดทุน Premium	กำไรส่วนต่าง ราคาใช้สิทธิ – Premium	ขาดทุน Premium
Long Put	ขาดทุน Premium	ขาดทุน Premium	กำไรส่วนต่าง ราคาใช้สิทธิ – Premium
Short Call	กำไร Premium	ขาดทุนส่วนต่าง ราคาใช้สิทธิ – Premium	กำไร Premium
Short Put	กำไร Premium	กำไร Premium	ขาดทุนส่วนต่าง ราคาใช้สิทธิ – Premium

Contract Specification


Underlying Asset	The SET50 Index (S50), which is calculated and published by the Stock Exchange of Thailand (SET).
Index Multiplier	200 Baht per index point
Contract Expiration Month	The three nearest consecutive months and the last month of the next calendar quarter.
Minimum Price Fluctuation	0.1 index point (equivalent to 20 Baht per contract)
Daily Price Limit Range	30% of the SET50 Index is calculated and then added to and subtracted from the previous business day's settlement price.
Type of Exercise	The options can only be exercised at the expiration date (European style), and include both call options (the right to buy) and put options (the right to sell).
Strike Price	The strike price intervals are set at 25 index points. At the beginning of each trading day, option series will be available as follows: 1 at-the-money (ATM) series, and at least 4 in-the-money (ITM) and 4 out-of-the-money (OTM) series.
Trading Hours	Pre-open: 09:15 am. - 09:45 am. Morning session: 09:45 am. - 12:30 am. Pre-open: 13:15 pm. - 13:45 pm. Afternoon session: 13:45 pm. - 16:55 pm.
Daily Settlement Price	Calculated based on the weighted average price of the last 5 minutes of trading for each SET50 Index Options series.
Last Trading Day	The business day preceding the last business day of the contract month. On the last trading day, trading ends at 16:30 hrs.
Final Settlement Price on the Last Trading Day	The final settlement price is calculated as the average of the SET50 Index values during the last 15 minutes of the last trading day, including the closing index. The three highest and three lowest values are excluded before averaging. The result is rounded to two decimal places.