MINISTRY OF EDUCATION AND TRAINING UNIVERSITY OF ECONOMICS HO CHI MINH CITY Huynh Ngoc Trang VALUATION OF EUROPEAN SJC GOLD OPTION IN VIETNAM ECONOMICS MASTER THESIS In Banking Ology code: 60.31.12 Supervisor Dr Pham Huu Hong Thai Ho Chi Minh city, 2010 ACKNOWLEDGEMENT This research project would not have been possible without the support of many people Firstly I wish to express my deep sincere gratitude to my supervisor, Dr Pham Huu Hong Thai for his invaluable advices and helps Without him, this thesis could not have been completed Special thanks to all instructors without whose knowledge and assistance this study would not have been successful I would like to express my deepest gratitude and honor to my dear parents for not only the love they devote to me but also for the time I took from them which should have been my devotion to them in their aged time My thanks would also go to all of my classmates, Ms Vu Thi Thu Van and Mr Tran Quoc Trong for all of their friendship and encouragement I also wish to thank my friends in Eximbank for their great support Finally, my greatest thanks would go to my husband, Mr Le Minh Nhat who is the greatest inspiration and encouragement for me to overcome all difficulties through the duration of my study ABSTRACT The main idea of this thesis is to find the most suitable approach to the valuation of SJC gold We use the modified Black-Scholes model to price European SJC gold brand option in Vietnam, our focus is to compare the difference between option price derived by modified Black-Scholes model and option price in TOKYO COMMODITY EXCHANGE (TOCOM) in the period from 1/7/2010 to 15/8/2010 The results show that the option price derived by modified Black-Scholes model is different from the option price in TOCOM Since the two option price is different, we carry out the ex post and ex ante test to investigate the efficiency of Vietnam gold option market when applying the option price in TOCOM into Vietnam The evidences from these tests provide the rejection of our hypothesis of market efficiency due to the existing of abnormal profit Key words: SJC gold, option pricing, modified Black-Scholes model, Vietnam gold market TABLE OF CONTENT Acknowledgement Abstract Table of content Abbreviation List of tables Chapter 1: Introduction Chapter 2: Review of modified Black- Scholes option pricing models 10 and some empirical evidences 2.1 Option and boundary conditions 10 2.1.1 Upper bound 10 2.1.2 Lower bound 11 2.2 Review of modified Black- Scholes model 11 2.3 Some empirical evidences 14 2.4 Testing the market efficiency of K.Shastri and K.Tandon 17 2.5 Volatility 18 Chapter 3: Research methodology 21 3.1 Data 21 3.1.1 SJC gold brand price 21 3.1.2 Gold price and option price listed in TOCOM 22 3.2 Modified Black Scholes Model 24 3.2.1 Spot rate and exercise price 25 3.2.2 Interest rate of VND and Interest rate SJC gold brand 25 3.2.3 Time to expiration 25 3.2.4 Volatility 26 3.3 27 The ex post and ex ante hedging test Chapter 4: Empirical results and discussion 30 4.3 A comparison of SJC gold option price and 30 the option price quoted in TOCOM 4.3 The result of the Ex post tests 31 4.3 The result of the Ex Ante Tests 33 Chapter 5: Conclusion 36 List of references 38 Appendix 42 ABBREVIATION ACB: Asia Commercial Bank COMEX: NewYork Commodities Exchange Eximbank: Vietnam Export Import Commercial Joint-Stock Bank PNJ: Phu Nhuan Jewelry Joint Stock Company SBJ: Sacombank Jewelry Limited Company SBV: State Bank of Vietnam SJC: Saigon Jewelry Holding Company TOCOM: Tokyo Commodity Exchange, Inc VND: Vietnam Dong LIST OF TABLES Table 4.1: A comparison of the difference between the call option price of SJC gold derived by Black- Scholes model and call option price of TOCOM Table 4.2: A comparison of the difference between the put option price of SJC gold derived by Black- Scholes model and put option price of TOCOM Table 4.3: Excess return from ex post hedging strategy for calls Table 4.4: Excess return from ex post hedging strategy for puts Table 4.5: Excess return from ex ante hedging strategy for calls Table 4.6: Excess return from ex ante hedging strategy for puts Chapter 1: INTRODUCTION In Vietnam, the gold markets have developed for more than years, gold is used as a hedge against inflation, payment for real estate and traded as a currency for speculation Among many gold brand in the market, such as: ACB gold brand, SBJ gold brand, PNJ Gold brand, SJC gold brand, the most popular gold brand traded in the market is SJC gold brand (manufactured by Sai Gon Jewelry holding company) Vietnamese investors trade gold in three ways: spot, forward and option The turn over of spot transaction is largest, about 95% of total, forward 4%, option 1% From 5/2007, a breakthrough of gold market in Vietnam: the opening of first gold floor named Saigon gold exchange run by Asia Commercial Bank, and followed by lots of other gold centers Members of the Gold exchange center are legal entities which have gold trading license and gold traders in Vietnam The Bank is acting as a trading intermediary among the counter-partners, which ensures the settlement capacity and liquidity Margin deposit ratio, transaction fee, and interest rate are regulated by the Bank At the end of 2009, Vietnam has around 20 gold trading floors where investors could deposit a small fund and then trade 14 times the value of their initial investment Investors can timely grasp their investment opportunities and earn expected profits On 30 December 2009, the Government Office issued Notice No 369/TB-VPCP to convey the Prime Minister’s request to all banks to close their gold trading centres and settle all the obligations with customers by 31 March 2010 The decision was an attempt to stabilize the country’s foreign exchange market On January 2010, SBV issued Circular No.01/2010/TT-NHNN to request all credit institutions in Vietnam to stop their overseas gold margin trading activities, and close overseas margin gold trading accounts by 31 March 2010 Since January 2010, after the issuance of the two circular of the State bank of Vietnam, the domestic gold market become very quiet with investment demand down sharply *Statement of problems: Investing in gold attract many people with a high return prospect However, in the current situation of many uncertainty in the economy, politics in the world (and in Vietnam in particular), the investment in gold may encounter high risk Therefore, it is necessary to use a hedge against risk, option is one of the popular method in hedging risk However, in Vietnam, investors and hedgers not usually trade option as a hedge against risk or as an investment in both stock market and currency/gold market At present, only some bank offer option in gold and currency To calculate the option premium offered for their customer, banks base on the option price of the gold option listed in the TOCOM or COMEX or the premium offered by their counterparts in overseas At the time of the investigation, trading gold in the overseas account has been terminated by the State Bank of Vietnam, moreover it is necessary that the banks base on a model to calculate the option premium base on the characteristic of the domestic gold markets so that the option premium could be acceptable for both the banks and their customer In the early 1970's, Myron Scholes, Robert Merton, and Fisher Black made an important breakthrough in the pricing of complex financial instruments by developing what has become known as the Black-Scholes model In 1997, the importance of their model was recognized world wide when Myron Scholes and Robert Merton received the Nobel Prize for Economics The Black-Scholes model displayed the importance that mathematics plays in the field of finance It also led to the growth and success of the new field of mathematical finance or financial engineering In this thesis, we use the modified Black-Scholes models for foreign currency options to calculate the option price of SJC gold in the European style and compare this option price with the option price quoted in the TOCOM * Objectives and Rationale of the study: This study is motivated to investigate whether the modified Black-Scholes model should be used in valuation of the SJC gold option price in Vietnam by examining the difference between the option calculated by modified BlackScholes model and the gold option price listed in the TOCOM and investigating the efficiency of the gold option market *Research Significance: The study suggests a compatible method for commercials banks in Vietnam in valuating the European gold option price The gold option market in Vietnam could be developed when the option price is acceptable for both investors and commercials banks * Research questions: Is option price of SJC gold brand calculated by modified BlackScholes model equal to the option price of the gold traded in TOCOM? Is it effective when apply the option price quoted by TOCOM in Vietnam gold option market? Our hypothesis: The first hypothesis is that option price of SJC gold brand derived by the modified Black-Scholes model is equal to the option price of the gold traded in TOCOM The second hypothesis is that the application of TOCOM option price for Vietnam gold option market is still effective The effectiveness of the market is that traders could earn no abnormal profit 7/12/2010 7/13/2010 7/14/2010 7/15/2010 7/16/2010 7/19/2010 7/20/2010 7/21/2010 7/22/2010 7/23/2010 7/26/2010 7/27/2010 7/28/2010 7/29/2010 7/30/2010 8/2/2010 8/3/2010 8/4/2010 8/5/2010 8/6/2010 8/9/2010 8/10/2010 8/11/2010 8/12/2010 8/13/2010 12/30/2010 12/30/2010 12/30/2010 12/30/2010 12/30/2010 12/30/2010 12/30/2010 12/30/2010 12/30/2010 12/30/2010 12/30/2010 12/30/2010 12/30/2010 12/30/2010 12/30/2010 12/30/2010 12/30/2010 12/30/2010 12/30/2010 12/30/2010 12/30/2010 12/30/2010 12/30/2010 12/30/2010 12/30/2010 168 167 166 165 164 161 160 159 158 157 154 153 152 151 150 148 147 146 145 144 141 140 139 138 137 28,260,000 28,175,000 28,260,000 28,220,000 28,225,000 28,105,000 27,980,000 28,050,000 27,985,000 28,025,000 28,025,000 27,965,000 27,730,000 27,685,000 27,685,000 27,765,000 27,765,000 27,885,000 27,970,000 27,990,000 28,130,000 28,095,000 28,080,000 28,015,000 28,155,000 28,260,000 28,175,000 28,260,000 28,220,000 28,225,000 28,105,000 27,980,000 28,050,000 27,985,000 28,025,000 28,025,000 27,965,000 27,730,000 27,685,000 27,685,000 27,765,000 27,765,000 27,885,000 27,970,000 27,990,000 28,130,000 28,095,000 28,080,000 28,015,000 28,155,000 1,630,141 1,618,921 1,617,459 1,608,823 1,602,749 1,576,877 1,563,519 1,561,058 1,551,073 1,546,902 1,527,671 1,517,982 1,498,849 1,490,040 1,483,651 1,475,088 1,468,646 1,468,511 1,466,472 1,460,989 1,448,528 1,440,119 1,432,733 1,422,802 1,423,251 1,195,930 1,241,333 1,253,270 1,278,200 1,263,806 1,320,083 1,212,467 1,163,866 1,272,045 1,213,022 1,239,894 1,085,209 1,211,588 1,149,992 1,107,400 1,187,488 1,153,315 1,123,850 1,084,897 1,026,300 1,007,642 1,004,609 1,123,200 1,086,642 1,100,987 (0.65) (0.64) (0.64) (0.64) (0.64) (0.64) (0.64) (0.64) (0.64) (0.64) (0.64) (0.64) (0.64) (0.64) (0.64) (0.64) (0.64) (0.64) (0.64) (0.63) (0.63) (0.63) (0.63) (0.63) (0.63) 17,147,518 17,087,191 17,129,935 17,096,868 17,091,045 16,991,766 16,907,302 16,940,657 16,892,448 16,907,597 16,880,424 16,835,183 16,684,655 16,648,507 16,639,402 16,669,123 16,659,894 16,722,594 16,764,203 16,766,784 16,822,075 16,791,560 16,772,980 16,724,524 16,798,387 (0.9887) (0.9857) (0.9850) (0.9833) (0.9840) (0.9800) (0.9858) (0.9887) (0.9820) (0.9855) (0.9834) (0.9923) (0.9840) (0.9874) (0.9898) (0.9849) (0.9868) (0.9887) (0.9911) (0.9944) (0.9954) (0.9953) (0.9880) (0.9899) (0.9892) 28,245,000 28,170,000 28,255,000 28,215,000 28,215,000 28,080,000 28,000,000 28,015,000 27,955,000 28,065,000 28,030,000 27,960,000 27,685,000 27,660,000 27,650,000 27,770,000 27,765,000 27,905,000 27,975,000 28,015,000 28,160,000 28,060,000 28,035,000 27,995,000 28,170,000 Mean return: % positive: 1,228,043 1,249,278 1,261,238 1,302,869 1,254,936 1,344,436 1,204,848 1,170,776 1,287,624 1,248,264 1,240,115 1,135,093 1,235,177 1,191,508 1,140,031 1,170,612 1,127,686 1,158,480 1,102,045 1,061,174 1,050,746 1,011,861 1,155,905 1,068,900 1,034,301 409.53 110.13 111.06 278.84 (24.81) 414.42 (210.99) 304.73 364.10 102.72 (31.93) 576.11 570.75 632.11 608.43 (225.60) (290.57) 250.88 160.91 221.02 286.68 350.45 735.44 (62.48) (931.31) 157.68 72% Appendix 10: Results of Ex Post test for maturity month of August, Ocober and December for put option: We use the ex post strategy in Chapter to test the efficiency of the market We compare the SJC gold option price derived by the Black_Scholes model and the option price quoted in Tocom at 11AM If the put price derived by the modified Black Scholes model (put model) is less than the Tocom option price, then we form a portfolio including written (-1/ β) put and borrowing equivalent to (-α/ β) SJC gold at 11AM and liquidate at 14PM, if the Tocom option price is over price, we the opposite strategy The excess return more than means that the trader gets the abnormal profit Maturity month: August Deal date maturity date 7/1/2010 7/2/2010 7/5/2010 7/6/2010 7/7/2010 7/8/2010 7/9/2010 7/12/2010 7/13/2010 7/14/2010 7/15/2010 7/16/2010 7/19/2010 7/20/2010 7/21/2010 7/22/2010 7/23/2010 7/26/2010 7/27/2010 8/30/2010 8/30/2010 8/30/2010 8/30/2010 8/30/2010 8/30/2010 8/30/2010 8/30/2010 8/30/2010 8/30/2010 8/30/2010 8/30/2010 8/30/2010 8/30/2010 8/30/2010 8/30/2010 8/30/2010 8/30/2010 8/30/2010 number of days (t) 59 58 55 54 53 52 51 48 47 46 45 44 41 40 39 38 37 34 33 SJC gold price 11AM 28,555,000 28,275,000 28,340,000 28,240,000 28,150,000 28,285,000 28,200,000 28,260,000 28,175,000 28,260,000 28,220,000 28,225,000 28,105,000 27,980,000 28,050,000 27,985,000 28,025,000 28,025,000 27,965,000 Strike price (X) 28,555,000 28,275,000 28,340,000 28,240,000 28,150,000 28,285,000 28,200,000 28,260,000 28,175,000 28,260,000 28,220,000 28,225,000 28,105,000 27,980,000 28,050,000 27,985,000 28,025,000 28,025,000 27,965,000 PUT model 530,117 521,673 512,816 507,564 502,463 501,316 496,208 486,077 480,772 478,302 473,642 469,671 455,113 448,763 445,464 439,934 435,967 421,595 415,703 TOCOM put 11AM in VND 546,624 515,603 450,106 481,741 504,179 499,147 489,353 540,626 481,833 466,904 390,100 421,269 298,083 398,503 460,522 322,252 351,358 280,250 383,997 α (0.59) (0.59) (0.58) (0.58) (0.58) (0.58) (0.58) (0.58) (0.58) (0.58) (0.58) (0.58) (0.57) (0.57) (0.57) (0.57) (0.57) (0.57) (0.57) β 16,098,692 15,925,616 15,915,640 15,843,720 15,777,366 15,836,939 15,773,146 15,756,998 15,692,735 15,722,973 15,683,447 15,668,755 15,548,703 15,461,378 15,481,610 15,427,087 15,430,211 15,371,818 15,318,909 V portfolio SJC gold price 14PM TOCOM put 14PM in VND 1.01 1.01 1.01 1.01 1.01 1.01 1.01 1.00 1.01 1.01 1.01 1.01 1.02 1.01 1.00 1.01 1.01 1.01 1.01 28,535,000 28,305,000 28,350,000 28,295,000 28,140,000 28,295,000 28,190,000 28,245,000 28,170,000 28,255,000 28,215,000 28,215,000 28,080,000 28,000,000 28,015,000 27,955,000 28,065,000 28,030,000 27,960,000 529,936 499,500 483,618 441,069 554,400 499,324 480,888 507,591 489,913 434,062 406,628 379,007 340,364 424,242 459,948 304,964 368,615 297,288 358,890 excess return VND/day (1 tael) 149.14 1,030.77 (896.05) 2,400.42 (1,886.57) 193.57 93.25 910.30 (418.92) 1,170.61 (775.98) 1,494.81 (2,494.81) (647.41) (901.09) 9.40 269.74 (761.85) 1,232.63 7/28/2010 7/29/2010 7/30/2010 8/2/2010 8/3/2010 8/4/2010 8/5/2010 8/6/2010 8/9/2010 8/10/2010 8/11/2010 8/12/2010 8/13/2010 8/30/2010 8/30/2010 8/30/2010 8/30/2010 8/30/2010 8/30/2010 8/30/2010 8/30/2010 8/30/2010 8/30/2010 8/30/2010 8/30/2010 8/30/2010 32 31 30 28 27 26 25 24 21 20 19 18 17 27,730,000 27,685,000 27,685,000 27,765,000 27,765,000 27,885,000 27,970,000 27,990,000 28,130,000 28,095,000 28,080,000 28,015,000 28,155,000 27,730,000 27,685,000 27,685,000 27,765,000 27,765,000 27,885,000 27,970,000 27,990,000 28,130,000 28,095,000 28,080,000 28,015,000 28,155,000 407,150 401,322 396,031 386,168 380,453 376,205 371,280 365,296 347,129 339,610 332,104 323,765 317,491 255,969 272,591 306,665 256,292 239,206 236,600 271,224 305,345 302,293 280,950 285,120 220,724 201,707 (0.56) (0.56) (0.56) (0.56) (0.56) (0.56) (0.56) (0.56) (0.55) (0.55) (0.55) (0.55) (0.55) 15,170,040 15,124,996 15,104,233 15,105,150 15,083,205 15,125,939 15,149,079 15,136,459 15,138,312 15,093,718 15,059,256 14,997,347 15,044,336 1.01 1.01 1.01 1.01 1.01 1.01 1.01 1.01 1.01 1.01 1.01 1.01 1.01 27,685,000 27,660,000 27,650,000 27,770,000 27,765,000 27,905,000 27,975,000 28,015,000 28,160,000 28,060,000 28,035,000 27,995,000 28,170,000 264,072 289,366 272,246 281,972 256,292 245,226 254,318 322,597 260,585 255,091 250,158 203,600 193,406 Mean return: % positive: (1,912.83) (1,821.69) 900.96 (1,502.00) (1,164.89) 179.47 1,454.14 (258.99) 5,156.00 612.42 1,004.13 639.20 1,816.97 164.84 59% Maturity month: October number of days (t) SJC gold price 11AM 10/30/2010 10/30/2010 10/30/2010 10/30/2010 10/30/2010 10/30/2010 10/30/2010 10/30/2010 10/30/2010 10/30/2010 119 118 115 114 113 112 111 108 107 106 28,555,000 28,275,000 28,340,000 28,240,000 28,150,000 28,285,000 28,200,000 28,260,000 28,175,000 28,260,000 28,555,000 28,275,000 28,340,000 28,240,000 28,150,000 28,285,000 28,200,000 28,260,000 28,175,000 28,260,000 668,379 660,186 656,682 652,665 648,874 650,249 646,547 642,563 638,814 638,901 979,029 989,625 891,876 963,482 924,328 940,060 912,353 982,957 955,500 950,191 (0.62) (0.62) (0.62) (0.62) (0.62) (0.62) (0.62) (0.62) (0.62) (0.62) 10/30/2010 105 28,220,000 28,220,000 636,140 854,900 (0.62) Deal date maturity date 7/1/2010 7/2/2010 7/5/2010 7/6/2010 7/7/2010 7/8/2010 7/9/2010 7/12/2010 7/13/2010 7/14/2010 7/15/2010 Strike price (X) PUT model TOCOM call 11AM in VND α V portfolio SJC gold price 14PM TOCOM call 14PM in VND 16,852,726 16,676,921 16,683,241 16,613,641 16,549,947 16,618,467 16,557,659 16,559,905 16,499,030 16,537,650 0.99 0.99 1.00 0.99 1.00 0.99 1.00 0.99 0.99 0.99 28,535,000 28,305,000 28,350,000 28,295,000 28,140,000 28,295,000 28,190,000 28,245,000 28,170,000 28,255,000 1,019,107 999,000 950,559 915,426 932,400 932,071 994,941 966,061 914,504 900,884 (747.50) 132.76 (775.38) 1,223.80 (214.53) 215.26 (1,361.88) 121.08 605.20 745.35 16,503,047 1.00 28,215,000 871,346 (317.82) β excess return VND/day (1 tael) 7/16/2010 7/19/2010 7/20/2010 7/21/2010 7/22/2010 7/23/2010 7/26/2010 7/27/2010 7/28/2010 7/29/2010 7/30/2010 8/2/2010 8/3/2010 8/4/2010 8/5/2010 8/6/2010 8/9/2010 8/10/2010 8/11/2010 8/12/2010 8/13/2010 10/30/2010 10/30/2010 10/30/2010 10/30/2010 10/30/2010 10/30/2010 10/30/2010 10/30/2010 10/30/2010 10/30/2010 10/30/2010 10/30/2010 10/30/2010 10/30/2010 10/30/2010 10/30/2010 10/30/2010 10/30/2010 10/30/2010 10/30/2010 10/30/2010 104 101 100 99 98 97 94 93 92 91 90 88 87 86 85 84 81 80 79 78 77 28,225,000 28,105,000 27,980,000 28,050,000 27,985,000 28,025,000 28,025,000 27,965,000 27,730,000 27,685,000 27,685,000 27,765,000 27,765,000 27,885,000 27,970,000 27,990,000 28,130,000 28,095,000 28,080,000 28,015,000 28,155,000 28,225,000 28,105,000 27,980,000 28,050,000 27,985,000 28,025,000 28,025,000 27,965,000 27,730,000 27,685,000 27,685,000 27,765,000 27,765,000 27,885,000 27,970,000 27,990,000 28,130,000 28,095,000 28,080,000 28,015,000 28,155,000 634,377 625,963 621,242 620,834 617,418 616,299 610,167 606,776 599,589 596,508 594,376 591,748 589,538 589,842 589,363 587,480 583,309 580,160 577,400 573,590 573,940 884,664 792,050 864,836 887,552 780,188 794,739 747,333 868,167 725,246 732,588 783,698 674,903 683,446 676,000 720,439 814,255 797,716 732,173 570,240 594,258 579,909 (0.62) (0.61) (0.61) (0.61) (0.61) (0.61) (0.61) (0.61) (0.61) (0.61) (0.61) (0.61) (0.61) (0.61) (0.60) (0.60) (0.60) (0.60) (0.60) (0.60) (0.60) 16,494,719 16,390,635 16,306,352 16,335,674 16,286,313 16,298,007 16,262,876 16,216,243 16,068,191 16,030,287 16,018,391 16,040,608 16,028,467 16,085,475 16,122,128 16,121,193 16,163,779 16,130,839 16,109,322 16,059,073 16,126,214 1.00 1.00 1.00 0.99 1.00 1.00 1.00 0.99 1.00 1.00 1.00 1.00 1.00 1.00 1.00 1.00 1.00 1.00 1.01 1.01 1.01 28,215,000 28,080,000 28,000,000 28,015,000 27,955,000 28,065,000 28,030,000 27,960,000 27,685,000 27,660,000 27,650,000 27,770,000 27,765,000 27,905,000 27,975,000 28,015,000 28,160,000 28,060,000 28,035,000 27,995,000 28,170,000 859,084 825,382 848,485 878,082 796,294 762,363 764,455 809,588 732,588 697,883 714,646 683,569 666,360 684,941 678,182 781,024 823,785 697,248 595,205 542,933 571,809 Mean return: % positive: 319.95 (825.60) 490.39 (206.57) (603.44) 1,006.32 (258.13) 1,029.90 (650.13) 370.89 918.81 (110.98) 340.20 63.13 924.04 998.16 (172.91) 303.08 (1,146.06) 880.00 387.14 115.14 59% Maturity month: December Deal date maturity date 7/1/2010 7/2/2010 7/5/2010 7/6/2010 12/30/2010 12/30/2010 12/30/2010 12/30/2010 number of days (t) SJC gold price 11AM 179 178 175 174 28,555,000 28,275,000 28,340,000 28,240,000 Strike price (X) 28,555,000 28,275,000 28,340,000 28,240,000 PUT model 744,997 736,716 735,428 731,826 TOCOM call 11AM in VND 1,346,164 1,330,588 1,233,624 1,245,882 α (0.65) (0.65) (0.65) (0.65) β 17,422,259 17,242,936 17,256,901 17,187,429 V portfolio SJC gold price 14PM 0.98 0.98 0.99 0.99 28,535,000 28,305,000 28,350,000 28,295,000 TOCOM call 14PM in VND 1,369,680 1,340,325 1,250,735 1,181,732 excess return VND/day (1 tael) (333.70) 88.86 (100.06) 940.52 7/7/2010 7/8/2010 7/9/2010 7/12/2010 7/13/2010 7/14/2010 7/15/2010 7/16/2010 7/19/2010 7/20/2010 7/21/2010 7/22/2010 7/23/2010 7/26/2010 7/27/2010 7/28/2010 7/29/2010 7/30/2010 8/2/2010 8/3/2010 8/4/2010 8/5/2010 8/6/2010 8/9/2010 8/10/2010 8/11/2010 8/12/2010 8/13/2010 12/30/2010 12/30/2010 12/30/2010 12/30/2010 12/30/2010 12/30/2010 12/30/2010 12/30/2010 12/30/2010 12/30/2010 12/30/2010 12/30/2010 12/30/2010 12/30/2010 12/30/2010 12/30/2010 12/30/2010 12/30/2010 12/30/2010 12/30/2010 12/30/2010 12/30/2010 12/30/2010 12/30/2010 12/30/2010 12/30/2010 12/30/2010 12/30/2010 173 172 171 168 167 166 165 164 161 160 159 158 157 154 153 152 151 150 148 147 146 145 144 141 140 139 138 137 28,150,000 28,285,000 28,200,000 28,260,000 28,175,000 28,260,000 28,220,000 28,225,000 28,105,000 27,980,000 28,050,000 27,985,000 28,025,000 28,025,000 27,965,000 27,730,000 27,685,000 27,685,000 27,765,000 27,765,000 27,885,000 27,970,000 27,990,000 28,130,000 28,095,000 28,080,000 28,015,000 28,155,000 28,150,000 28,285,000 28,200,000 28,260,000 28,175,000 28,260,000 28,220,000 28,225,000 28,105,000 27,980,000 28,050,000 27,985,000 28,025,000 28,025,000 27,965,000 27,730,000 27,685,000 27,685,000 27,765,000 27,765,000 27,885,000 27,970,000 27,990,000 28,130,000 28,095,000 28,080,000 28,015,000 28,155,000 728,483 730,951 727,725 726,125 722,878 723,983 721,875 720,911 714,529 710,232 710,878 708,092 707,955 704,448 701,753 694,670 692,348 691,143 690,692 689,452 691,176 692,013 691,225 690,747 688,555 686,843 683,900 685,946 1,302,463 1,289,463 1,260,706 1,310,609 1,274,000 1,245,078 1,186,900 1,230,104 1,149,750 1,187,030 1,222,478 1,102,439 1,112,634 1,087,030 1,218,773 1,066,538 1,090,363 1,132,955 1,016,626 1,042,255 1,022,450 1,084,897 1,128,082 1,125,200 1,089,745 907,200 950,812 941,301 (0.65) (0.65) (0.65) (0.65) (0.64) (0.64) (0.64) (0.64) (0.64) (0.64) (0.64) (0.64) (0.64) (0.64) (0.64) (0.64) (0.64) (0.64) (0.64) (0.64) (0.64) (0.64) (0.63) (0.63) (0.63) (0.63) (0.63) (0.63) 17,124,074 17,197,549 17,137,220 17,147,518 17,087,191 17,129,935 17,096,868 17,091,045 16,991,766 16,907,302 16,940,657 16,892,448 16,907,597 16,880,424 16,835,183 16,684,655 16,648,507 16,639,402 16,669,123 16,659,894 16,722,594 16,764,203 16,766,784 16,822,075 16,791,560 16,772,980 16,724,524 16,798,387 0.98 0.98 0.99 0.98 0.98 0.99 0.99 0.99 0.99 0.99 0.99 0.99 0.99 0.99 0.98 0.99 0.99 0.99 1.00 0.99 0.99 0.99 0.99 0.99 0.99 1.00 1.00 1.00 28,140,000 28,295,000 28,190,000 28,245,000 28,170,000 28,255,000 28,215,000 28,215,000 28,080,000 28,000,000 28,015,000 27,955,000 28,065,000 28,030,000 27,960,000 27,685,000 27,660,000 27,650,000 27,770,000 27,765,000 27,905,000 27,975,000 28,015,000 28,160,000 28,060,000 28,035,000 27,995,000 28,170,000 Mean return: % positive: 1,260,000 1,323,207 1,243,676 1,244,417 1,265,609 1,228,478 1,219,884 1,179,134 1,174,255 1,170,909 1,170,776 1,160,556 1,122,600 1,104,212 1,168,478 1,115,918 1,038,314 1,080,477 1,025,354 1,008,083 1,014,727 1,051,182 1,103,621 1,151,618 1,062,879 905,746 933,167 983,848 342.28 (261.11) 101.96 554.82 51.17 133.10 (362.02) 448.75 (415.98) 298.94 305.64 (810.12) 164.14 (150.92) 511.52 (852.75) 398.28 335.61 (62.54) 387.42 232.85 424.35 466.84 (88.78) 57.30 (324.04) 61.31 (405.03) 66.83 63% Appendix 11: Results of Ex ante test for maturity month of August, Ocober and December for call option: We use the ex ante strategy in Chapter to test the efficiency of the market We compare the SJC gold option price derived by the Black_Scholes model (Call model) and the option price quoted in Tocom at 11AM, then we form a portfolio including long (1/ β) call and short position in (-α/ β) SJC gold at 14PM and liquidate at 17PM The excess return more than means that the trader gets the abnormal profit Maturity month: August Deal date maturity date number of days (t) 7/1/2010 8/30/2010 7/2/2010 8/30/2010 7/5/2010 CALL model TOCOM call 11AM in VND V portfolio SJC gold price 17PM TOCOM call 17PM in VND excess return VND/day (1 tael) SJC gold price 11AM 59 28,555,000 28,555,000 855,301 652,686 (0.59) 16,098,692 28,535,000 668,534 (0.9978) 28,560,000 644,640 (1,159.07) 58 28,275,000 28,275,000 838,250 615,397 (0.59) 15,925,616 28,305,000 641,025 (1.0007) 28,300,000 615,941 (678.20) 8/30/2010 55 28,340,000 28,340,000 813,821 625,147 (0.58) 15,915,640 28,350,000 617,029 (1.0006) 28,305,000 632,700 1,357.42 7/6/2010 8/30/2010 54 28,240,000 28,240,000 802,091 598,024 (0.58) 15,843,720 28,295,000 582,544 (1.0040) 28,330,000 591,597 (374.41) 7/7/2010 8/30/2010 53 28,150,000 28,150,000 790,650 537,791 (0.58) 15,777,366 28,140,000 529,200 (1.0045) 28,120,000 537,218 661.77 7/8/2010 8/30/2010 52 28,285,000 28,285,000 785,457 540,743 (0.58) 15,836,939 28,295,000 557,578 (1.0033) 28,260,000 531,953 (181.40) 7/9/2010 8/30/2010 51 28,200,000 28,200,000 774,082 530,824 (0.58) 15,773,146 28,190,000 538,926 (1.0033) 28,170,000 530,259 103.13 7/12/2010 8/30/2010 48 28,260,000 28,260,000 748,260 434,139 (0.58) 15,756,998 28,245,000 442,096 (1.0083) 28,195,000 433,141 745.48 7/13/2010 8/30/2010 47 28,175,000 28,175,000 736,753 449,167 (0.58) 15,692,735 28,170,000 440,922 (1.0083) 28,230,000 458,226 (662.23) 7/14/2010 8/30/2010 46 28,260,000 28,260,000 729,623 466,904 (0.58) 15,722,973 28,255,000 483,201 (1.0053) 28,225,000 474,507 336.09 7/15/2010 8/30/2010 45 28,220,000 28,220,000 719,182 498,000 (0.58) 15,683,447 28,215,000 514,509 (1.0029) 28,235,000 498,265 (1,109.93) 7/16/2010 8/30/2010 44 28,225,000 28,225,000 709,827 463,396 (0.58) 15,668,755 28,215,000 480,076 (1.0046) 28,210,000 471,570 (230.55) 7/19/2010 8/30/2010 41 28,105,000 28,105,000 678,028 511,000 (0.57) 15,548,703 28,080,000 527,564 (0.9997) 28,090,000 510,727 (994.58) 7/20/2010 8/30/2010 40 27,980,000 27,980,000 665,300 406,982 (0.57) 15,461,378 28,000,000 390,303 (1.0097) 27,950,000 389,606 1,261.19 7/21/2010 8/30/2010 39 28,050,000 28,050,000 657,143 351,672 (0.57) 15,481,610 28,015,000 342,870 (1.0104) 28,015,000 334,507 (388.51) 7/22/2010 8/30/2010 38 27,985,000 27,985,000 645,733 449,456 (0.57) 15,427,087 27,955,000 482,859 (1.0010) 27,995,000 458,100 (2,269.77) 7/23/2010 8/30/2010 37 28,025,000 28,025,000 636,662 409,918 (0.57) 15,430,211 28,065,000 393,748 (1.0090) 28,072,500 410,613 618.45 α β SJC gold price 14PM TOCOM call 14PM in VND Strike price (X) 7/26/2010 8/30/2010 34 28,025,000 28,025,000 606,086 407,636 (0.57) 15,371,818 28,030,000 407,709 (1.0056) 28,000,000 424,242 1,797.05 7/27/2010 8/30/2010 33 27,965,000 27,965,000 594,407 267,128 (0.57) 15,318,909 27,960,000 292,119 (1.0122) 27,970,000 350,669 2,926.30 7/28/2010 8/30/2010 32 27,730,000 27,730,000 579,004 383,954 (0.56) 15,170,040 27,685,000 383,331 (1.0041) 27,675,000 383,192 314.30 7/29/2010 8/30/2010 31 27,685,000 27,685,000 567,555 340,738 (0.56) 15,124,996 27,660,000 357,452 (1.0061) 27,650,000 340,308 (679.84) 7/30/2010 8/30/2010 30 27,685,000 27,685,000 556,922 281,109 (0.56) 15,104,233 27,650,000 280,754 (1.0103) 27,642,500 280,678 252.90 8/2/2010 8/30/2010 28 27,765,000 27,765,000 536,805 392,982 (0.56) 15,105,150 27,770,000 401,597 (1.0029) 27,745,000 375,625 (785.95) 8/3/2010 8/30/2010 27 27,765,000 27,765,000 525,728 316,094 (0.56) 15,083,205 27,765,000 341,723 (1.0062) 27,765,000 324,637 (1,164.89) 8/4/2010 8/30/2010 26 27,885,000 27,885,000 516,722 338,000 (0.56) 15,125,939 27,905,000 304,418 (1.0090) 27,950,000 321,848 (544.03) 8/5/2010 8/30/2010 25 27,970,000 27,970,000 506,821 254,273 (0.56) 15,149,079 27,975,000 262,795 (1.0108) 27,985,000 279,850 848.36 8/6/2010 8/30/2010 24 27,990,000 27,990,000 495,525 195,082 (0.56) 15,136,459 28,015,000 203,745 (1.0149) 28,000,000 195,152 (20.02) 8/9/2010 8/30/2010 21 28,130,000 28,130,000 461,692 159,543 (0.55) 15,138,312 28,160,000 151,307 (1.0169) 28,135,000 151,173 1,209.35 8/10/2010 8/30/2010 20 28,095,000 28,095,000 448,596 127,705 (0.55) 15,093,718 28,060,000 144,552 (1.0144) 28,025,000 135,879 987.09 8/11/2010 8/30/2010 19 28,080,000 28,080,000 435,598 293,760 (0.55) 15,059,256 28,035,000 301,915 (1.0030) 28,035,000 310,542 846.56 8/12/2010 8/30/2010 18 28,015,000 28,015,000 421,598 254,682 (0.55) 14,997,347 27,995,000 254,500 (1.0064) 28,015,000 271,661 642.98 8/13/2010 8/30/2010 17 28,155,000 28,155,000 410,361 235,325 (0.55) 15,044,336 28,170,000 218,633 (1.0095) 28,155,000 235,325 2,740.71 Mean return: 200.18 % positive: 53% Maturity month: October TOCOM call 11AM in VND SJC gold price 17PM TOCOM call 17PM in VND 1,116,941 (0.9852) 28,560,000 1,134,240 25.26 1,123,875 (0.9858) 28,300,000 1,132,000 161.32 28,350,000 1,083,971 (0.9870) 28,305,000 1,107,225 754.99 28,295,000 1,098,512 (0.9873) 28,330,000 1,066,541 (799.50) 16,549,947 28,140,000 1,008,000 (0.9900) 28,120,000 1,024,072 427.98 16,618,467 28,295,000 1,040,257 (0.9889) 28,260,000 1,005,724 (196.33) SJC gold price 11AM Strike price (X) CALL model 10/30/2010 119 28,555,000 28,555,000 1,319,369 1,093,249 (0.62) 16,852,726 28,535,000 10/30/2010 118 28,275,000 28,275,000 1,299,456 1,089,419 (0.62) 16,676,921 28,305,000 7/5/2010 10/30/2010 115 28,340,000 28,340,000 1,281,365 1,108,594 (0.62) 16,683,241 7/6/2010 10/30/2010 114 28,240,000 28,240,000 1,269,807 1,063,153 (0.62) 16,613,641 7/7/2010 10/30/2010 113 28,150,000 28,150,000 1,258,729 1,025,164 (0.62) 7/8/2010 10/30/2010 112 28,285,000 28,285,000 1,257,682 1,031,571 (0.62) maturity date 7/1/2010 7/2/2010 α β SJC gold price 14PM TOCOM call 14PM in VND excess return VND/day (1 tael) V portfolio number of days (t) Deal date 7/9/2010 10/30/2010 111 28,200,000 28,200,000 1,246,822 1,036,765 (0.62) 16,557,659 28,190,000 1,036,397 (0.9880) 28,170,000 1,019,091 (76.18) 7/12/2010 10/30/2010 108 28,260,000 28,260,000 1,228,076 901,043 (0.62) 16,559,905 28,245,000 925,126 (0.9940) 28,195,000 939,833 718.71 7/13/2010 10/30/2010 107 28,175,000 28,175,000 1,217,233 922,833 (0.62) 16,499,030 28,170,000 922,670 (0.9942) 28,230,000 916,452 (688.17) 7/14/2010 10/30/2010 106 28,260,000 28,260,000 1,213,714 950,191 (0.62) 16,537,650 28,255,000 950,023 (0.9925) 28,225,000 981,739 808.49 7/15/2010 10/30/2010 105 28,220,000 28,220,000 1,204,796 971,100 (0.62) 16,503,047 28,215,000 987,525 (0.9899) 28,235,000 979,921 (323.83) 7/16/2010 10/30/2010 104 28,225,000 28,225,000 1,197,787 977,343 (0.62) 16,494,719 28,215,000 968,575 (0.9907) 28,210,000 1,002,087 601.86 7/19/2010 10/30/2010 101 28,105,000 28,105,000 1,170,998 979,417 (0.61) 16,390,635 28,080,000 1,012,582 (0.9865) 28,090,000 995,918 (386.79) 7/20/2010 10/30/2010 100 27,980,000 27,980,000 1,158,548 890,273 (0.61) 16,306,352 28,000,000 848,485 (0.9978) 27,950,000 872,379 934.53 7/21/2010 10/30/2010 99 28,050,000 28,050,000 1,154,164 837,313 (0.61) 16,335,674 28,015,000 852,994 (0.9954) 28,015,000 819,543 (580.18) 7/22/2010 10/30/2010 98 27,985,000 27,985,000 1,144,203 915,873 (0.61) 16,286,313 27,955,000 940,305 (0.9899) 27,995,000 933,167 (553.20) 7/23/2010 10/30/2010 97 28,025,000 28,025,000 1,138,519 895,127 (0.61) 16,298,007 28,065,000 837,761 (0.9986) 28,072,500 896,644 962.75 7/26/2010 10/30/2010 94 28,025,000 28,025,000 1,116,425 917,182 (0.61) 16,262,876 28,030,000 925,839 (0.9912) 28,000,000 933,333 471.84 7/27/2010 10/30/2010 93 27,965,000 27,965,000 1,106,639 767,994 (0.61) 16,216,243 27,960,000 784,549 (0.9992) 27,970,000 818,227 511.82 7/28/2010 10/30/2010 92 27,730,000 27,730,000 1,089,982 904,425 (0.61) 16,068,191 27,685,000 919,994 (0.9886) 27,675,000 877,085 (691.04) 7/29/2010 10/30/2010 91 27,685,000 27,685,000 1,080,844 834,809 (0.61) 16,030,287 27,660,000 817,034 (0.9955) 27,650,000 833,754 432.42 7/30/2010 10/30/2010 90 27,685,000 27,685,000 1,073,450 800,735 (0.61) 16,018,391 27,650,000 791,215 (0.9965) 27,642,500 765,485 (406.86) 8/2/2010 10/30/2010 88 27,765,000 27,765,000 1,061,646 871,394 (0.61) 16,040,608 27,770,000 897,185 (0.9911) 27,745,000 921,988 785.26 8/3/2010 10/30/2010 87 27,765,000 27,765,000 1,054,155 837,222 (0.61) 16,028,467 27,765,000 828,678 (0.9949) 27,765,000 854,308 510.30 8/4/2010 10/30/2010 86 27,885,000 27,885,000 1,051,161 819,650 (0.61) 16,085,475 27,905,000 845,606 (0.9946) 27,950,000 897,788 504.31 8/5/2010 10/30/2010 85 27,970,000 27,970,000 1,046,765 745,867 (0.60) 16,122,128 27,975,000 737,523 (1.0007) 27,985,000 754,747 228.47 8/6/2010 10/30/2010 84 27,990,000 27,990,000 1,039,880 678,545 (0.60) 16,121,193 28,015,000 704,620 (1.0032) 28,000,000 687,273 (171.76) 8/9/2010 10/30/2010 81 28,130,000 28,130,000 1,021,898 671,761 (0.60) 16,163,779 28,160,000 680,884 (1.0044) 28,135,000 697,076 670.55 8/10/2010 10/30/2010 80 28,095,000 28,095,000 1,012,849 664,064 (0.60) 16,130,839 28,060,000 680,242 (1.0017) 28,025,000 645,424 (300.77) 8/11/2010 10/30/2010 79 28,080,000 28,080,000 1,004,506 820,800 (0.60) 16,109,322 28,035,000 828,111 (0.9919) 28,035,000 810,858 (380.66) 8/12/2010 10/30/2010 78 28,015,000 28,015,000 994,365 789,514 (0.60) 16,059,073 27,995,000 797,433 (0.9943) 28,015,000 755,556 (1,204.48) 8/13/2010 10/30/2010 77 28,155,000 28,155,000 991,449 773,212 (0.60) 16,126,214 28,170,000 739,988 (0.9992) 28,155,000 773,212 956.80 Mean return: 115.87 % positive: 56% Maturity month: December number of days (t) SJC gold price 11AM Strike price (X) CALL model TOCOM call 11AM in VND V portfolio SJC gold price 17PM TOCOM call 17PM in VND excess return VND/day (1 tael) Deal date 7/1/2010 12/30/2010 179 28,555,000 28,555,000 1,716,928 1,411,433 (0.65) 17,422,259 28,535,000 1,426,750 (0.9769) 28,560,000 1,444,320 12.90 7/2/2010 12/30/2010 178 28,275,000 28,275,000 1,693,859 1,355,537 (0.65) 17,242,936 28,305,000 1,390,275 (0.9799) 28,300,000 1,406,676 180.86 7/5/2010 12/30/2010 175 28,340,000 28,340,000 1,678,955 1,417,000 (0.65) 17,256,901 28,350,000 1,442,515 (0.9759) 28,305,000 1,398,600 (139.75) 7/6/2010 12/30/2010 174 28,240,000 28,240,000 1,666,768 1,378,776 (0.65) 17,187,429 28,295,000 1,331,529 (0.9836) 28,330,000 1,358,174 38.57 7/7/2010 12/30/2010 173 28,150,000 28,150,000 1,655,203 1,277,254 (0.65) 17,124,074 28,140,000 1,302,000 (0.9825) 28,120,000 1,301,075 113.63 7/8/2010 12/30/2010 172 28,285,000 28,285,000 1,656,849 1,306,101 (0.65) 17,197,549 28,295,000 1,273,275 (0.9852) 28,260,000 1,304,947 518.32 7/9/2010 12/30/2010 171 28,200,000 28,200,000 1,645,587 1,302,176 (0.65) 17,137,220 28,190,000 1,359,753 (0.9790) 28,170,000 1,325,647 (204.37) 7/12/2010 12/30/2010 168 28,260,000 28,260,000 1,630,141 1,195,930 (0.65) 17,147,518 28,245,000 1,228,043 (0.9862) 28,195,000 1,266,732 694.53 7/13/2010 12/30/2010 167 28,175,000 28,175,000 1,618,921 1,241,333 (0.64) 17,087,191 28,170,000 1,249,278 (0.9850) 28,230,000 1,227,391 (596.34) 7/14/2010 12/30/2010 166 28,260,000 28,260,000 1,617,459 1,253,270 (0.64) 17,129,935 28,255,000 1,261,238 (0.9844) 28,225,000 1,276,261 340.55 7/15/2010 12/30/2010 165 28,220,000 28,220,000 1,608,823 1,278,200 (0.64) 17,096,868 28,215,000 1,302,869 (0.9817) 28,235,000 1,312,097 (35.94) 7/16/2010 12/30/2010 164 28,225,000 28,225,000 1,602,749 1,263,806 (0.64) 17,091,045 28,215,000 1,254,936 (0.9842) 28,210,000 1,263,134 114.81 7/19/2010 12/30/2010 161 28,105,000 28,105,000 1,576,877 1,320,083 (0.64) 16,991,766 28,080,000 1,344,436 (0.9776) 28,090,000 1,302,355 (498.02) 7/20/2010 12/30/2010 160 27,980,000 27,980,000 1,563,519 1,212,467 (0.64) 16,907,302 28,000,000 1,204,848 (0.9870) 27,950,000 1,219,636 483.44 7/21/2010 12/30/2010 159 28,050,000 28,050,000 1,561,058 1,163,866 (0.64) 16,940,657 28,015,000 1,170,776 (0.9870) 28,015,000 1,179,139 87.09 7/22/2010 12/30/2010 158 27,985,000 27,985,000 1,551,073 1,272,045 (0.64) 16,892,448 27,955,000 1,287,624 (0.9800) 27,995,000 1,272,500 (426.26) 7/23/2010 12/30/2010 157 28,025,000 28,025,000 1,546,902 1,213,022 (0.64) 16,907,597 28,065,000 1,248,264 (0.9849) 28,072,500 1,215,078 (400.87) 7/26/2010 12/30/2010 154 28,025,000 28,025,000 1,527,671 1,239,894 (0.64) 16,880,424 28,030,000 1,240,115 (0.9836) 28,000,000 1,230,303 100.10 7/27/2010 12/30/2010 153 27,965,000 27,965,000 1,517,982 1,085,209 (0.64) 16,835,183 27,960,000 1,135,093 (0.9891) 27,970,000 1,152,197 116.63 7/28/2010 12/30/2010 152 27,730,000 27,730,000 1,498,849 1,211,588 (0.64) 16,684,655 27,685,000 1,235,177 (0.9809) 27,675,000 1,192,154 (400.91) 7/29/2010 12/30/2010 151 27,685,000 27,685,000 1,490,040 1,149,992 (0.64) 16,648,507 27,660,000 1,191,508 (0.9840) 27,650,000 1,157,046 (309.55) 7/30/2010 12/30/2010 150 27,685,000 27,685,000 1,483,651 1,107,400 (0.64) 16,639,402 27,650,000 1,140,031 (0.9865) 27,642,500 1,165,238 332.42 8/2/2010 12/30/2010 148 27,765,000 27,765,000 1,475,088 1,187,488 (0.64) 16,669,123 27,770,000 1,170,612 (0.9861) 27,745,000 1,195,169 454.78 8/3/2010 12/30/2010 147 27,765,000 27,765,000 1,468,646 1,153,315 (0.64) 16,659,894 27,765,000 1,127,686 (0.9883) 27,765,000 1,153,315 290.57 α β SJC gold price 14PM TOCOM call 14PM in VND maturity date 8/4/2010 12/30/2010 146 27,885,000 27,885,000 1,468,511 1,123,850 (0.64) 16,722,594 27,905,000 1,158,480 (0.9874) 27,950,000 1,151,879 (400.84) 8/5/2010 12/30/2010 145 27,970,000 27,970,000 1,466,472 1,084,897 (0.64) 16,764,203 27,975,000 1,102,045 (0.9902) 27,985,000 1,127,880 224.46 8/6/2010 12/30/2010 144 27,990,000 27,990,000 1,460,989 1,026,300 (0.63) 16,766,784 28,015,000 1,061,174 (0.9933) 28,000,000 1,069,091 201.74 8/9/2010 12/30/2010 141 28,130,000 28,130,000 1,448,528 1,007,642 (0.63) 16,822,075 28,160,000 1,050,746 (0.9939) 28,135,000 1,075,009 474.85 8/10/2010 12/30/2010 140 28,095,000 28,095,000 1,440,119 1,004,609 (0.63) 16,791,560 28,060,000 1,011,861 (0.9936) 28,025,000 985,121 (55.78) 8/11/2010 12/30/2010 139 28,080,000 28,080,000 1,432,733 1,123,200 (0.63) 16,772,980 28,035,000 1,155,905 (0.9844) 28,035,000 1,190,409 415.57 8/12/2010 12/30/2010 138 28,015,000 28,015,000 1,422,802 1,086,642 (0.63) 16,724,524 27,995,000 1,068,900 (0.9902) 28,015,000 1,095,132 165.53 8/13/2010 12/30/2010 137 28,155,000 28,155,000 1,423,251 1,100,987 (0.63) 16,798,387 28,170,000 1,034,301 (0.9937) 28,155,000 1,100,987 931.31 Mean return: 88.25 % positive: 66% Appendix 12: Results of Ex ante test for maturity month of August, Ocober and December for put option: We use the ex ante strategy in Chapter to test the efficiency of the market We compare the SJC gold option price derived by the Black_Scholes model and the option price quoted in Tocom at 11AM If the put price derived by the modified Black Scholes model (put model) is less than the Tocom option price, then we form a portfolio including written (-1/ β) put and borrowing equivalent to (-α/ β) SJC gold at 14PM and liquidate at 17PM, if the Tocom option price is over price, we the opposite strategy The excess return more than means that the trader gets the abnormal profit Maturity month: August number of days (t) SJC gold price 11AM Strike price (X) PUT model TOCOM put 11AM in VND SJC gold price 14PM TOCOM put 14PM in VND V portfolio SJC gold price 17PM TOCOM put 17PM in VND excess return VND/day (1 tael) Deal date maturity date 7/1/2010 8/30/2010 59 28,555,000 28,555,000 530,117 489,514 (0.59) 16,098,692 28,535,000 497,324 1.0085 28,560,000 505,920 7/2/2010 8/30/2010 58 28,275,000 28,275,000 521,673 490,654 (0.59) 15,925,616 28,305,000 499,500 1.0096 28,300,000 491,088 167.85 7/5/2010 8/30/2010 55 28,340,000 28,340,000 512,816 450,106 (0.58) 15,915,640 28,350,000 483,618 1.0090 28,305,000 466,200 (286.18) 7/6/2010 8/30/2010 54 28,240,000 28,240,000 507,564 481,741 (0.58) 15,843,720 28,295,000 441,069 1.0129 28,330,000 491,609 (994.96) 7/7/2010 8/30/2010 53 28,150,000 28,150,000 502,463 462,164 (0.58) 15,777,366 28,140,000 520,800 1.0050 28,120,000 470,066 1,316.08 7/8/2010 8/30/2010 52 28,285,000 28,285,000 501,316 465,871 (0.58) 15,836,939 28,295,000 474,357 1.0085 28,260,000 473,771 (678.57) α β 182.30 7/9/2010 8/30/2010 51 28,200,000 28,200,000 496,208 447,882 (0.58) 15,773,146 28,190,000 439,432 1.0096 28,170,000 463,976 (1,267.40) 7/12/2010 8/30/2010 48 28,260,000 28,260,000 486,077 409,565 (0.58) 15,756,998 28,245,000 491,217 1.0052 28,195,000 457,658 173.85 7/13/2010 8/30/2010 47 28,175,000 28,175,000 480,772 432,833 (0.58) 15,692,735 28,170,000 473,583 1.0062 28,230,000 433,678 2,847.63 7/14/2010 8/30/2010 46 28,260,000 28,260,000 478,302 450,522 (0.58) 15,722,973 28,255,000 434,062 1.0084 28,225,000 449,964 (1,297.13) 7/15/2010 8/30/2010 45 28,220,000 28,220,000 473,642 390,100 (0.58) 15,683,447 28,215,000 406,628 1.0098 28,235,000 398,612 780.93 7/16/2010 8/30/2010 44 28,225,000 28,225,000 469,671 421,269 (0.58) 15,668,755 28,215,000 379,007 1.0110 28,210,000 404,203 (1,149.18) 7/19/2010 8/30/2010 41 28,105,000 28,105,000 455,113 298,083 (0.57) 15,548,703 28,080,000 340,364 1.0117 28,090,000 306,436 1,748.06 7/20/2010 8/30/2010 40 27,980,000 27,980,000 448,763 398,503 (0.57) 15,461,378 28,000,000 424,242 1.0075 27,950,000 398,076 (108.90) 7/21/2010 8/30/2010 39 28,050,000 28,050,000 445,464 460,522 (0.57) 15,481,610 28,015,000 459,948 1.0028 28,015,000 443,222 777.01 7/22/2010 8/30/2010 38 27,985,000 27,985,000 439,934 322,252 (0.57) 15,427,087 27,955,000 304,964 1.0126 27,995,000 296,917 1,471.98 7/23/2010 8/30/2010 37 28,025,000 28,025,000 435,967 351,358 (0.57) 15,430,211 28,065,000 368,615 1.0107 28,072,500 326,814 2,261.31 7/26/2010 8/30/2010 34 28,025,000 28,025,000 421,595 280,250 (0.57) 15,371,818 28,030,000 297,288 1.0127 28,000,000 254,545 1,381.43 7/27/2010 8/30/2010 33 27,965,000 27,965,000 415,703 383,997 (0.57) 15,318,909 27,960,000 358,890 1.0079 27,970,000 392,415 (1,542.01) 7/28/2010 8/30/2010 32 27,730,000 27,730,000 407,150 255,969 (0.56) 15,170,040 27,685,000 264,072 1.0120 27,675,000 238,431 1,142.52 7/29/2010 8/30/2010 31 27,685,000 27,685,000 401,322 272,591 (0.56) 15,124,996 27,660,000 255,323 1.0128 27,650,000 263,738 (829.36) 7/30/2010 8/30/2010 30 27,685,000 27,685,000 396,031 306,665 (0.56) 15,104,233 27,650,000 272,246 1.0109 27,642,500 306,194 (2,331.68) 8/2/2010 8/30/2010 28 27,765,000 27,765,000 386,168 256,292 (0.56) 15,105,150 27,770,000 281,972 1.0109 27,745,000 239,034 1,899.73 8/3/2010 8/30/2010 27 27,765,000 27,765,000 380,453 239,206 (0.56) 15,083,205 27,765,000 256,292 1.0119 27,765,000 230,663 1,747.33 8/4/2010 8/30/2010 26 27,885,000 27,885,000 376,205 236,600 (0.56) 15,125,939 27,905,000 245,226 1.0129 27,950,000 237,152 2,352.43 8/5/2010 8/30/2010 25 27,970,000 27,970,000 371,280 271,224 (0.56) 15,149,079 27,975,000 254,318 1.0113 27,985,000 245,929 1,030.75 8/6/2010 8/30/2010 24 27,990,000 27,990,000 365,296 305,345 (0.56) 15,136,459 28,015,000 322,597 1.0070 28,000,000 296,970 1,332.42 8/9/2010 8/30/2010 21 28,130,000 28,130,000 347,129 302,293 (0.55) 15,138,312 28,160,000 260,585 1.0097 28,135,000 268,752 (1,943.92) 8/10/2010 8/30/2010 20 28,095,000 28,095,000 339,610 280,950 (0.55) 15,093,718 28,060,000 255,091 1.0071 28,025,000 263,265 (2,555.02) 8/11/2010 8/30/2010 19 28,080,000 28,080,000 332,104 285,120 (0.55) 15,059,256 28,035,000 250,158 1.0065 28,035,000 258,785 (846.56) 8/12/2010 8/30/2010 18 28,015,000 28,015,000 323,765 220,724 (0.55) 14,997,347 27,995,000 203,600 1.0098 28,015,000 212,235 241.81 8/13/2010 8/30/2010 17 28,155,000 28,155,000 317,491 201,707 (0.55) 15,044,336 28,170,000 193,406 1.0112 28,155,000 193,303 (891.76) Mean return: 191.65 % positive: 56% Maturity month: October number of days (t) SJC gold price 11AM Strike price (X) PUT model TOCOM put 11AM in VND SJC gold price 14PM TOCOM put 14PM in VND V portfolio SJC gold price 17PM TOCOM put 17PM in VND excess return VND/day (1 tael) Deal date maturity date 7/1/2010 10/30/2010 119 28,555,000 28,555,000 668,379 979,029 (0.62) 16,852,726 28,535,000 1,019,107 (0.9910) 28,560,000 995,520 (556.89) 7/2/2010 10/30/2010 118 28,275,000 28,275,000 660,186 989,625 (0.62) 16,676,921 28,305,000 999,000 (0.9933) 28,300,000 982,176 (197.15) 7/5/2010 10/30/2010 115 28,340,000 28,340,000 656,682 891,876 (0.62) 16,683,241 28,350,000 950,559 (0.9950) 28,305,000 907,425 (225.66) 7/6/2010 10/30/2010 114 28,240,000 28,240,000 652,665 963,482 (0.62) 16,613,641 28,295,000 915,426 (0.9984) 28,330,000 933,224 (57.44) 7/7/2010 10/30/2010 113 28,150,000 28,150,000 648,874 924,328 (0.62) 16,549,947 28,140,000 932,400 (0.9945) 28,120,000 965,313 681.49 7/8/2010 10/30/2010 112 28,285,000 28,285,000 650,249 940,060 (0.62) 16,618,467 28,295,000 932,071 (0.9954) 28,260,000 955,853 689.88 α β 7/9/2010 10/30/2010 111 28,200,000 28,200,000 646,547 912,353 (0.62) 16,557,659 28,190,000 994,941 (0.9905) 28,170,000 936,238 (711.36) 7/12/2010 10/30/2010 108 28,260,000 28,260,000 642,563 982,957 (0.62) 16,559,905 28,245,000 966,061 (0.9916) 28,195,000 980,696 717.56 7/13/2010 10/30/2010 107 28,175,000 28,175,000 638,814 955,500 (0.62) 16,499,030 28,170,000 914,504 (0.9947) 28,230,000 957,365 95.10 7/14/2010 10/30/2010 106 28,260,000 28,260,000 638,901 950,191 (0.62) 16,537,650 28,255,000 900,884 (0.9955) 28,225,000 908,109 413.67 7/15/2010 10/30/2010 105 28,220,000 28,220,000 636,140 854,900 (0.62) 16,503,047 28,215,000 871,346 (0.9970) 28,235,000 855,354 (460.41) 7/16/2010 10/30/2010 104 28,225,000 28,225,000 634,377 884,664 (0.62) 16,494,719 28,215,000 859,084 (0.9973) 28,210,000 867,352 186.52 7/19/2010 10/30/2010 101 28,105,000 28,105,000 625,963 792,050 (0.61) 16,390,635 28,080,000 825,382 (0.9980) 28,090,000 766,091 (1,110.48) 7/20/2010 10/30/2010 100 27,980,000 27,980,000 621,242 864,836 (0.61) 16,306,352 28,000,000 848,485 (0.9978) 27,950,000 855,439 643.87 7/21/2010 10/30/2010 99 28,050,000 28,050,000 620,834 887,552 (0.61) 16,335,674 28,015,000 878,082 (0.9938) 28,015,000 903,170 435.14 7/22/2010 10/30/2010 98 27,985,000 27,985,000 617,418 780,188 (0.61) 16,286,313 27,955,000 796,294 (0.9987) 27,995,000 763,500 (1,003.05) 7/23/2010 10/30/2010 97 28,025,000 28,025,000 616,299 794,739 (0.61) 16,298,007 28,065,000 762,363 (1.0033) 28,072,500 787,706 368.19 7/26/2010 10/30/2010 94 28,025,000 28,025,000 610,167 747,333 (0.61) 16,262,876 28,030,000 764,455 (1.0012) 28,000,000 721,212 (458.28) 7/27/2010 10/30/2010 93 27,965,000 27,965,000 606,776 868,167 (0.61) 16,216,243 27,960,000 809,588 (0.9977) 27,970,000 859,973 821.63 7/28/2010 10/30/2010 92 27,730,000 27,730,000 599,589 725,246 (0.61) 16,068,191 27,685,000 732,588 (1.0003) 27,675,000 706,777 (370.30) 7/29/2010 10/30/2010 91 27,685,000 27,685,000 596,508 732,588 (0.61) 16,030,287 27,660,000 697,883 (1.0029) 27,650,000 723,154 594.70 7/30/2010 10/30/2010 90 27,685,000 27,685,000 594,376 783,698 (0.61) 16,018,391 27,650,000 714,646 (1.0013) 27,642,500 765,485 1,063.55 8/2/2010 10/30/2010 88 27,765,000 27,765,000 591,748 674,903 (0.61) 16,040,608 27,770,000 683,569 (1.0044) 27,745,000 648,806 (386.38) 8/3/2010 10/30/2010 87 27,765,000 27,765,000 589,538 683,446 (0.61) 16,028,467 27,765,000 666,360 (1.0050) 27,765,000 674,903 170.10 8/4/2010 10/30/2010 86 27,885,000 27,885,000 589,842 676,000 (0.61) 16,085,475 27,905,000 684,941 (1.0046) 27,950,000 669,106 (866.74) 8/5/2010 10/30/2010 85 27,970,000 27,970,000 589,363 720,439 (0.60) 16,122,128 27,975,000 678,182 (1.0043) 27,985,000 720,826 747.29 8/6/2010 10/30/2010 84 27,990,000 27,990,000 587,480 814,255 (0.60) 16,121,193 28,015,000 781,024 (0.9985) 28,000,000 772,121 2.77 8/9/2010 10/30/2010 81 28,130,000 28,130,000 583,309 797,716 (0.60) 16,163,779 28,160,000 823,785 (0.9955) 28,135,000 755,866 (1,136.62) 8/10/2010 10/30/2010 80 28,095,000 28,095,000 580,160 732,173 (0.60) 16,130,839 28,060,000 697,248 (1.0006) 28,025,000 747,333 1,547.67 8/11/2010 10/30/2010 79 28,080,000 28,080,000 577,400 570,240 (0.60) 16,109,322 28,035,000 595,205 (1.0063) 28,035,000 560,700 (761.32) 8/12/2010 10/30/2010 78 28,015,000 28,015,000 573,590 594,258 (0.60) 16,059,073 27,995,000 542,933 (1.0102) 28,015,000 602,747 1,069.87 8/13/2010 10/30/2010 77 28,155,000 28,155,000 573,940 579,909 (0.60) 16,126,214 28,170,000 571,809 (1.0096) 28,155,000 588,313 577.70 Mean return: 78.89 % positive: 56% Maturity month: December number of days (t) SJC gold price 11AM Strike price (X) PUT model TOCOM put 11AM in VND SJC gold price 14PM TOCOM put 14PM in VND V portfolio SJC gold price 17PM TOCOM put 17PM in VND excess return VND/day (1 tael) Deal date maturity date 7/1/2010 12/30/2010 179 28,555,000 28,555,000 744,997 1,346,164 (0.65) 17,422,259 28,535,000 1,369,680 (0.9802) 28,560,000 1,321,920 (585.29) 7/2/2010 12/30/2010 178 28,275,000 28,275,000 736,716 1,330,588 (0.65) 17,242,936 28,305,000 1,340,325 (0.9828) 28,300,000 1,306,794 (279.14) 7/5/2010 12/30/2010 175 28,340,000 28,340,000 735,428 1,233,624 (0.65) 17,256,901 28,350,000 1,250,735 (0.9870) 28,305,000 1,240,425 175.60 7/6/2010 12/30/2010 174 28,240,000 28,240,000 731,826 1,245,882 (0.65) 17,187,429 28,295,000 1,181,732 (0.9924) 28,330,000 1,266,518 587.59 7/7/2010 12/30/2010 173 28,150,000 28,150,000 728,483 1,302,463 (0.65) 17,124,074 28,140,000 1,260,000 (0.9850) 28,120,000 1,292,681 432.96 7/8/2010 12/30/2010 172 28,285,000 28,285,000 730,951 1,289,463 (0.65) 17,197,549 28,295,000 1,323,207 (0.9823) 28,260,000 1,288,324 (118.11) α β 7/9/2010 12/30/2010 171 28,200,000 28,200,000 727,725 1,260,706 (0.65) 17,137,220 28,190,000 1,243,676 (0.9858) 28,170,000 1,267,650 354.53 7/12/2010 12/30/2010 168 28,260,000 28,260,000 726,125 1,310,609 (0.65) 17,147,518 28,245,000 1,244,417 (0.9853) 28,195,000 1,315,767 1,014.93 7/13/2010 12/30/2010 167 28,175,000 28,175,000 722,878 1,274,000 (0.64) 17,087,191 28,170,000 1,265,609 (0.9841) 28,230,000 1,292,852 (111.24) 7/14/2010 12/30/2010 166 28,260,000 28,260,000 723,983 1,245,078 (0.64) 17,129,935 28,255,000 1,228,478 (0.9863) 28,225,000 1,243,536 340.89 7/15/2010 12/30/2010 165 28,220,000 28,220,000 721,875 1,186,900 (0.64) 17,096,868 28,215,000 1,219,884 (0.9866) 28,235,000 1,195,835 (368.83) 7/16/2010 12/30/2010 164 28,225,000 28,225,000 720,911 1,230,104 (0.64) 17,091,045 28,215,000 1,179,134 (0.9886) 28,210,000 1,204,188 284.54 7/19/2010 12/30/2010 161 28,105,000 28,105,000 714,529 1,149,750 (0.64) 16,991,766 28,080,000 1,174,255 (0.9876) 28,090,000 1,106,576 (760.99) 7/20/2010 12/30/2010 160 27,980,000 27,980,000 710,232 1,187,030 (0.64) 16,907,302 28,000,000 1,170,909 (0.9890) 27,950,000 1,194,227 571.67 7/21/2010 12/30/2010 159 28,050,000 28,050,000 710,878 1,222,478 (0.64) 16,940,657 28,015,000 1,170,776 (0.9870) 28,015,000 1,246,040 783.78 7/22/2010 12/30/2010 158 27,985,000 27,985,000 708,092 1,102,439 (0.64) 16,892,448 27,955,000 1,160,556 (0.9875) 27,995,000 1,102,833 (872.91) 7/23/2010 12/30/2010 157 28,025,000 28,025,000 707,955 1,112,634 (0.64) 16,907,597 28,065,000 1,122,600 (0.9923) 28,072,500 1,131,280 41.13 7/26/2010 12/30/2010 154 28,025,000 28,025,000 704,448 1,087,030 (0.64) 16,880,424 28,030,000 1,104,212 (0.9916) 28,000,000 1,060,606 (264.22) 7/27/2010 12/30/2010 153 27,965,000 27,965,000 701,753 1,218,773 (0.64) 16,835,183 27,960,000 1,168,478 (0.9871) 27,970,000 1,210,642 388.70 7/28/2010 12/30/2010 152 27,730,000 27,730,000 694,670 1,066,538 (0.64) 16,684,655 27,685,000 1,115,918 (0.9880) 27,675,000 1,047,392 (679.77) 7/29/2010 12/30/2010 151 27,685,000 27,685,000 692,348 1,090,363 (0.64) 16,648,507 27,660,000 1,038,314 (0.9932) 27,650,000 1,071,969 440.60 7/30/2010 12/30/2010 150 27,685,000 27,685,000 691,143 1,132,955 (0.64) 16,639,402 27,650,000 1,080,477 (0.9901) 27,642,500 1,114,205 426.94 8/2/2010 12/30/2010 148 27,765,000 27,765,000 690,692 1,016,626 (0.64) 16,669,123 27,770,000 1,025,354 (0.9948) 27,745,000 990,283 (216.30) 8/3/2010 12/30/2010 147 27,765,000 27,765,000 689,452 1,042,255 (0.64) 16,659,894 27,765,000 1,008,083 (0.9955) 27,765,000 1,033,712 290.57 8/4/2010 12/30/2010 146 27,885,000 27,885,000 691,176 1,022,450 (0.64) 16,722,594 27,905,000 1,014,727 (0.9960) 27,950,000 1,024,833 (210.02) 8/5/2010 12/30/2010 145 27,970,000 27,970,000 692,013 1,084,897 (0.64) 16,764,203 27,975,000 1,051,182 (0.9933) 27,985,000 1,076,998 224.25 8/6/2010 12/30/2010 144 27,990,000 27,990,000 691,225 1,128,082 (0.63) 16,766,784 28,015,000 1,103,621 (0.9908) 28,000,000 1,128,485 398.20 8/9/2010 12/30/2010 141 28,130,000 28,130,000 690,747 1,125,200 (0.63) 16,822,075 28,160,000 1,151,618 (0.9879) 28,135,000 1,117,001 (223.43) 8/10/2010 12/30/2010 140 28,095,000 28,095,000 688,555 1,089,745 (0.63) 16,791,560 28,060,000 1,062,879 (0.9905) 28,025,000 1,104,015 755.41 8/11/2010 12/30/2010 139 28,080,000 28,080,000 686,843 907,200 (0.63) 16,772,980 28,035,000 905,746 (0.9993) 28,035,000 922,998 207.79 8/12/2010 12/30/2010 138 28,015,000 28,015,000 683,900 950,812 (0.63) 16,724,524 27,995,000 933,167 (0.9983) 28,015,000 959,302 164.35 8/13/2010 12/30/2010 137 28,155,000 28,155,000 685,946 941,301 (0.63) 16,798,387 28,170,000 983,848 (0.9967) 28,155,000 958,110 (199.39) Mean return: 93.59 % positive: 59% ... used in valuation of European SJC gold option price in Vietnam The study using two range of data One range is data collected in Vietnam market during 1/1/2010 to 15/8/2010, including SJC gold. .. gap of world gold price and Vietnam gold price in converted Therefore, we use the price of TOCOM at the same time of the SJC gold price instead of converting the SJC gold price into the gold. .. study provides an insight gold option calculation of Commercial banks in Vietnam The findings from the study show the diferrence of the gold option price quoted in TOCOM and option price derived