Derivatives January 11, 2022: Returning to the range of 1,470-1,490 points
Future contracts simultaneously dropped in the trading session on January 10, 2022 . Basis contract VN30F2201 reversed and reached a value of -1.6 points. This shows that investors are pessimistic about the prospect of VN30-Index.
I. CONTRACT FREE OF STOCK MARKET INDEX
I.1. Market movements
Future contracts all dropped in the trading session on January 10, 2022. VN30F2201 (F2201) decreased by 1.72%, to 1,513.1 points; VN30F2202 (F2202) decreased by 0.6%, to 1,516.8 points; contract VN30F2203 (F2203) decreased by 1.23%, to 1,517 points; contract VN30F2206 (F2206) decreased by 1.30%, to 1,516.2 points. Currently, the base index VN30-Index is at 1,514.7 points.
Volume and price The transaction value of the derivatives market decreased by 1.46% and 2.15% respectively compared to the session on January 7, 2022. Specifically, F2201 trading volume decreased by 1.72% with 107,206 contracts matched. Trading volume of F2202 reached 452 contracts, up 77.25%.
Foreign investors had the 4th net selling session in a row with the total net selling volume in the trading session on January 10, 2022 reaching 475 contracts.
In In the trading session on January 10, 2022, the overwhelming selling force made the F2201 contract drop during the morning session. In the afternoon session, the drop continued to increase, causing the contract to sink deeply in red and close at the lowest level of the day.
Graph in session of VN30F2201
The source: https://stockchart.vietstock.vn/
End session, contract VN30F2201 reversed and reached a value of -1.6 points. This shows that investors have returned to pessimism about the prospect of VN30-Index.
Volatile VN30F2201 and VN30-Index
The source: VietstockFinance
Note: Basis is calculated according to the following formula: Basis=Futures contract price – VN30-Index
I.2. Valuation of futures contracts
Based on fair pricing method with the starting date of 11/01/2022, the fair price bracket of the futures contracts being traded on the market is shown as follows:
Source: VietstockFinance
Note: The opportunity cost in the pricing model is adjusted to suit the Vietnamese market. Specifically, the risk-free bill interest rate (Government bill) will be replaced by the average deposit interest rate of large banks with term adjustment suitable for each type of futures contract.
I.3. Technical Analysis VN30-Index
During the trading session on January 10, 2022, VN30-Index had the 4th correction session in a row and broke the SMA 50
day. This shows the market’s risk of reversing the uptrend.
Currently, the range of 1,470-1,490 points (the previous bottoms) is the nearest support for the index. This zone has performed well as a support for VN30-Index many times before, so the reliability is quite high.
The Stochastic Oscillator is selling again and the MACD has reversed, thereby showing that the risk of the index continuing to correct is still there. However, the index’s cash flow was still abundant as the trading volume remained above the 20 session average.
The source: VietstockUpdater
II. CONTRACT FUTURE OF THE BOND MARKET
Based on a valuation method that is reasonable with the time Starting on January 11, 2022, the reasonable price range of futures contracts being traded on the market is shown below:
The source: VietstockFinance
Note: The opportunity cost in the pricing model is adjusted to suit the Vietnamese market. Specifically, the risk-free bill interest rate (Government bill) will be replaced by the average deposit interest rate of large banks with term adjustment suitable for each type of futures contract.
Investors should not buy these contracts at the moment. Because the contracts are priced quite high compared to the theoretical price.
Economic Analysis & Market Strategy Department, Vietstock Consulting Department
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