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Derivatives November 24, 2021: Maintaining upward momentum but not being too optimistic

The futures contracts simultaneously increased in the trading session on November 23, 2021. The contract basis of VN30F2112 was almost unchanged and reached a value of -4.22 points. This shows that investors are still pessimistic about the prospect of VN30-Index.






I. STOCK MARKET INDEX FUTURE CONTRACT

I.1. Market movements

The futures contracts simultaneously increased in the trading session on November 23, 2021. VN30F2112 (F2112) increased by 1.08%, reaching 1,528.90 points; VN30F2201 (F2201) increased by 1.11%, reaching 1,525.70 points; contract VN30F2203 (F2203) increased by 1.01%, reaching 1,523 points; contract VN30F2206 (F2206) increased by 0.96%, reaching 1,520.10 points. Currently, the base VN30-Index is at 1,533.12 points.






The trading volume and value of the derivatives market decreased by 29.01% and 27.37% respectively compared to the session on November 22, 2021. Specifically, the trading volume of F2112 decreased by 29.10% with 106,381 contracts matched. The trading volume of F2201 reached 223 contracts, down 56.70%.





Foreign investors had the 3rd net buying session in a row with the total net buying volume in the session on 11/23/2021 decreased sharply and only 19 contracts.

In the trading session on November 23, 2021, the F2112 contract struggled around reference during the morning session. But in the afternoon session, the return of buyers helped the contract to break out strongly. At the end of the session, the F2112 contract closed at the highest level of the day.




At the end of the session, the VN30F2112 contract basis was almost unchanged and reached a value of -4.22 points. This shows that investors are still pessimistic about the prospect of VN30-Index.

Note: Basis is calculated according to the following formula: Basis = Futures contract price - VN30-Index




I.2. Valuation of futures contracts

Based on the fair valuation method with the starting date of November 24, 2021, the fair price range of the futures contracts being traded on the market is shown as follows:

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. VN30-Index technical analysis

In the trading session on 11/23/2021, VN30-Index had the 2nd consecutive gaining session after successfully testing the range of 1,940-1,510 points (old peak in August 2021). This shows that investor sentiment has been positive again.

If the uptrend continues, the index will have a chance to move towards the historic peak in July 2021 (equivalent to 1,540-1,560 points).

The Stochastic Oscillator indicator gives a new buy signal. Besides, the MACD is reversing. In case this indicator also gives a buy signal, the bullish momentum will be consolidated.



II. BOND MARKET FUTURE CONTRACT

Based on the fair valuation method with the starting date of November 24, 2021, the fair price bracket of the futures contracts being traded on the market is shown as follows:

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.






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