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Derivatives Week 22-26/11/2021: Waiting for signals at the support zone of 1,490-1,510 points

 Futures contracts simultaneously dropped in the trading session on November 19, 2021. Base contract VN30F2112 narrowed to 2.45 points. This shows that investors are less optimistic about the prospect of VN30-Index.





I. STOCK MARKET INDEX FUTURE CONTRACT

I.1. Market movements

Futures contracts simultaneously dropped in the trading session on November 19, 2021. VN30F2112 (F2112) decreased by 0.43% to 1,502.50 points; VN30F2201 (F2201) decreased by 0.22%, to 1,499.10 points; contract VN30F2203 (F2203) decreased by 0.42%, to 1,500 points; contract VN30F2206 (F2206) decreased by 0.51%, to 1,495.40 points. Currently, the base VN30-Index is at 1,500.05 points.





The trading value of the derivatives market increased by 38.08% compared to the session on November 18, 2021. Specifically, F2112 trading volume increased by 894.27% with 158.128 contracts matched..

Foreign investors returned to be net buyers after 3 previous net selling sessions with the total net buying volume in the last session of the week increasing sharply and reaching 4,980 contracts.



The F2112 contract has had a volatile week. The contract price dropped rapidly in the first session of the week and this decrease was continuously increased in the following sessions. Although there was a remarkable recovery in the last trading minutes of the week, the F2112 contract still ended the week at a relatively low level compared to reference.


At the end of the session, the VN30F2112 contract basis narrowed to 2.45 points. This shows that investors are less optimistic about the prospect of VN30-Index.

Volatility VN30F2112 and VN30-Index

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 the fair valuation method with the starting date of November 22, 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.

Relate post:

- USD price maintains upward momentum

- Technical analysis on the afternoon of November 19: VN-Index struggled


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