Derivative securities June 24, 2022: Will the recovery momentum be maintained?

 

Futures contracts simultaneously increased in the session on June 23, 2022. Basis contract VN30F2207 expanded from the previous session and reached -12.78 points. This shows that investors are more cautious than the prospect of the VN30-Index.


I. FUTURE CONTRACTS OF THE STOCK MARKET INDICATOR

I.1. Market movements


Futures contracts simultaneously increased in the session on June 23, 2022. VN30F2207 (F2207) increased 0.97%, reaching 1,227.8 points; VN30F2208 (F2208) increased 0.58%, reaching 1,227 points; contract VN30F2209 (F2209) increased 0.82%, reaching 1,229.6 points; contract VN30F2212 (F2212) increased 0.05%, reaching 1,220.6 points. Currently, the basic index VN30-Index is at 1,240.58 points.



Trading volume and value of the derivative market decreased by 16.79% and 7.72%, respectively, compared to the session on 22/06/2022. Specifically, the F2207 trading volume decreased by 16.75% with 336,908 matched contracts. The trading volume of F2208 reached 371 contracts, down 30.78% from the previous session.

Foreign investors turned to be net buyers with the total volume of net buying in the session on June 23, 2022 reaching 880 contracts.




In the transaction on June 23, 2022, VN30F2207 contract appeared in green right from the beginning of the session, however, the sellers did not suffer so the contract continuously struggled above reference in the morning session. Entering the afternoon session, the buyers gradually overwhelmed, causing the contract to increase the increase continuously. At the end of the session, the F2207 closed at near the highest price of the day.



At the end, Basis contract VN30F2207 expanded more than the previous session and reached -12.78 points. This shows that investors are more cautious than the prospect of the VN30-Index.

Volatility VN30F2207 and VN30-Index



Note: Basis is calculated by the following formula: Basis = Futures Price - VN30-Index

I.2. Valuation of futures contracts

Based on a fair valuation method with a starting date of 24/06/2022, the reasonable price bracket of futures contracts being traded on the market is shown as follows:



Note: The opportunity cost in the pricing model is adjusted to match the Vietnamese market. Specifically, the risk-free treasury bill (government bills) will be replaced by the average deposit interest rates of major banks with a maturity adjustment to suit each type of futures contract.


I.3. Technical analysis VN30-Index

In the session on 23/06/2022, VN30-Index continued to rise and formed a White Closing Marubozu candlestick pattern, showing the optimism in the short term.


If the uptrend is maintained, the 2-bottom pattern will be formed to strengthen the recovering trend.


However, the volume continued to decline and was below the 20-day average, proving that the cash flow is becoming more and more cautious.

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