Derivatives Week 06-10/12/2021: Shorts dominate

Futures contracts simultaneously dropped in the trading session on December 3, 2021. VN30-Index dropped sharply with the Black Closing Marubozu candlestick pattern and broke the Middle line of Bollinger Bands, thereby showing investors' pessimism about the market's prospects.

I. STOCK MARKET INDEX FUTURE CONTRACT

I.1. Market movements

Futures contracts simultaneously dropped in the trading session on December 3, 2021. VN30F2112 (F2112) decreased by 2.01% to 1,509 points; VN30F2201 (F2201) decreased by 1.70% to 1,511.90 points; contract VN30F2203 (F2203) decreased by 1.36%, to 1,505 points; contract VN30F2206 (F2206) decreased by 1.76%, to 1,503 points. Currently, the base VN30-Index is at 1,503.98 points.

The trading volume and value of derivatives market increased by 15.14% and 12.59% respectively compared to the session on December 2, 2021. Specifically, F2112 trading volume increased by 15.11% with 150,443 matched contracts. F2201 contracts reached 344 contracts, up 60.75%.

Foreign investors saw the third net buying session in a row with the total net buying volume in the last session of the week increasing strongly and reaching 1,087 contracts.

The F2112 contract has had a strong week of decline. Contract prices dropped in the first session of the week and this decline was continuously consolidated. At the end of the week, the F2112 contract closed at the lowest level of the week.

At the end of the session, the VN30F2112 contract basis reversed and reached a value of 5.02 points. If this state continues next week, the downtrend may slow down.

Volatility VN30F2112 and 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 December 6, 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 December 3, 2021, the VN30-Index dropped sharply with the Black Closing Marubozu candlestick pattern and broke the Middle line of the Bollinger Bands, thereby showing investors' pessimism about the market outlook. school.

Currently, the index is retesting the support zone of 1,490-1,510 points (the old peak of August 2021 was surpassed and the 50-day SMA). If this zone still holds, the situation could be positive again.

However, a divergence signal appeared in both the Stochastic Oscillator and the MACD. This shows that the risk of continuing correction is still there.

II. BOND MARKET FUTURE CONTRACT

Based on the fair valuation method with the starting date of December 6, 2021, the fair price range of the futures contracts being traded on the market is shown as follows: