Futures contracts simultaneously dropped in the trading session on January 7, 2022. The contract Basis VN30F2201 expanded and reached a value of 7.36 points. This shows that investors are more 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 January 7, 2022. VN30F2201 (F2201) decreased by 0.36% to 1,539.60 points; VN30F2202 (F2202) down 1.10% to 1,526 points; contract VN30F2203 (F2203) decreased by 0.36%, to 1,537.80 points; contract VN30F2206 (F2206) decreased by 0.34%, to 1,536.70 points. Currently, the base VN30-Index is at 1,532.24 points.
The trading volume and value of derivatives market increased by 15.56% and 14.86% respectively compared to the session on January 6, 2022. For the whole week, trading value and volume decreased by 20.73% and 21.41% respectively compared to the previous week. Foreign investors had the third net selling session in a row with the total net selling volume in the last session of the week reaching 1,497 contracts.
The F2201 contract has had a volatile week. Following the excitement of the previous week (December 27-31, 2021), F2201 gained impressively in the first trading session of the new year. However, sellers quickly returned in the following sessions and narrowed most of the previous green color. At the end of the week, the F2201 contract closed with a slight increase above the reference.
At the end of the session, the VN30F2201 contract basis expanded and reached a value of 7.36 points. This shows that investors are more optimistic 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 January 10, 2022, 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.
In the trading session on January 7, 2022, VN30-Index had the third correction session in a row after testing the range of 1,560-1,580 points (historic peak in November 2021). The Black Opening Marubozu candlestick pattern appeared, showing investors' pessimism about the market's prospects.
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