Derivatives June 1, 2022: Trading volume needs improvement

Derivatives June 1, 2022: Trading volume needs improvement

 

Futures contracts simultaneously dropped in the session on May 31, 2022. The VN30F2206 contract base was narrower than the previous session and reached a value of -12.09 points. This shows that investors are less pessimistic than the prospect of VN30-Index.


I. STOCK MARKET INDEX FUTURE CONTRACT

I.1. Market movements

Futures contracts simultaneously dropped in the session on May 31, 2022. VN30F2206 (F2206) decreased by 0.38%, to 1,320.5 points; VN30F2207 (F2207) down 0.53%, to 1,318 points; contract VN30F2209 (F2209) decreased by 0.4%, to 1,314.8 points; contract VN30F2212 (F2212) decreased by 0.25%, to 1,320 points. Currently, the base VN30-Index is at 1,332.59 points.



The trading volume and value of derivatives market increased by 10.19% and 3.59% respectively compared to the session on May 30, 2022. Specifically, the trading volume of F2206 increased by 10.26% with 224,978 contracts matched. The trading volume of F2207 reached 333 contracts, unchanged from the previous session.



Foreign investors were net buyers for the 4th consecutive session with the total net buying volume in the session on May 31, 2022 reaching 2,318 contracts.


In the transaction on May 31, 2022, the VN30F2206 contract dropped at the beginning of the session and the decline was then widened, the buying force returned at the end of the morning session but it was not enough to drag the contract to the reference level. . A similar scenario took place in the afternoon when selling continued to prevail. At the end of the session, the F2206 contract closed in the red.



Intraday chart of VN30F2206

At the end of the session, the VN30F2206 contract was narrower than the previous session and reached a value of -12.09 points. This shows that investors are less pessimistic than the prospect of VN30-Index.



Volatility VN30F2206 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 June 1, 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.


I.3. VN30-Index technical analysis

In the trading session on May 31, 2022, VN30 appeared to shake when entering the range of 1,340-1,360 points (equivalent to the old bottom of July 2021). This will be the psychological resistance level of the index in the near future.

The MACD is approaching zero, so the growth prospect is still positive.

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