Derivative securities on April 26, 2024: The phenomenon of differentiation is taking place

Derivative securities on April 26, 2024: The phenomenon of differentiation is taking place

Futures contracts simultaneously decreased in the trading session on April 25, 2024. VN30-Index increased slightly with trading volume continuously decreasing and staying below the 20-session average in recent sessions, showing that investors’ cautious sentiment still remains.

I. FUTURE CONTRACTS OF STOCK MARKET INDEX

I.1. Market movements

Futures contracts simultaneously decreased in the trading session on April 25, 2024. Specifically, VN30F2405 (F2405) decreased by 0.28%, to 1,227 points; VN30F2406 (F2406) decreased 0.27%, to 1,230 points; VN30F2409 (F2409) contract decreased 0.43%, to 1,232.1 points; VN30F2412 (F2412) contract decreased 0.66%, to 1,233.8 points. Base index VN30-Index ending the session at 1,233.72 points.

During the trading session on April 25, 2024, contract VN30F2405 reduce points later ATO session and quickly fell into a state of struggle below the reference mark throughout the morning session. Entering the afternoon session, the Long side tried to pull the index closer to the reference mark, but strong selling pressure reappeared at the end of the session, causing this contract to continue to close with a decrease of 3.5 points.

In-session graph of VN30F2405Source: https://stockchart.vietstock.vn/

Closing session, contract basis VN30F2405 Reversed compared to the previous session and reached a value of -6.72 points. This shows that investor sentiment has returned to pessimism.

Volatility VN30F2405 and VN30-Index

Source: VietstockFinance

Note: Basis is calculated according to the following formula: Basis = Futures contract price – VN30-Index

The trading volume and value of the derivatives market decreased by 19.91% and 18.44% respectively compared to the session on April 24, 2024. Specifically, F2405 trading volume decreased by 19.83% with 244,018 contracts matched. The trading volume of F2406 was 632 contracts, down 40.15%.

Foreign investors continued to net buy with the total net buying volume in the trading session on April 25, 2024 reaching 1,150 contracts.

Fluctuations in daily trading volume of the derivatives market. Unit: Contract

Source: VietstockFinance

I.2. Pricing futures contracts

Based on the fair valuation method with the starting time on April 26, 2024, the fair price frame of futures contracts being traded on the market is shown as follows:

Summary table of pricing of index derivative contracts VN30-Index

Source: VietstockFinance

Note: The opportunity cost in the pricing model is adjusted to suit the Vietnamese market. Specifically, the interest rate on risk-free bills (Government bills) will be replaced by the average deposit interest rate of large banks with appropriate term adjustments for each type of futures contract.

I.3. Technical analysis VN30-Index

During the trading session on April 25, 2024, VN30-Index A slight increase in points along with a continuous decline in trading volume and below the 20-session average in recent sessions shows that investors’ cautious sentiment still remains.

Currently, the index is retesting the old bottom of March 2024 (equivalent to the 1,215-1,245 range) in the context that the ADX indicator continues to move in the gray zone (20< p>

Technical analysis chart of the index VN30-Index

Source: VietstockUpdater

II. SIMILAR CONTRACT HYBRID OF THE BOND MARKET

Based on the fair valuation method with the starting time on April 26, 2024, the fair price frame of futures contracts being traded on the market is shown as follows:

Summary table of pricing of Government bond derivative contracts

Source: VietstockFinance

Note: The opportunity cost in the pricing model is adjusted to suit the Vietnamese market. Specifically, the interest rate on risk-free bills (Government bills) will be replaced by the average deposit interest rate of large banks with appropriate term adjustments for each type of futures contract.

According to the above valuation, there are currently no attractive future contracts. Investors can observe and wait to buy in the near future when these futures contracts have bargain prices on the market.

Economic Analysis & Market Strategy Department, Vietstock Consulting Department

FILI