Bulls are back leading the market, according to Vietstock

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Derivative Securities November 7, 2023: Bulls Return to Lead the Market

Vietstock – Derivatives November 7, 2023: Bulls Return to Lead the Market

Futures contracts rose simultaneously during the trading session on November 6, 2023. The VN30 index rebounded strongly and completely broke through the 1,075-1,095 point range (equivalent to the old high in April 2023), showing that investor psychology is no longer so pessimistic.

1. Stock index futures contract

1.1. Market trends

Futures contracts rose simultaneously during the trading session on November 6, 2023. Among them, VN30F2311 (F2311) rose 1.75% to 1,106 points; VN30F2312 (F2312) rose 1.03% to 1,100.1 points; VN30F2403 (F2403) contract rose 1.44% to 1,097.4 points; contract VN30F2406 (F2406) rose 1.4 7%, reaching 1,095 point.underlying index VN30-index It closed at 1,103.52 points.

Trading session on November 6, 2023, contract VN30F2311 It rose sharply from the open and then continued to stay in the green throughout morning trading. In the afternoon, bulls still held their ground, which helped F2311 soar and closed up 19 points.

In-session chart VN30F2311

Source: https://stockchart.vietstock.vn/

Closing ceremony, contract basis VN30F2311 It expanded from the previous trading day, reaching 2.48 points. This indicates that investor sentiment is more optimistic.

volatility VN30F2311 and VN30-index

Source: VietstockFinance

Note: The basis is calculated according to the following formula: basis = futures contract price – VN30-index

The trading volume and transaction value decreased by 13.6% and 12.58% respectively compared with the trading session on November 3, 2023. Among them, the trading volume of F2311 dropped by 13.49%, matching 245,465 contracts. The trading volume of F2312 was 900 lots, a decrease of 38.1%.

Foreign investors resumed net selling, with the total net selling volume reaching 761 lots during the trading session on November 6, 2023.

Fluctuations in daily trading volumes in derivatives markets.Unit: Contract

source: Vietnam Stock Finance

I.2. Futures Contract Pricing

According to the fair valuation method starting on November 7, 2023, the fair price framework for futures contracts traded in the market is as follows:

source: Vietnam Stock Finance

Note: Opportunity costs in the pricing model are adjusted to fit the Vietnamese market. Specifically, the risk-free bill (government bill) interest rate will be replaced by the average deposit rate of large banks, with the maturity adjusted appropriately for various futures contracts.

I.3.technical analysis VN30-index

Trading session on November 6, 2023, VN30-index The strong rebound and complete breakthrough of the 1,075-1,095 point range (equivalent to the old high in April 2023) shows that investor psychology is no longer so pessimistic.

Meanwhile, the recovery continues to gain momentum as the Stochastic Oscillator has left oversold territory and returned to a buy signal.

Source: VietstockUpdater

2. Similar contracts hybrid bond market

According to the fair valuation method starting on November 7, 2023, the fair price framework for futures contracts traded in the market is as follows:

source: Vietnam Stock Finance

Note: Opportunity costs in the pricing model are adjusted to fit the Vietnamese market. Specifically, the risk-free bill (government bill) interest rate will be replaced by the average deposit rate of large banks, with the maturity adjusted appropriately for various futures contracts.

Based on the above valuations, the GB05F2403 and GB05F2406 contracts are currently priced very attractively. Investors can pay attention and buy in the near future because these futures contracts are cheap in the market.

Economic Analysis and Market Strategy Department, Vietstock Consulting Department

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