I. MARKET DEVELOPMENTS OF WARRANTS
At the end of the trading session on 14/03/2024, the whole market had 35 stocks increasing, 119 stocks decreasing, and 24 reference stocks.
Market breadth in the last 20 sessions. Unit: Percentage (%)
Source: VietstockFinance
In the trading session on 14/03/2024, sellers dominated the market, leading to a sharp decline in most warrant stocks. Specifically, the major warrant stocks in the declining group are CTCB2302, CHPG2309, CMBB2309, and CSTB2322.
Source: VietstockFinance
The total trading volume of the whole market on 14/03 reached 58.61 million CW, a decrease of 8.65%; the trading value reached 52.87 billion VND, a decrease of 12.89% compared to the session on 13/03. Among them, CSTB2327 had the highest trading volume with 3.66 million CW; CFPT2313 had the highest trading value with 6.22 billion VND.
Foreign investors continued to be net sellers on 14/03 with a total net selling volume of 1.93 million CW. Among them, CVIC2312 and CTPB2305 were the most heavily sold stocks.
Securities companies KIS, SSI, HCM, ACBS, and VND are currently the organizations with the most warrant stocks in the market.
Source: VietstockFinance
II. MARKET STATISTICS
Source: VietstockFinance
III. EVALUATION OF WARRANTS
Based on the appropriate valuation method at the starting point on 15/03/2024, the fair price of the warrants currently traded in the market is as follows:
Source: VietstockFinance
Note: The opportunity cost in the valuation model is adjusted to be suitable for the Vietnamese market. Specifically, the risk-free bond interest rate (Government bonds) will be replaced by the average deposit interest rate of large banks with an appropriate maturity adjustment for each type of warrant.
According to the valuation above, CTCB2302 and CFPT2311 are currently the two warrants with the most attractive valuation.
The higher the effective gearing ratio of a warrant, the greater the volatility of its price corresponding to the underlying stock. Currently, CHPG2330 and CHPG2318 are the two warrants with the highest effective gearing ratio in the market.
Economic & Market Strategy Analysis Department, Vietstock Advisory Division
