I. MARKET DEVELOPMENTS FOR WARRANTS
At the end of the trading session on March 18, 2024, there were 31 increasing warrants, 129 decreasing warrants, and 14 reference warrants in the entire market.
Market breadth in the last 20 sessions. Unit: Percentage (%)
Source: VietstockFinance
In the trading session on March 18, 2024, the sellers continued to dominate the market, causing most of the warrants to decrease significantly. Specifically, the large warrants in the decreasing group are CMBB2306, CTCB2302, CHPG2309 and CSTB2322.
Source: VietstockFinance
The trading volume of the entire market on March 18 reached 90.22 million CW, an increase of 70.58%; the trading value reached VND 70.65 billion, an increase of 39.71% compared to the session on March 15. Among them, CSTB2322 ranked first in terms of volume with 6.28 million CW; CHPG2326 ranked first in terms of trading value with VND 4.04 billion.
Foreign investors returned to net buying in the session on March 18, with a total net buying volume of 2.66 million CW. Among them, CSTB2332 and CPDR2303 were the two most net bought warrants.
Securities companies KIS, SSI, HCM, ACBS, VND are currently the issuers with the most warrants in the market.
Source: VietstockFinance
II. MARKET STATISTICS
Source: VietstockFinance
III. VALUATION OF WARRANTS
Based on the valuation method appropriate to the starting point on March 19, 2024, the fair prices of the warrants trading in the market are as follows:
Source: VietstockFinance
Note: The opportunity cost in the pricing model is adjusted to fit 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 the appropriate maturity for each type of warrant.
According to the above valuation, CACB2401 and CMSN2302 are currently the two warrants with the most attractive valuation.
The higher the effective gearing ratio, the greater the volatility of the warrant’s price in response to the underlying stock. Currently, CNVL2303 and CHPG2318 have the highest effective gearing ratio in the market.
Economic Analysis & Market Strategy Department, Vietstock Advisory
