WEEKLY SYNTHESIS IN 5 POINTS

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Weekly Synthesis Matba Rofex in 5 points

10 to the 14 of January of 2022

 

 

1. Summary of Futures and Options Trading

 

The average daily volume (ADV) of the futures and options (F&O) traded in the week reached 300.083 contracts, 14% higher than the average of the previous week, while the ADV for the year shows a decrease of 19% compared to the previous week. same period last year.

The following table shows the weekly ADV, a comparison with the previous week and the accumulated annual figures:

 

 

The Open Interest (IA) -contracts pending cancellation- average for the week stood at 4.703.588 contracts, 3% higher than last week. For its part, the average IA for the year is 10% higher than the same period of the previous year.

 

 

2. Dollar Futures

 

During the week, the INDEC released the general level of the Consumer Price Index (CPI) representative of all households in the country for the month of December 2021, showing an increase of 3,8% compared to the previous month and an accumulated variation of 50,9%.

In the wholesale foreign exchange market, the price of the US dollar (MAE's CAM1 wheel) increased 0,5%, closing at $103,84 per dollar (vs. $103,28 at the close of the previous week), an increase that was accompanied by a 10% drop in the level of spot Trades (ADV of US$ 123,9 million).

For its part, the gap between the price of the MEP dollar and the wholesale dollar decreased 212 basis points to 94,1% on the last business day of the week. While the gap measured against the CCL dollar with AL30 ($206,1) ended the week 612 points higher than the close of the previous week, up to 98,5%, while the gap against the CCL dollar measured through the CCL MtR Index ($ 209,24) ended the week 281 basis points below the close of the previous week to 101,5%.

In turn, the average volume traded in the dollar futures and options market increased 15% vs. the previous week reaching an ADV of 290.896 contracts. Regarding the prices of dollar futures, on average they decreased by 1,1% with respect to the closing of the previous week:

 

 

At the end of the week, implied dollar rates decreased 386 basis points, averaging 50,3% ​​for the positions shown below:

 

 

3. Equity Futures and Options

 

Stock indices

For the week, the annual inflation rate in the United States was reported to have risen to 7,0% in December, the fastest pace in four decades, with core inflation marking an increase of 5,5% (vs 5,4 % Estimate). For its part, in the Euro TAG the unemployment rate was known, which marked a drop to 7,2% in November 2021, being the lowest level since March 2020.

In terms of prices, the main benchmark indices measured in dollars closed mostly lower: the S&P500 -0,3%, the SSE Composite Index -1,25%, the Euro Stoxx 50 -1,26% and the Bovespa + 6,00%. At the local level, the RFX20 index increased 1,63% in pesos during the week, while measured in dollars (CCL) it closed the week -2,03%.

The following graph shows the performance of the main world stock indices in relation to the RFX20 index:

 

 

On the other hand, the implicit rates of the first and second position of the RFX20 Index, ended the week at 37,9% and 45,9% (vs. 33,6% and 42,8% respectively at the end of the previous week).

 

 

In notional terms, during the week the volume traded reached a daily average of $ 225 million (-13% weekly), equivalent to 33,9% of spot trading.

 

 

Individual Actions

On average, trading in futures on the shares of Grupo Financial Galicia (GGAL) reached 2.175 contracts per day, down 8% from the previous week, while ADV for the year decreased 29% year over year. The average open interest was 4.642 contracts, showing an increase of 17% compared to the previous week. In notional terms, Trades in the local market (spot + future) reached 52% of the ADR volume (vs. 53% the previous week). Meanwhile, futures Trades represented an average of 33% of spot negotiations (vs. 28% the previous week).

 

For their part, Pampa Energía futures reached an average volume of 107 contracts (-5% weekly) and an average open interest of 176 contracts (+ 108%). While the average volume of YPF futures increased 24% to 149 contracts, with an average open interest of 382 contracts (+ 17%).

 

 
 

4. Gold and Oil Futures

 

During the week, Gold derivatives Trades showed an average daily volume of 163 contracts (-23% compared to the previous week), while WTI Oil Trades decreased 1% compared to the previous week, averaging 1.192 day contracts.

 

 
 

 

 

5. Agricultural Futures and Options

 

In the week, the volume of futures and options of all agricultural products reached 1.285.985 tons, 9% lower than the previous week. In addition, open interest at the end of the week stood at 7.600.065 tons (2% higher than the previous week). The following table shows the settlement price at the end of the week, the weekly volume and the open interest at the end of the week for all open Corn, Soybean and Wheat futures and options positions: