WEEKLY SYNTHESIS IN 5 POINTS

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1. Summary of Futures and Options Trading

 

The average daily volume (ADV) of the futures and options (FyO) traded in the week reached 312.585 contracts, 32% lower than the average of the previous week, while the ADV of the year shows an increase of 61% compared to the same period last year.

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

 

 

Open Interest (IA) -contracts pending cancellation- average for the week was 6.165.149 contracts, 1% higher than last week. For its part, the average AI for the year is 69% higher than for the same period of the previous year.

 

 

2. Dollar Futures

 

En la semana, el INDEC publicó el Estimador Mensual de la Actividad Económica (EMAE), que registró en septiembre un alza de 1,2% respecto a agosto mientras que en la comparación interanual el EMAE se incrementó un 11,6%. De esta manera, acumula en los 9 meses del año un alza de 10,9% con respecto al mismo período del 2020.

In the wholesale exchange market, the price of the US dollar (CAM1 wheel of the MAE) increased 0,3%, closing at $ 100,8 per dollar (vs. $ 100,46 at the end of the previous week), a rise that was accompanied by a 3,2% increase in the level of spot Trades (ADV of US $ 206,2 million).

Por su parte, la brecha entre la cotización del Dólar MEP y el dólar mayorista disminuyó 318 puntos básicos hasta 98,31% el último día hábil de la semana. En tanto que la brecha medida contra el dólar CCL con AL30 ($210,23) finalizó la semana 638 puntos por debajo del cierre de la semana anterior, hasta 108,56%, mientras que la brecha contra el dólar CCL medido a través del CCL MtR Index ($ 213,45) ended the week 278 basis points below the close of the previous week to 111,76%.

For its part, the average volume traded in the dollar futures and options market decreased by 32% vs. the previous week reaching an ADV of 302.992 contracts. Regarding the prices of dollar futures, on average they decreased by 0,6% compared to the end of the previous week:

 

 

At the end of the week, implied dollar rates increased 123 basis points, averaging 53,8% for the positions shown below.

 

 

3. Equity Futures and Options

 

Stock indices

En la semana, se publicó el Índice de Precios PCE estadounidense, que aumentó un 0,6% mensual (por encima del 0,3% del mes anterior) alcanzando un alza del 4,1% interanual. Además, se conoció la revisión al alza del PBI norteamericano del tercer trimestre del año, que se ubicó en 2,1%, por encima del 2% previo.

En términos de cotizaciones, los principales índices de referencia medidos en dólares cerraron mayormente a la baja: el S&P500 -2,2%, el SSE Composite Index +0,01%, el Euro Stoxx 50 -6,4% y el Bovespa -0,7%. En el plano local, el índice RFX20 disminuyó en la semana 6,4% en pesos, en tanto que medido en dólares (CCL) cerró la semana -3,9%.

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 32,5% and 55,8% (vs. 40% and 50,5% respectively at the end of the previous week).

 

 

In notional terms, during the week the volume traded reached a daily average of $ 431 million (-41% weekly), equivalent to 31,1% of spot trading.

 

 

Individual Actions

On average, trading in futures on the shares of Grupo Financiero Galicia (GGAL) reached 2.886 contracts per day, 27% lower than the previous week, while the ADV for the year decreased 16% in the year-on-year comparison. In notional terms, Trades in the local market (spot + future) reached 56% of the ADR volume (vs. 60% the previous week). While future Trades represented on average 14% of the spot negotiations (vs. 16% the previous week).

 

For their part, Pampa Energía futures reached an average volume of 186 contracts (-10% weekly) and an average open interest of 488 contracts (+ 17%). While the average volume of YPF futures decreased by 54% to 186 contracts, with an average open interest of 2.057 contracts (+ 18%).

 

 
 

4. Gold and Oil Futures

 

During the week, Gold derivatives trading showed an average daily volume of 288 contracts (+ 126% compared to the previous week), while WTI Oil trading decreased 55% compared to the previous week, averaging 256 contracts per day.

 

 
 

 

 

5. Agricultural Futures and Options

 

En una semana corta por el feriado del lunes, el volumen de futuros y opciones de todos los productos agrícolas alcanzó 662.540 toneladas, una disminución del 36% con respecto a la semana anterior. Además, el interés abierto al cierre de la semana se ubicó en 7.547.780 toneladas (-9% con respecto a la semana anterior). En la siguiente tabla se puede observar el precio de ajuste al cierre de la semana, el volumen semanal y el interés abierto al cierre de la semana para todas las posiciones abiertas de futuros y opciones de Maíz, Soja y Trigo: