OREANDA-NEWS. July 24, 2012. For the week of July 9-13, 2012 the MICEX Index rose by 0.16% to 1,416.50 points from 1,414.28 points as of July 06, 2012.

The RTS Index calculated based on prices in US dollar was up 0.81% to reach 1,368.69 points (1,357.71 points as of July 06, 2012). The US dollar appreciated by 0.75% against the ruble.

The stock market volatility rose last week, with the Russian Volatility Index increasing by 10.37% to 31.71 points (28.73 points as of July 06, 2012).

Last week most of the key economy sectors represented on the Russian stock market demonstrated a positive trend. The largest upturn was reported by the chemical and petrochemical sector, with the relevant sector index rising by 2.17%. A significant increase was also shown by the power and telecommunications sectors, with the MICEX PWR\RTSeu Index and MICEX TLC\RTStl Index adding 1.55% and 1.49% respectively. The downturn was reported by the metals & mining sector with the MICEX M&M\RTSmm Index decreasing by 0.82%.

The MICEX Innovation Index lost 1.33%.

Mid cap companies were most affected by the last week’s market growth, with the MICEX Mid Cap Index being up by 1.04%. The MICEX Small Cap Index and MICEX Large Cap Index grew by 0.49% and 0.22% respectively.

For the week of July 9-13, 2012 the Russian stock market showed a positive trend. The MICEX Index was up 0.16% to 1,416.50 points from 1,414.28 points as of July 06, 2012. At the end of the week the MICEX Index was 5.20% higher than a month ago (1,346.43 points as of June 13, 2012) and 17.37% lower than a year ago (1,714.19 points as of July 13, 2011).

Trading volume of securities included into the MICEX Index constituents list and traded on the Main market equaled RUB144.27 billion. By the end of the week the market capitalization of the Index component stocks amounted to RUB18,775.87 billion.

Out of 30 MICEX Index’s constituents 15 were pushing the Index upwards (plus 0.89%), whereas 15 securities behaved negatively (down 0.73%).

On the sector level the major positive contributors were the financial (plus 0.30%) and power sectors (plus 0.11%).

The most positive impact was mainly due to the rising prices for ordinary shares of NOVATEK (plus 0.27%), followed by Sberbank (plus 0.27%) and OAO RusHydro (plus 0.09%).

The oil & gas sector accounted for 55.15% of the MICEX Index’ total capitalization. The other large- weight sectors were financial (18.14%) and metallurgy (8.34%).

For the week of July 9-13, 2012 the RTS Index added 0.81% to 1,368.69 points from 1,357.71 points as of July 06, 2012. At the end of the week the RTS Index was 4.51% higher than a month ago (1,309.58 points as of June 13, 2012) and 29.32% lower than a year ago (1,936.42 points as of July 13, 2011).

Last week’s increase of the RTS Index was accompanied by an increase of volatility levels when the Russian Volatility Index RTSVX was up 10.37%.

The US dollar appreciated by 0.75% against the ruble.

Out of 50 Index constituents 35 were pulling the Index upwards (plus 1.20%), whereas 15 securities behaved negatively (down 0.39%).

On the sector level the major positive contributors were the banks & finance (plus 0.42%) and power sectors (plus 0.13%).

The positive impact was mainly related to the rising prices of ordinary shares of Sberbank (plus 0.36%) followed by NOVATEK (plus 0.19%) and RusHydro (plus 0.10%).

Bond Indices

The Russian Government Bond Index (RGBI) was up 0.59% to 130.93 points last week (130.16 points as of July 06, 2012). The RGBI total return value rose by 0.73% to 287.27 points. Last week’s trading volume of bonds being currently in the Index amounted to RUB9.72 billion, up 14.47% from the previous week.

The total return value of the MICEX Corporate Bond Index (MICEX CBI TR) was up 0.33% to 213.86 points, while the clean price value of the index added 0.17% to reach 91.91 points.

The Municipal Bond Indices also rose last week with the MICEX MBI total return adding 0.33% to 158.82 points (158.30 points as of July 06, 2012).

The conservative investment strategy tracking the last week’s pension index could have resulted in a weekly gain of 0.30%. Following the aggressive investment strategy based on the pension index could have brought a weekly profit of 0.02%.

The bond overnight repo rate was up 23 basis points to 5.99% in value. The equity overnight repo rate added 24 basis points to 5.72% in value.

Index Derivatives

For the week of July 9-13, 2012 the total trading volume in index futures and options on the FORTS derivatives market equaled RUB614.19 billion rubles representing 6.94 million contracts.

Last week’s trading volume for the most liquid contract on FORTS, futures contracts on the RTS Index, amounted to RUB549.82 billion representing 6.22 million contracts.

The RTS Index futures contract traded in backwardation last week. By the end of the week the RTS Index added 0.81%, while the September and December futures contracts were up 0.84% and 0.85% respectively.

The total investor’s open interest measured in RTS Index futures increased by 9.09%.

During the week, trading volume in futures contract on the MICEX Index was RUB2.75 billion representing 19.40 thousand contracts. Open interest in the contract increased by 11.39%.

Trading volume in options on RTS Index futures totaled RUB60.28 billion representing 920.72 thousand contracts. Open interest amounted to RUB79.23 billion or 920.72 thousand contracts. Call options made up 52.61% of the total open interest for these contracts. The 130,000 strike calls had the highest open interest, similar to the 130,000 strike puts.

The total investor’s open interest measured in options on the RTS index futures increased by 5.51%.