OREANDA-NEWS. On 1 August 2008 was announced, that as of July 30th, 2008, by the end of the evening settlement period (2:03 pm – 5:45 pm) the new methodology for determination of the settlement price for futures contracts of secondary importance (less liquid) approved by the RTS Derivatives Market Committee and the exchange on November 23rd, 2008 and July 28th, 2008 respectively comes into effect on FORTS. The Methodology for compiling a list of major (most liquid) futures contracts and futures contracts of secondary value (less liquid) is provided for in Appendix 2 to Derivatives Rules of OJSC RTS.

The implementation of this methodology is a one of the steps towards a more transparent market and optimized procedure on determination of the futures’ settlement prices as well as optimized volatility curve employed in calculation of the theoretical prices of options.

In accordance with the methodology a major futures contract is defined as a futures contract with the closest settlement date as compared to the rest of the traded futures contracts on this underlying asset (futures of secondary importance). For example, the futures contract on Gazprom ordinary shares with settlement in September (GZU8) is most liquid now, therefore, it is the major futures contract on this underlying, while GZZ8, GZH9, GZZ9 are contracts of secondary importance. Upon the major contract’s settlement GZZ8 will gain its status and so on. The methodology limits the settlement price of a futures contract of secondary importance on the basis of the major contract’s settlement price dynamics.

FORTS, the derivatives market of RTS, is a leading trading venue for futures and options in Russia. Trading on FORTS started in September 2001. At present FORTS has the widest range of instruments in Russia. These are 64 contracts (46 futures and 18 options) on shares of Russian companies, bonds, short-term interest rates, currency, RTS Index, oil, silver, gas, oil, sugar and gold.

Trading volume on FORTS in 2007 grew threefold and reached 297.41 bln dollars or 144.9 million contracts. Compared with 2006 the number of trades increased more than twofold and reached 11.7mln. Total open interest at the end of the year equalled 14.7 bln  roubles in cash or 3.2 million contracts. FORTS also saw a record day’s trading in 2007 when the value of all contracts traded reached 5.2 bln dollars on December 13th, 2007.