OREANDA-NEWS. January 17, 2012. For the week of December 26-30, 2011 the MICEX Index gained 1.90% to reach 1,402.23 points from 1,376.11 points as of December 23, 2011.

The RTS Index calculated based on prices in US dollar lost 0.88% to reach 1,381.87 points (1,394.12 points as of December 23, 2011). Over the week the US dollar added 1.45% against the Russian ruble.

The stock market volatility fell last week, with the Russian Volatility Index declining 4.08% to 38.13 points (39.75 points as of December 23, 2011)

Last week the key economy sectors represented on the Russian stock market demonstrated multidirectional movements. The largest growth was reported by the oil and gas sector, with the relevant sector index growing by 2.57%. A significant increase was also shown by the banks & finance sector, with the MICEX FNL (RTSfn) gaining 2.04%. The largest downturn was demonstrated by the mechanical engineering industry, with the MICEX MNF (RTSin) losing 2.54%. The MICEX Innovation Index grew 0.95%.

Mid and large cap companies were most affected by the last week's market growth, with the MICEX Mid Cap Index and MICEX Large Cap Index rallying by 2.05% and 1.65% respectively. The MICEX Small Cap Index lost 0.66%.

Index

Last

Return over the period. %

Value

Week

Month

Quarter

Year

Composite Indices

MICEX Index

1,402.23

1.90%

-6.49%

2.61%

-16.93%

RTS Index

1,381.87

-0.88%

-10.32%

3.04%

-21.94%

RTS Standard Index

9,592.15

1.75%

-6.39%

3.10%

-15.81%

Sectoral Indices (in RUB)*

Oil & Gas

2,983.37

2.57%

-4.80%

10.30%

0.05%

Electric Utilities

2,053.02

-0.26%

-13.39%

-1.76%

-40.24%

Consumer & Retail

3,907.80

-0.42%

-11.73%

-9.91%

-36.23%

Telecommunication

2,077.30

0.39%

-8.87%

9.88%

-14.79%

Industrials

1,715.16

-2.54%

-5.16%

2.14%

-40.48%

Financials

4,815.12

2.04%

-6.12%

-3.19%

-29.68%

Chemicals

6,936.21

-0.03%

-8.40%

13.49%

10.53%

Metals & Mining

3,082.65

0.86%

-12.02%

-13.46%

-47.64%

Cap Indices

Large Cap

2,270.68

1.65%

-6.65%

1.43%

-16.10%

Mid Cap

2,284.40

2.05%

-8.04%

1.89%

-28.74%

Small Cap

3,454.75

-0.66%

-9.64%

-10.21%

-41.85%

Thematic indices

Russian Volatility Index

38.13

-4.08%

-18.23%

-33.42%

45.02%

RTS Siberia Index

668.87

-2.55%

-5.41%

-9.00%

-33.11%

MICEX Innovation Index

770.11

3.55%

30.12%

-12.28%

-76.99%

Currency (CBR)

USD/RUB

32.02

1.45%

2.23%

0.45%

5.47%

* Sector indices based on prices in US dollars are also available

 

For the week of December 26-30, 2011 the Russian stock market showed an upturn of prices.

The MICEX Index was up 1.90% at 1,402.23 points compared to 1,376.11 points as of December 23, 2011. At the end of the week the MICEX Index was 6.49% lower than a month ago (1,499.62 points as of November 30, 2011) and 16.93% lower than a year ago (1,687.99 points as of December 30, 2010).

Trading volume of securities included into the MICEX Index constituents list and traded on the Main market equaled RUB103.04 billion. By the end of the week the market capitalization of the Index component stocks amounted to RUB18,932.98 billion.

Out of 30 constituents of the MICEX Index 22 were pulling the Index up (plus 2.13%), whereas eight securities had a negative impact (down 0.23%). The positive effect leaders were ordinary shares of OAO "LUKOIL" (plus 0.56%), NOVATEK (plus 0.28%) and "OJSC "MMC "NORILSK NICKEL" (plus 0.21%). The most negative impact was mainly due to the falling prices for ordinary shares of Sberbank (down 0.10%).

The oil & gas sector accounted for 56.1% of the MICEX Index' total capitalization. The other large-weight sectors were finance (16.9%) and metallurgy (8.5%).

On the sector level the major positive contributors were the oil & gas (plus 1.46%) and metals & mining sectors (plus 0.27%).

For the week of December 26-30, 2011 the RTS Index shed 0.88% to reach 1,381.87 points compared to 1,394.12 points as of December 23, 2011. At the end of the week the RTS Index was 10.32% lower than a month ago (1,540.81 points as of November 30, 2011) and 21.94% lower than a year ago (1,770.28 points as of December 30, 2010).

Last week's decline of the RTS Index was accompanied by a decrease of volatility levels when the Russian Volatility Index RTSVX went down 4.08%.

Out of 50 Index constituents 28 were pulling the Index down (down 1.43%), whereas 10 securities had a positive impact (plus 0.55%). The price for 12 securities remained unchanged.

The negative impact was mainly related to the lowering prices for ordinary shares of Sberbank (down 0.45%), Gazprom (down 0.29%) and JSC VTB Bank (down 0.12%).

The positive effect leaders were ordinary shares of OAO "LUKOIL" (plus 0.15%).

On the sector level the major negative contributors were the banks & finance (down 0.60%) and oil & gas sectors (down 0.12%).

RUSSIAN EQUITY INDICES

For the week of December 26-30, 2011 the total trading volume on the derivatives market FORTS equaled RUB241.95 billion rubles representing 2.78 million contracts.

Last week's trading volume for the most liquid contract on FORTS, futures contracts on the RTS Index, amounted to RUB212.57 billion representing 2.45 million contracts.

RTS Index futures contract traded in a backwardation last week. By the end of the week the RTS Index lost 0.88%, while the March and June futures contracts shed 0.42% and 0.74% respectively.

The total investor's open interest measured in RTS Index futures decreased by 15.19%.

During the week, trading volume in futures contract on the MICEX Index was RUB1.68 billion representing 12.2 thousand contracts. Open interest in the contract increased by 58.91%.

Trading volume in options on RTS Index futures totaled RUB26.11 billion representing 30.19 thousand contracts. By the end of the week, open interest of RUB40.66 billion or 444.48 thousand contracts was fixed. Call options made up 68.7% of the total open interest for these contracts. 150,000 strike calls and 120,000 strike puts had the highest open interest.

The total investor's open interest measured in options on the RTS index futures increased by 28.18%.