OREANDA-NEWS. June 13, 2012. In May 2012 the MICEX Index went down by 11.34% to 1 306.42 points (1 473.50 on April 28, 2012).

The RTS dollar Index went down by 22.05% to 1 242.43 points (1 593.97 on April 28, 2012). For the last month, the U.S. Dollar went up by 10.30% against the Ruble.

The Russian stock market showed minor volatility increase: the Russian volatility index, RTSVX, went up by 60.68% to 46.71 points (29.07 points on April 28, 2012).

All key sectors represented on the Russian stock market showed a negative trend in the last month. The leader of falling was the Power Sector - the sectoral Index went down by 21.34%. A considerable falling was also demonstrated by the Industry and Metallurgy sectors - the Industrials Index lost 17.06%, and the Index of Metals & Mining lost 13.38%.

The MICEX Innovation Index went down by 8.85%.

The stock market's falling primarily affected small-cap companies - MICEX Small Cap Index lost 14.72%, while MICEX Mid Cap Index and MICEX Large Cap Index went down by 13.17% and 10.73%, respectively.

MICEX Index

As a result of the described dynamics, by the end of the month the MICEX Index was 21.60% lower compared to its closing level one year ago (1 666.30 on May 31, 2011).

Trading in Index-based securities on an overall basis amounted to RUR 896.14 billion in the last month, and the total Index-based securities capitalization by the end of the month amounted to RUR 17 541.41 billion.

At month end, 28 stocks out of MICEX Index's total 30 constituents, had a negative impact on its dynamics (-11.61%), while 2 securities moved positively (+0.27%).

In May, the major negative contributors in the MICEX Index falling were the securities of the Oil & Gas (-5.95%), Finance (-2.48%) and Power (-1.34%) sectors.

The most negative impact on the MICEX Index dynamics was coming from the price decline of the ordinary shares of JSC "Gazprom" (-1.99%), JSC "Sberbank Rossii" (-1.81%) and JSC "Novatek" (-1.51%).

The most positive impact on the MICEX Index dynamics came from the price increase of ordinary shares of JSC "Uralkali" (+0.25%).

55.7% of the MICEX Index total capitalization concentrated in the Oil & Gas Sector. The other large-weight sectors were Finance (17.8%) and Metallurgy (8.6%).

RTS Index

As a result of the described dynamics, in May 2012 the RTS Index was 34.21% lower compared to its closing level one year ago (1 888.60 points on May 31, 2011).

The falling of the RTS Index in the previous month was accompanied by a volatility increase. The Russian volatility index RTSVX went up by 60.68%.

In May 2012, all 50 RTSI's constituents had negative impact on its dynamics (-22.05%).

In the previous month the major negative contributors were the securities of Oil & Gas Sector (-11.64%) and Finance (-4.49%).

The most negative impact on RTS I dynamics came from the decreasing prices of the ordinary shares of JSC "Gazprom" (-3.35%), JSC "Sberbank Rossii" (-3.33%) and JSC "LUKOIL" (-2.40%).

Index Derivatives

In May trading in Index-based derivatives on FORTS amounted to RUR 3 221.12 billion or 38.46 million contracts.

Futures based on RTSI remained the most liquid derivative contracts on the FORTS market. The volume of trading on these contracts in the last month amounted to RUR 2 909.5 billion or 34.8 million contracts.

In the last month, all the RTSI-based futures traded in backwardation. The RTSI lost 22.05%, while the June futures went down by 20.51% and the September futures went down by 20.40%.

The total volume of opened positions in the RTSI-based futures went up by 73.51% against the end of the previous month.

Trading in MICEX Index-based derivatives on FORTS in the last month amounted to RUR 12.61 billion, or 95.47 thousand contracts. For the last month, the volume of opened positions on MICEX- based futures went up by 43.14%.

Trading in RTSI-based options in the previous month amounted to RUR 287 billion or 3.44 million contracts. The volume of opened positions as of the end of the month amounted to RUR 127.12 billion or 1394.72 thousand contracts, while the share of call options in the total open interest made up 53.51%. The major open interest on call options was concentrated at the strike of 140 000, while the maximum on put options was observed at the strike of 100 000.

For the last month, the volume of opened positions in the RTSI-based futures went up by 73.19%.