MICEX-RTS Released Russian Equity Indices Review (04 - 09 June)
OREANDA-NEWS. June 20, 2012. For the week of June 04-09, 2012 the MICEX Index rose by 3.08% to 1,338.07 points from 1,298.08 points as of June 01, 2012.
The RTS Index calculated based on prices in US dollar was up 5.65% to reach 1,296.98 points (1,227.65 points as of June 01, 2012). The US dollar depreciated by 0.55% against the ruble.
The stock market volatility dropped last week, with the Russian Volatility Index decreasing by 7.12% to 42.52 points (45.78 points as of June 01, 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 power sector, with the relevant sector index rising by 9.08%. A significant increase was also shown by the telecommunications and metals & mining sectors, with the MICEX TLC\RTStl Index and MICEX M&M\RTSmm Index adding 5.92% and 4.83% respectively.
The MICEX Innovation Index added 0.22%.
Mid cap companies were most affected by the last week's market growth, with the MICEX Mid Cap Index being up by 7.54%. The MICEX Small Cap Index and MICEX Large Cap Index grew by 2.83% and 2.48% respectively.
For the week of June 04-09, 2012 the Russian stock market showed a positive trend.
The MICEX Index was up 3.08% to 1,338.07 points from 1,298.08 points as of June 01, 2012. At the end of the week the MICEX Index was 3.49% lower than a month ago (1,386.41 points as of May 5, 2012) and 20.93% lower than a year ago (1,692.34 points as of June 9, 2011).
Trading volume of securities included into the MICEX Index constituents list and traded on the Main market equaled RUB206.13 billion. By the end of the week the market capitalization of the Index component stocks amounted to RUB17,980.92 billion.
Out of 30 MICEX Index's constituents 27 were pushing the Index upwards (plus 3.80%), whereas three securities behaved negatively (down 0.72%).
On the sector level the major positive contributors were the oil & gas (plus 1.18%), financial (plus 0.68%) and power sectors (plus 0.51%).
The most positive impact was mainly due to the rising prices for ordinary shares of NOVATEK (plus 0.62%), followed by Sberbank (plus 0.46%) and Gazprom (plus 0.35%).
The oil & gas sector accounted for 55.72% of the MICEX Index' total capitalization. The other large- weight sectors were financial (17.46%) and metallurgy (8.70%).
For the week of June 04-09, 2012 the RTS Index added 5.65% to 1,296.98 points from 1,227.65 points as of June 01, 2012. At the end of the week the RTS Index was 12.93% lower than a month ago (1,489.55 points as of May 5, 2012) and 33.18% lower than a year ago (1,940.98 points as of June 9, 2011).
Last week's increase of the RTS Index was accompanied by a decrease of volatility levels when the Russian Volatility Index RTSVX was down 7.12%.
The US dollar depreciated by 0.55% against the ruble.
Out of 50 Index constituents 34 were pulling the Index upwards (plus 5.86%), whereas ten securities behaved negatively (down 0.21%). The price for six securities remained unchanged.
On the sector level the major positive contributors were the oil & gas (plus 2.72%) and financial sectors (plus 1.22%).
The positive impact was mainly related to the rising prices of ordinary shares of Sberbank (plus 0.90%) followed by Gazprom (plus 0.77%) and NOVATEK (plus 0.74%).
For the week of June 04-09, 2012 the total trading volume in index futures and options on the FORTS derivatives market equaled RUB719.20 billion rubles representing 8.68 million contracts.
Last week's trading volume for the most liquid contract on FORTS, futures contracts on the RTS Index, amounted to RUB643.60 billion representing 7.78 million contracts.
The RTS Index futures contract traded in backwardation last week. By the end of the week the RTS Index added 5.65%, while the June and September futures contracts were up by 6.08% and 6.36% respectively.
The total investor's open interest measured in RTS Index futures decreased by 3.74%.
During the week, trading volume in futures contract on the MICEX Index was RUB4.70 billion representing 35.88 thousand contracts. Open interest in the contract increased by 11.07%.
Trading volume in options on RTS Index futures totaled RUB66.77 billion representing 821.72 thousand contracts. By the end of the week, open interest of RUB124.03 billion or 1.43 million contracts was fixed. Call options made up 51.70% of the total open interest for these contracts. The 140,000 strike calls had the highest open interest, as the 100,000 strike puts.
The total investor's open interest measured in options on the RTS index futures increased by 1.96%.